Decomposing Systemic Risk: The Roles of Contagion and Common Exposures Staff working paper 2024-19 Grzegorz Halaj, Ruben Hipp We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C5, C51, G, G2, G21, L, L1, L14 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Economic models
Uncovered Return Parity: Equity Returns and Currency Returns Staff working paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Market structure, Models and tools, Economic models
Chinese Monetary Policy and Text Analytics: Connecting Words and Deeds Staff working paper 2021-3 Jeannine Bailliu, Xinfen Han, Barbara Sadaba, Mark Kruger What are the main drivers behind the monetary policy reaction function of the People’s Bank of China? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C63, E, E5, E52, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission
Can Capital Deepening Explain the Global Decline in Labor’s Share? Staff working paper 2019-3 Andrew Glover, Jacob Short We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E1, E13, E2, E22, E25, J, J3 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
December 31, 2001 Summary of Government of Canada - Outstanding as at 31 December 2001 Content Type(s): Publications, Historical: Securities and loans
No Double Standards: Quantifying the Impact of Standard Harmonization on Trade Staff working paper 2019-36 Julia Schmidt, Walter Steingress Product standards are omnipresent in industrialized societies. Though standardization can be beneficial for domestic producers, divergent product standards have been categorized as a major obstacle to international trade. This paper quantifies the effect of standard harmonization on trade flows and characterizes the extent to which it changes the cost and demand structure of exporting. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F13, F14, F15, L, L1, L15 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, International trade, finance and competitiveness
December 31, 2005 Summary of Government of Canada - Outstanding as at 31 December 2005 Content Type(s): Publications, Historical: Securities and loans
Transmission of Cyber Risk Through the Canadian Wholesale Payment System Staff working paper 2022-23 Anneke Kosse, Zhentong Lu This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C4, C49, E, E4, E42, E47, G, G2, G21 Research Theme(s): Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures
September 1, 2026 Assets Eligible as Collateral under the Bank of Canada’s Standing Liquidity Facility The Bank of Canada (the Bank), through its Standing Liquidity Facility (SLF), provides access to liquidity to those institutions that participate directly in Lynx. Content Type(s): Collateral Policy Source(s): Standing Liquidity Facility
Production Networks and the Propagation of Commodity Price Shocks Staff working paper 2020-44 Shutao Cao, Wei Dong We examine the macro implications of commodity price shocks in a model with multiple production sectors that are interconnected within a commodity-exporting small open economy. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D5, D57, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness