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Bank of Canada
(53 results)-
White Papers
The Effect of the Sarbanes-Oxley Act on CEO Pay for Luck
June 1, 2008, 12:00am PDT
According to the rent-extraction hypothesis, weak corporate governance allows entrenched CEOs to capture the pay-setting process and benefit from events outside of their control - get paid for...
Provided by Bank of Canada
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White Papers
Unsecured Debt, Consumer Bankruptcy, And Small Business
February 1, 2008, 12:00am PST
In this paper the authors develop a quantitative model of entrepreneurial activity (risk-taking) and consumer bankruptcy choices and use the model to study the effects of bankruptcy regulations on...
Provided by Bank of Canada
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White Papers
The Impact Of The Global Business Cycle On Small Open Economies: A FAVAR Approach For Canada
January 1, 2011, 12:00am PST
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, the authors use a Factor-Augmented VAR (FAVAR) model with more than 260 series for 20...
Provided by Bank of Canada
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White Papers
Understanding Systemic Risk: The Trade-Offs Between Capital, Short-Term Funding And Liquid Asset Holdings
November 1, 2010, 12:00am PDT
The authors offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Following Morris and Shin...
Provided by Bank of Canada
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White Papers
Uninsurable Investment Risks And Capital Income Taxation
January 1, 2009, 12:00am PST
Several authors have presented reduced-form evidence suggesting that the degree of exchange rate pass-through to the consumer price index has declined in Canada since the early 1980s and are...
Provided by Bank of Canada
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White Papers
Implications Of Asymmetry Risk For Portfolio Analysis And Asset Pricing
August 1, 2007, 12:00am PDT
Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences...
Provided by Bank of Canada
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White Papers
Tracking Canadian Trend Productivity: A Dynamic Factor Model With Markov Switching
November 1, 2007, 12:00am PDT
The author attempts to track Canadian labor productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labor productivity series, includes aggregate...
Provided by Bank of Canada
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White Papers
Hedge Funds And Financial Stability: The State Of The Debate
September 1, 2007, 12:00am PDT
The authors review the state of the debate on hedge funds and the potential threat that hedge funds pose to financial stability. The collapse of a hedge fund or a group of hedge funds might pose a...
Provided by Bank of Canada
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White Papers
Asset-Price Misalignments And Monetary Policy: How Flexible Should Inflation-Targeting Regimes Be?
July 1, 2007, 12:00am PDT
The authors analyze the extent to which inflation-targeting frameworks should incorporate flexibility in order to respond to asset-price misalignments and other atypical events. They examine the...
Provided by Bank of Canada
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White Papers
Unanticipated Defaults And Losses In Canada~s Large-Value Payments System, Revisited
June 1, 2007, 12:00am PDT
The authors use a much larger set of daily payments data - with three times as many observations - to examine the simulated losses of private sector participants and the Bank from defaults in the...
Provided by Bank of Canada
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White Papers
India And The Global Demand For Commodities: Is There An Elephant In The Room?
December 1, 2008, 12:00am PST
After 10 years of impressive growth, India is now the fourth largest economy in the world. Yet, to date, India's impact on global commodity markets has been muted. The authors examine how India's...
Provided by Bank of Canada
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White Papers
A Survey And Risk Analysis Of Selected Non-Bank Retail Payments Systems
November 1, 2008, 12:00am PDT
Payment services offered by non-banks have flourished in recent years. The author provides an overview of the different kinds of non-bank retail payments schemes currently available in Canada,...
Provided by Bank of Canada
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White Papers
The Impact Of Sovereign Wealth Funds On International Financial Stability
September 1, 2008, 12:00am PDT
Over the recent period, many emerging-market economies and commodity-exporting nations have experienced unprecedented growth and accumulated substantial amounts of foreign exchange reserves. The...
Provided by Bank of Canada
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White Papers
What To Do About Bilateral Credit Limits In The LVTS When A Closure Is Anticipated: Risk Versus Liquidity Sharing Among LVTS Participants
September 1, 2008, 12:00am PDT
The authors examine the effect of a trade-off between shared credit risk and liquidity efficiency, among participants in Tranche 2 of the Large Value Transfer System (LVTS T2), on their decisions...
Provided by Bank of Canada
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White Papers
Merchant Acceptance, Costs, And Perceptions Of Retail Payments: A Canadian Survey
August 1, 2008, 12:00am PDT
Using the results of a survey on accepted means of payment, the authors examine merchant preferences and perceptions of retail payment reliability, risk, and costs; the share of each type of...
