Tail Index Estimation: Quantile-Driven Threshold Selection Staff Working Paper 2019-28 Jon Danielsson, Lerby Ergun, Casper G. de Vries, Laurens de Haan The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C0, C01, C1, C14, C5, C58
Lending Standards, Productivity and Credit Crunches Staff Working Paper 2019-25 Jonathan Swarbrick We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, Financial stability, Interest rates, Productivity JEL Code(s): E, E2, E22, E3, E32, E4, E44, G, G0, G01
May 16, 2019 Release of the Financial System Review Opening statement Stephen S. Poloz Ottawa, Ontario Press conference following the release of the Financial System Review. Content Type(s): Press, Speeches and appearances, Opening statements Topic(s): Climate change, Credit and credit aggregates, Financial stability, Financial system regulation and policies, Housing, Regional economic developments, Sectoral balance sheet
Assessing the Resilience of the Canadian Banking System Staff Analytical Note 2019-16 Charles Gaa, Xuezhi Liu, Cameron MacDonald, Xiangjin Shen The stability of the Canadian financial system, as well as its ability to support the Canadian economy, depends on the ability of financial institutions to absorb and manage major shocks. This is especially true for large banks, which perform services essential to the Canadian economy. Content Type(s): Staff research, Staff analytical notes Topic(s): Financial institutions, Financial stability JEL Code(s): C, C6, C63, E, E2, E27, E3, E37, E4, E44, G, G0, G01, G2, G21
Measuring Non-Financial Corporate Sector Vulnerabilities in Canada Staff Analytical Note 2019-15 Timothy Grieder, Claire Schaffter The ratio of non-financial corporate debt to gross domestic product in Canada has increased noticeably in recent years and is currently at an all-time high. In light of this development, we use a unique firm-level dataset to construct vulnerability indicators for the non-financial corporate sector in Canada. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial stability, Monetary and financial indicators, Recent economic and financial developments, Sectoral balance sheet JEL Code(s): G, G0, G01, G3, G32
Reassessing the Growth of HELOCs in Canada Using New Regulatory Data Staff Analytical Note 2019-14 Leila Al-Mqbali, Olga Bilyk, Stefan Caputo, James Younker Using new regulatory data on residential secured lending from Canadian banks, we assess the growth rate of home equity lines of credit (HELOCs). Content Type(s): Staff research, Staff analytical notes Topic(s): Credit and credit aggregates, Financial institutions, Financial stability, Recent economic and financial developments JEL Code(s): D, D1, G, G2, G21, G28
May 6, 2019 Risk Sharing, Flexibility and the Future of Mortgages Remarks Stephen S. Poloz Canadian Credit Union Association and Winnipeg Chamber of Commerce Winnipeg, Manitoba Governor Poloz talks about Canada’s housing market and how the mortgage market could evolve to give Canadians more choice, make the economy more flexible and lower the level of financial system risk. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Financial services, Financial stability, Housing, Recent economic and financial developments, Trade integration
May 6, 2019 Poloz talks mortgages: Innovation could improve flexibility Speech summary Stephen S. Poloz Canadian Credit Union Association and the Winnipeg Chamber of Commerce Winnipeg, Manitoba Stephen S. Poloz, Governor of the Bank of Canada, speaks before the Canadian Credit Union Association and the Winnipeg Chamber of Commerce. Content Type(s): Press, Speeches and appearances, Speech summaries Topic(s): Financial services, Financial stability, Housing, Recent economic and financial developments, Trade integration
Disentangling the Factors Driving Housing Resales Staff Analytical Note 2019-12 Mikael Khan, Taylor Webley We use a recently developed model and loan-level microdata to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period. Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, Housing, Recent economic and financial developments JEL Code(s): C, C2, C22, E, E2, R, R2, R21
Could Canadian Bond Funds Add Stress to the Financial System? Staff Analytical Note 2019-9 Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc, Ryan Shotlander We create a hypothetical scenario to study the role bond funds play in intensifying shocks to the financial system. Using data from 2018 and 2007, we find that bond funds play a larger role now than they did in the past. Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23