Challenges in Implementing Worst-Case Analysis Staff Working Paper 2018-47 Jon Danielsson, Lerby Ergun, Casper G. de Vries Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability JEL Code(s): C, C0, C01, C1, C14, C5, C58
September 13, 2018 Bank of Canada Conference on Central Bank Communications Workshop held on September 13 and 14, 2018. Content Type(s): Conferences and workshops
September 10, 2018 Bank of Canada calls for nominations for the 2019 Fellowship Program awards Media Relations Ottawa, Ontario The Bank of Canada is inviting Canadian universities to nominate exceptional academics for its 2019 Fellowship and Governor’s awards. Content Type(s): Press, Press releases Source(s): Fellowship Program
September 8, 2018 Investing in Monetary Policy Independence in a Small Open Economy Remarks Stephen S. Poloz, Césaire Meh Monetary Policy Spillovers in a Financially Integrated World Copenhagen, Denmark Governor Poloz discusses policies that can help central banks keep the ability to pursue independent monetary policy in a financially integrated global economy. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Fiscal policy, Inflation targets, International topics, Monetary policy, Monetary policy implementation
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times Staff Working Paper 2018-46 Geneviève Vallée Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C2, C25, C3, C36, C4, C41, D, D2, D23, E, E4, E41, E42
Blockchain-Based Settlement for Asset Trading Staff Working Paper 2018-45 Jonathan Chiu, Thorsten Koeppl Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses. Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech, Economic models, Financial markets, Payment clearing and settlement systems JEL Code(s): G, G2, H, H4, P, P4, P43
Price Selection Staff Working Paper 2018-44 Carlos Carvalho, Oleksiy Kryvtsov We propose a simple, model-free way to measure selection in price setting and its contribution to inflation dynamics. The proposed measure of price selection is based on the observed comovement between inflation and the average level from which adjusting prices depart. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E31, E5, E51