Provided by Bank of Canada
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White Papers
Liquidity Efficiency And Distribution In The LVTS: Non-Neutrality Of System Changes Under Network Asymmetry
July 1, 2008, 12:00am PDT
The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strategic reactions of...
Provided by Bank of Canada
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White Papers
The Implementation Of Monetary Policy In Canada
July 1, 2008, 12:00am PDT
The authors present a detailed discussion of the Bank of Canada's framework for the implementation of monetary policy. As background, they provide a brief overview of the financial system in...
Provided by Bank of Canada
-
White Papers
The Global Effects Of U.S. Fiscal Policy
May 1, 2008, 12:00am PDT
The author examines the global impact of U.S. fiscal policy using the Bank of Canada's Global Economy Model (Lalonde and Muir 2007). In particular, the author examines the global macroeconomic...
Provided by Bank of Canada
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White Papers
The Effects Of A Disruption In CDSX Settlement On Activity In The LVTS: A Simulation Study
May 1, 2008, 12:00am PDT
The Large Value Transfer System (LVTS) for settling large payments, and CDSX for settling debt and equity trades, are two of the main settlement systems in Canada. They are closely linked; for...
Provided by Bank of Canada
-
White Papers
Reforming The IMF: Lessons From Modern Central Banking
May 1, 2008, 12:00am PDT
The authors examine the institutional and governance framework of modern central banks to determine whether there are lessons that can be applied to the International Monetary Fund's (IMF's)...
Provided by Bank of Canada
-
White Papers
Sterilized Intervention In Emerging-Market Economies: Trends, Costs, And Risks
March 1, 2008, 12:00am PST
The author examines recent trends in sterilized intervention among emerging-market economies, to determine the size and extent of this policy in relation to earlier periods of heavy reserve...
Provided by Bank of Canada
-
White Papers
Understanding Productivity: A Review Of Recent Technical Research
February 1, 2008, 12:00am PST
The authors provide an extensive review of the rapidly expanding research on productivity, both at the macro and micro levels. They focus primarily on papers written about Canada, but also draw on...
Provided by Bank of Canada
-
White Papers
The Carry Trade, Portfolio Diversification, And The Adjustment Of The Japanese Yen
January 1, 2008, 12:00am PST
In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and...
Provided by Bank of Canada
-
White Papers
Regulatory Constraints On Bank Leverage: Issues And Lessons From The Canadian Experience
December 1, 2009, 12:00am PST
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying...
Provided by Bank of Canada
-
White Papers
Market Timing Of Long-Term Debt Issuance
December 1, 2009, 12:00am PST
The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of...
Provided by Bank of Canada
-
White Papers
Network Analysis And Canada's Large Value Transfer System
December 1, 2009, 12:00am PST
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a Payment, Clearing, and...
Provided by Bank of Canada
-
White Papers
A Financial Conditions Index For The United States
August 1, 2009, 12:00am PDT
The financial crisis of 2007-09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to...
Provided by Bank of Canada
-
White Papers
Strengthening IMF Surveillance: An Assessment Of Recent Reforms
July 1, 2009, 12:00am PDT
The authors assess the potential impact of recently approved reforms to International Monetary Fund (IMF) surveillance; namely, the "2007 Decision on Bilateral Surveillance Over Members' Policies"...
Provided by Bank of Canada
-
White Papers
The Role Of Convenience And Risk In Consumers' Means Of Payment
July 1, 2009, 12:00am PDT
Using data from a 2004 survey of the Canadian public, the authors study the role of convenience and risk in consumers' use of cash relative to debit and credit cards. The authors find that...
Provided by Bank of Canada
-
White Papers
Household Debt, Assets, And Income In Canada: A Microdata Study
June 1, 2009, 12:00am PDT
The authors use microdata from the 1999 and 2005 Surveys of Financial Security to identify changes in household debt, and discuss their potential implications for monetary policy and financial...
Provided by Bank of Canada
-
White Papers
Assessing The Implementation Of The IMF's 2007 Surveillance Decision
February 1, 2009, 12:00am PST
The International Monetary Fund (IMF) recently adopted the "2007 Decision on Bilateral Surveillance Over Members' Policies," a landmark reform that modernizes the general principles of IMF...
Provided by Bank of Canada
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White Papers
Has The Inclusion Of Forward-Looking Statements In Monetary Policy Communications Made The Bank Of Canada More Transparent?
