November 17, 2011 Bank of Canada Review - Autumn 2011 This issue features four articles that present research and analysis by Bank staff. The first focuses on reforming the international monetary system; the second on the role of collateral and haircut policy in central bank lending; and the third on the extraction of information from the Business Outlook Survey using principal-component analysis. The fourth reviews studies that model the counterfeiting of bank notes. Content Type(s): Publications, Bank of Canada Review
The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital Staff Working Paper 2004-30 Mark Illing, Graydon Paulin The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28, K, K2, K23
March 16, 2008 Bank of Canada Review - Spring 2008 Cover Page Canada's First Coinage Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
International Portfolio Rebalancing and Fiscal Policy Spillovers Staff Working Paper 2023-56 Sami Alpanda, Uluc Aysun, Serdar Kabaca We evaluate, both empirically and theoretically, the spillover effects that debt-financed fiscal policy interventions of the United States have on other economies. We consider a two-country model with international portfolio rebalancing effects. We show that US fiscal expansions would increase global long-term rates and hinder economic activity in the rest of the world. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy, International topics JEL Code(s): E, E3, E32, E6, E62, F, F4, F41, F44
Macroeconomic Determinants of the Term Structure of Corporate Spreads Staff Working Paper 2008-29 Jun Yang We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, G, G1, G12
A Simple Method for Extracting the Probability of Default from American Put Option Prices Staff Working Paper 2020-15 Bo Young Chang, Greg Orosi A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33
Macroeconomic Uncertainty Through the Lens of Professional Forecasters Staff Working Paper 2016-5 Soojin Jo, Rodrigo Sekkel We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E1, E17, E3, E32
June 21, 2009 Financial System Review - June 2009 Policy-makers around the world met the intensification of the global financial crisis at the end of 2008 with a forceful response aimed at restoring confidence in the global financial system, promoting the flow of credit, and supporting economic activity.FSR Highlights - June 2009 Erratum: Legends for Chart 13 on page 15 of the June 2009 issue should read: Argentina (right scale), Mexico (left scale). See revised chart. Content Type(s): Publications, Financial Stability Report
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32
July 15, 2020 Monetary Policy Report – July 2020 The Bank expects a sharp rebound in economic activity in the reopening phase of the recovery, followed by a more prolonged recuperation phase. Content Type(s): Publications, Monetary Policy Report