Credit and credit aggregates

• Should Central Banks Adjust Their Target Horizons in Response to House-Price Bubbles?

  Staff Discussion Paper 2007-4 Meenakshi Basant Roi, Rhys R. Mendes

  The authors investigate the implications of house-price bubbles for the optimal inflation-target horizon using a dynamic general-equilibrium model with credit frictions, house-price bubbles, and small open-economy features. They find that, given the distribution of shocks and inflation persistence over the past 25 years, the optimal target horizon for Canada tends to be at the lower […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Credit and credit aggregates, Economic models, Inflation targets, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E42, E44, E5, E52, E58, E6, E61
• October 8, 2006

  Modelling Financial Channels for Monetary Policy Analysis

  Bank of Canada Review - Autumn 2006 Ian Christensen, Ben Fung, Césaire Meh

  The Bank of Canada considers a wide range of information and analysis before making a monetary policy decision and uses carefully articulated models to produce economic projections and to examine alternative scenarios. This article describes an ongoing research agenda at the Bank to develop models in which financial variables play an active role in the transmission of monetary policy actions to economic activity. Such models can help to analyze information from the financial side of the economy and to provide an overall view of the implications of financial developments for the current economic outlook. The authors also explain how this research can help address other issues relevant to the objectives of monetary policy, including how asset-price movements should be taken into account in the monetary policy framework.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Credit and credit aggregates, Economic models, Monetary policy transmission

• Estimation of the Default Risk of Publicly Traded Canadian Companies

  Staff Working Paper 2006-28 Georges Dionne, Sadok Laajimi, Sofiane Mejri, Madalina Petrescu

  Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Debt management, Econometric and statistical methods, Financial markets, Recent economic and financial developments JEL Code(s): G, G2, G21, G24, G28, G3, G33

• Money and Credit Factors

  Staff Working Paper 2006-3 Paul Gilbert, Erik Meijer

  The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C4, C43, C8, C82, E, E5, E51

• Does Financial Structure Matter for the Information Content of Financial Indicators?

  Staff Working Paper 2005-33 Ramdane Djoudad, Jack Selody, Carolyn A. Wilkins

  Of particular concern to monetary policy-makers is the considerable unreliability of financial variables for predicting GDP growth and inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Inflation and prices, Interest rates, Monetary aggregates JEL Code(s): E, E3, E31, E32

• Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit

  Staff Working Paper 2005-18 Shubhasis Dey

  The author models the choice between credit cards and home equity lines of credit (HELOCs) within a framework where consumers hold lines of credit as instruments of consumption smoothing across state and time.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates JEL Code(s): D, D1, D8, D81

• Trade Credit and Credit Rationing in Canadian Firms

  Staff Working Paper 2004-49 Rose Cunningham

  Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial markets JEL Code(s): G, G1, G14, G2, G21, G3, G32

• Collateral and Credit Supply

  Staff Working Paper 2003-11 Joseph Atta-Mensah

  The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Economic models JEL Code(s): E, E5, E51, G, G1, G11, G12, G13
• November 16, 2000

  Credit Derivatives

  Bank of Canada Review - Autumn 2000 John Kiff, Ron Morrow

  Credit derivatives are a useful tool for lenders who want to reduce their exposure to a particular borrower but are unwilling to sell their claims on that borrower. Without actually transferring ownership of the underlying assets, these contracts transfer risk from one counterparty to another. Commercial banks are the major participants in this growing market, using these transactions to diversify their portfolios of loans and other risky assets. The authors examine the size and workings of this relatively new market and discuss the potential of these transactions for distorting existing incentives for risk management and risk monitoring.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Credit and credit aggregates, Financial markets, Market structure and pricing

• An Analysis of the Information Content of Alternative Credit Aggregates

  Technical Report No. 49 Leslie Milton

  This study evaluates the information content of 25 measures of credit with respect to three macroeconomic variables—nominal spending, real spending and prices. Initially, simple descriptive techniques are used to assess the contemporaneous and leading relationships between the credit aggregates and the three goal variables. Next, bivariate vector autoregression models are constructed by regressing each of […]

  Content Type(s): Staff research, Technical reports Topic(s): Credit and credit aggregates JEL Code(s): E, E5, E51