November 1, 2010, 12:00am PDT
To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically - over the period 30 October 2000 to 31 May 2007 - the...
Provided by Bank of Canada
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White Papers
Losses From Simulated Defaults In Canada's Large Value Transfer System
October 1, 2010, 12:00am PDT
The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would...
Provided by Bank of Canada
-
White Papers
Asset-Liability Management: An Overview
August 1, 2010, 12:00am PDT
Relevant literature on Asset-Liability Management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modeling the...
Provided by Bank of Canada
-
White Papers
Inventories In ToTEM
August 1, 2010, 12:00am PDT
ToTEM - the Bank of Canada's principal projection and policy-analysis model for the Canadian economy - is extended to include inventories. In the model, firms accumulate inventories of finished...
Provided by Bank of Canada
-
White Papers
Inventories, Stockouts, And ToTEM
July 1, 2010, 12:00am PDT
Inventory investment is an important component of the Canadian business cycle. Despite its small average size - less than 1 per cent of output - it exhibits volatile procyclical fluctuations,...
Provided by Bank of Canada
-
White Papers
The Power Of Many: Assessing The Economic Impact Of The Global Fiscal Stimulus
January 1, 2010, 12:00am PST
The Bank of Canada Global Economy Model (BoC-GEM) is a micro-found dynamic stochastic general-equilibrium global model with six regions, multiple sectors, and international linkages. The authors...
Provided by Bank of Canada
-
White Papers
Market Expectations And Option Prices: Evidence For The Can$/US$ Exchange Rate
March 1, 2010, 12:00am PST
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the...
Provided by Bank of Canada
-
White Papers
Prospects For Global Current Account Rebalancing
April 1, 2010, 12:00am PDT
The authors use the Bank of Canada's version of the Global Economy Model, a multi-country, multi-sector dynamic stochastic general-equilibrium model with an active banking system (the...
Provided by Bank of Canada
-
White Papers
Relative Price Movements And Labour Productivity In Canada: A VAR Analysis
May 1, 2010, 12:00am PDT
In recent years, the Canadian economy has been affected by strong movements in relative prices brought about by the surging costs of energy and non-energy commodities, with significant...
Provided by Bank of Canada
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White Papers
The Equity Premium And The Volatility Spread : The Role Of Risk-Neutral Skewness
June 30, 2009, 12:00am PDT
The authors introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The...
Provided by Bank of Canada
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White Papers
Limited Nominal Indexation Of Optimal Financial Contracts
January 26, 2010, 12:00am PST
The authors study a model with repeated moral hazard where financial contracts are not fully indexed to inflation because nominal prices are observed with delay, as in Jovanovic & Ueda (1997)....
Provided by Bank of Canada
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White Papers
Trend Inflation, Nominal Rigidities, And Endogenous Growth Preliminary And Incomplete
February 13, 2009, 12:00am PST
The authors study the implications of trend inflation for an economy's long-run growth rate. To do so, they extend a New Keynesian model to allow for endogenous growth. The defining characteristic...
Provided by Bank of Canada
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White Papers
Trend Inflation And Economic Growth In The Presence Of Nominal Price Contracts Preliminary And Incomplete
June 18, 2008, 12:00am PDT
The authors study the implications of trend inflation for an economy's long-run growth rate. To do so, they extend a class of general-equilibrium monetary model known as the New Neoclassical...
Provided by Bank of Canada
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White Papers
The Paradox Of Market-Oriented Public Policy And Poor Productivity Growth In Canada
September 15, 2009, 12:00am PDT
In recent decades, governments in Canada have pursued market-oriented policies at both the macro and micro levels. Economists believe that such policies should foster productivity growth. Since...
Provided by Bank of Canada
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White Papers
Fiscal Priorities For Canada: Building On The Legacy Of David Dodge
November 1, 2008, 12:00am PDT
It is often said that political realities preclude governments of the day from undertaking sound economic measures, especially when the gains are long term and the sacrifices occur now. Indeed,...
Provided by Bank of Canada
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White Papers
The Financial Crisis And The Policy Responses : An Empirical Analysis Of What Went Wrong
September 15, 2009, 12:00am PDT
What caused the financial crisis? What prolonged it? Why did it worsen so dramatically more than a year after it began? Rarely in economics is there a single answer to such questions, but the...
Provided by Bank of Canada
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White Papers
Electronic Transactions As High-Frequency Indicators Of Economic Activity
October 11, 2007, 12:00am PDT
Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic...
Provided by Bank of Canada
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White Papers
Financial Stability, Monetarism And The Wicksell Connection
September 5, 2007, 12:00am PDT
In today's discussions of central banking, maintaining macro-financial stability tends to be treated as ancillary to the pursuit of price level goals. This is in strong contrast to the earlier...
Provided by Bank of Canada
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White Papers
A Model Of Tiered Settlement Networks
November 13, 2008, 12:00am PST
This paper develops a model of settlement system to study the endogenous structure of settlement networks, and the welfare consequences of clearing agent failure. The equilibrium degree of tiering...
Provided by Bank of Canada
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White Papers
Capital Constraints, Counterparty Risk And Deviations From Covered Interest Rate Parity
July 1, 2009, 12:00am PDT
The authors provide robust evidence of a deviation in the Covered Interest Parity (CIP) relation since the onset of the crisis in August 2007. The CIP deviation exists with respect to several...
Provided by Bank of Canada
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White Papers
Risk Premium Shocks And The Zero Bound On Nominal Interest Rates
October 13, 2009, 12:00am PDT
There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have...
Provided by Bank of Canada
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White Papers
ABS Inflows To The U.S. And The Global Financial Crisis
October 22, 2010, 12:00am PDT
It is widely accepted that international capital flows played an important role in the emergence of the U.S. housing bubble and the global financial crisis that followed the bursting of that...
Provided by Bank of Canada
-
White Papers
Relative Price Movements And Labour Productivity In Canada: A VAR Analysis
May 1, 2010, 12:00am PDT
In recent years, the Canadian economy has been affected by strong movements in relative prices brought about by the surging costs of energy and non-energy commodities, with significant...
Provided by Bank of Canada
-
White Papers
Prospects For Global Current Account Rebalancing
April 1, 2010, 12:00am PDT
The authors use the Bank of Canada's version of the Global Economy Model, a multi-country, multi-sector dynamic stochastic general-equilibrium model with an active banking system (the...
Provided by Bank of Canada
-
White Papers
Market Expectations And Option Prices: Evidence For The Can$/US$ Exchange Rate
March 1, 2010, 12:00am PST
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the...
Provided by Bank of Canada
-
White Papers
The Power Of Many: Assessing The Economic Impact Of The Global Fiscal Stimulus
January 1, 2010, 12:00am PST
The Bank of Canada Global Economy Model (BoC-GEM) is a micro-found dynamic stochastic general-equilibrium global model with six regions, multiple sectors, and international linkages. The authors...
Provided by Bank of Canada
-
White Papers
Inventories, Stockouts, And ToTEM
July 1, 2010, 12:00am PDT
Inventory investment is an important component of the Canadian business cycle. Despite its small average size - less than 1 per cent of output - it exhibits volatile procyclical fluctuations,...
Provided by Bank of Canada
-
White Papers
Inventories In ToTEM
August 1, 2010, 12:00am PDT
ToTEM - the Bank of Canada's principal projection and policy-analysis model for the Canadian economy - is extended to include inventories. In the model, firms accumulate inventories of finished...
Provided by Bank of Canada
-
White Papers
Asset-Liability Management: An Overview
August 1, 2010, 12:00am PDT
Relevant literature on Asset-Liability Management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modeling the...
Provided by Bank of Canada
-
White Papers
Losses From Simulated Defaults In Canada's Large Value Transfer System
October 1, 2010, 12:00am PDT
The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would...
Provided by Bank of Canada
-
White Papers
Has The Inclusion Of Forward-Looking Statements In Monetary Policy Communications Made The Bank Of Canada More Transparent?
November 1, 2010, 12:00am PDT
To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically - over the period 30 October 2000 to 31 May 2007 - the...
Provided by Bank of Canada
-
White Papers
Assessing The Implementation Of The IMF's 2007 Surveillance Decision
February 1, 2009, 12:00am PST
The International Monetary Fund (IMF) recently adopted the "2007 Decision on Bilateral Surveillance Over Members' Policies," a landmark reform that modernizes the general principles of IMF...
Provided by Bank of Canada
-
White Papers
Household Debt, Assets, And Income In Canada: A Microdata Study
June 1, 2009, 12:00am PDT
The authors use microdata from the 1999 and 2005 Surveys of Financial Security to identify changes in household debt, and discuss their potential implications for monetary policy and financial...
Provided by Bank of Canada
-
White Papers
The Role Of Convenience And Risk In Consumers' Means Of Payment
July 1, 2009, 12:00am PDT
Using data from a 2004 survey of the Canadian public, the authors study the role of convenience and risk in consumers' use of cash relative to debit and credit cards. The authors find that...
Provided by Bank of Canada
-
White Papers
Strengthening IMF Surveillance: An Assessment Of Recent Reforms
July 1, 2009, 12:00am PDT
The authors assess the potential impact of recently approved reforms to International Monetary Fund (IMF) surveillance; namely, the "2007 Decision on Bilateral Surveillance Over Members' Policies"...
Provided by Bank of Canada
-
White Papers
A Financial Conditions Index For The United States
August 1, 2009, 12:00am PDT
The financial crisis of 2007-09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to...
Provided by Bank of Canada
-
White Papers
Network Analysis And Canada's Large Value Transfer System
December 1, 2009, 12:00am PST
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a Payment, Clearing, and...
Provided by Bank of Canada
-
White Papers
Market Timing Of Long-Term Debt Issuance
December 1, 2009, 12:00am PST
The literature on market timing of long-term debt issuance yields mixed evidence that managers can successfully time their debt-maturity issuance. The early results that are indicative of...
Provided by Bank of Canada
-
White Papers
Regulatory Constraints On Bank Leverage: Issues And Lessons From The Canadian Experience
December 1, 2009, 12:00am PST
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying...
Provided by Bank of Canada
-
White Papers
The Carry Trade, Portfolio Diversification, And The Adjustment Of The Japanese Yen
January 1, 2008, 12:00am PST
In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and...
Provided by Bank of Canada
-
White Papers
Understanding Productivity: A Review Of Recent Technical Research
February 1, 2008, 12:00am PST
The authors provide an extensive review of the rapidly expanding research on productivity, both at the macro and micro levels. They focus primarily on papers written about Canada, but also draw on...
Provided by Bank of Canada
-
White Papers
Sterilized Intervention In Emerging-Market Economies: Trends, Costs, And Risks
March 1, 2008, 12:00am PST
The author examines recent trends in sterilized intervention among emerging-market economies, to determine the size and extent of this policy in relation to earlier periods of heavy reserve...
Provided by Bank of Canada
-
White Papers
Reforming The IMF: Lessons From Modern Central Banking
May 1, 2008, 12:00am PDT
The authors examine the institutional and governance framework of modern central banks to determine whether there are lessons that can be applied to the International Monetary Fund's (IMF's)...
Provided by Bank of Canada
-
White Papers
The Effects Of A Disruption In CDSX Settlement On Activity In The LVTS: A Simulation Study
May 1, 2008, 12:00am PDT
The Large Value Transfer System (LVTS) for settling large payments, and CDSX for settling debt and equity trades, are two of the main settlement systems in Canada. They are closely linked; for...
Provided by Bank of Canada
-
White Papers
The Global Effects Of U.S. Fiscal Policy
May 1, 2008, 12:00am PDT
The author examines the global impact of U.S. fiscal policy using the Bank of Canada's Global Economy Model (Lalonde and Muir 2007). In particular, the author examines the global macroeconomic...
Provided by Bank of Canada
-
White Papers
The Implementation Of Monetary Policy In Canada
July 1, 2008, 12:00am PDT
The authors present a detailed discussion of the Bank of Canada's framework for the implementation of monetary policy. As background, they provide a brief overview of the financial system in...
Provided by Bank of Canada
-
White Papers
Liquidity Efficiency And Distribution In The LVTS: Non-Neutrality Of System Changes Under Network Asymmetry
July 1, 2008, 12:00am PDT
The authors consider the liquidity efficiency of Tranche 2 of the Large Value Transfer System (LVTS T2) by examining, through an empirical analysis, some plausible strategic reactions of...
Provided by Bank of Canada
-
White Papers
Merchant Acceptance, Costs, And Perceptions Of Retail Payments: A Canadian Survey
August 1, 2008, 12:00am PDT
Using the results of a survey on accepted means of payment, the authors examine merchant preferences and perceptions of retail payment reliability, risk, and costs; the share of each type of...
Provided by Bank of Canada
-
White Papers
What To Do About Bilateral Credit Limits In The LVTS When A Closure Is Anticipated: Risk Versus Liquidity Sharing Among LVTS Participants
September 1, 2008, 12:00am PDT
The authors examine the effect of a trade-off between shared credit risk and liquidity efficiency, among participants in Tranche 2 of the Large Value Transfer System (LVTS T2), on their decisions...
Provided by Bank of Canada
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