76 Works

The Effect of Mortgage Rate Resets on Debt: Evidence from TransUnion (Part I)

Katya Kartashova
This note studies how decreases in mortgage rates affect the behaviour of borrowers in terms of spending on durable goods and repaying debt.

BoC–BoE Sovereign Default Database: Methodology, Assumptions and Sources

David Beers, Elliot Jones & John Walsh
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).

The Market for Acquiring Card Payments from Small and Medium-Sized Canadian Merchants

Angelika Welte & Jozsef Molnar
This note uses industry data and a unique dataset of small and medium-sized merchants to provide insights into the acquirer-merchant market in Canada.

CBDC adoption and usage: some insights from field and laboratory experiments

Janet Hua Jiang
This note discusses insights from historical launches of new payment methods and related laboratory experiments on the potential adoption and use of a central bank digital currency in the Canadian context.

Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning

Diego Rojas, Juan Estrada, Kim Huynh & David T. Jacho-Chávez
"The main objective of this research is to understand bank note distribution patterns. We do this in a novel way—by looking at bank notes through the lens of big data analytics. We use data from the Bank of Canada's Currency Information Management Strategy (IMS) to study the notes themselves. We perform an exploratory analysis of the networks spanned by the bank notes’ circulation across 10 regions in Canada. The analysis focuses on how long the...

Average is Good Enough: Average-inflation Targeting and the ELB

Robert Amano, Stefano Gnocchi, Sylvain Leduc & Joel Wagner
The Great Recession and current pandemic have focused attention on the constraint on nominal interest rates from the effective lower bound. This has renewed interest in monetary policies that embed makeup strategies, such as price-level or average-inflation targeting. This paper examines the properties of average-inflation targeting in a two-agent New Keynesian (TANK) model in which a fraction of firms have adaptive expectations. We examine the optimal degree of history dependence under average-inflation targeting and find...

Security and convenience of a central bank digital currency

Charles M. Kahn & Francisco Rivadeneyra
An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions.

Canadian Financial Stress and Macroeconomic Conditions

Thibaut Duprey
Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns.

Liquidity Usage and Payment Delay Estimates of the New Canadian High Value Payments System

Francisco Rivadeneyra & Nellie Zhang
As part of modernizing its core payments infrastructure, Canada will replace the Large Value Transfer System (LVTS) with a new Real-Time Gross Settlement (RTGS) system called Lynx. An important question for policy-makers is how Lynx should be designed.

The Term Structures of Loss and Gain Uncertainty

Bruno Feunou, Ricardo Lopez Aliouchkin, Roméo Tedongap & Lai Xu
"We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into these two components. Loss uncertainty is the uncertainty surrounding negative returns, and gain uncertainty is the uncertainty surrounding any future gain. Investment opportunities can be evaluated by looking at these components. Using data from a large panel of S&P 500 Index options with time to maturity ranging from 1...

A Financial Stability Analysis of Zombie Firms in Canada

Timothy Grieder & Juan Ortega
We measure the prevalence of zombie firms in Canada and assess how they could potentially affect the financial system.

India and the Global Demand for Commodities: Is There an Elephant in the Room?

Michael Francis & Corinne Luu
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 domestic and trade policies have distorted and constrained its demand for commodities. They find that India's industrial policies have altered the expansion path of its economy, putting the service sector to the forefront and likely reducing India's demand for metals. Sector-specific policies,...

Household indebtedness risks in the wake of COVID‑19

Olga Bilyk, Anson T. Y. Ho, Mikael Khan & Geneviève Vallée
COVID-19 presents challenges for indebted households. We assess these by drawing parallels between pandemics and natural disasters. Taking into account the financial health of the household sector when the pandemic began, we run model simulations to illustrate how payment deferrals and the labour market recovery will affect mortgage defaults.

The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News

Ron Alquist, Reinhard Ellwanger & Jianjian Jin
We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.

Scenario Analysis and the Economic and Financial Risks from Climate Change

Erik Ens & Craig Johnston
This paper adapts climate-economy models that have been applied in other contexts for use in climate-related scenario analysis. We consider illustrative scenarios for the global economy that could generate economic and financial risks. Our results suggest there are significant economic risks from climate change and the move to a low-carbon economy.

Demand for Payment Services and Consumer Welfare: The Introduction of a Central Bank Digital Currency

Kim Huynh, Jozsef Molnar, Oleksandr Shcherbakov & Qinghui Yu
In recent years, there have been rapid technological innovations in retail payments. Such dramatic changes in the economics of payment systems have led to questions regarding whether there is consumer demand for cash. The entry of these new products and services has resulted in significant improvements in the characteristics of existing methods of payment, such as tap-and-go technology or contactless credit and debit cards. In addition, the introduction of decentralized digital currencies has raised questions...

CBDC and Monetary Policy

Seyed Mohammadreza Davoodalhosseini, Francisco Rivadeneyra & YU ZHU
Improving the conduct of monetary policy is unlikely to be the main motivation for central banks to issue a central bank digital currency (CBDC). While some argue that a CBDC could allow more complex transfer schemes or the ability to break below the zero lower bound, we find these benefits might be small or difficult to realize in practice.

Classical Decomposition of Markowitz Portfolio Selection

Christopher Demone, Olivia Di Matteo & Barbara Collignon
In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs.

Child Skill Production: Accounting for Parental and Market-Based Time and Goods Investments

Elizabeth Caucutt, Lance Lochner, Joseph Mullins & Youngmin Park
Can daycare replace parents’ time spent with children? We explore this by using data on how parents spend time and money on children and how this spending is related to their child’s development.

What do high-frequency expenditure network data reveal about spending and inflation during COVID‑19?

Kim Huynh, Helen Lao, Patrick Sabourin & Angelika Welte
The official consumer price index (CPI) inflation measure, based on a fixed basket set before the COVID 19 pandemic, may not fully reflect what consumers are currently experiencing. We partnered with Statistics Canada to construct a more representative index for the pandemic with weights based on real-time transaction and survey data.

The Canadian corporate investment gap

Christopher D'Souza, Timothy Grieder, Daniel Hyun & Jonathan Witmer
Business investment has been lower than expected in Canada and abroad since the financial crisis of 2007–09. This corporate investment gap is mirrored in firms’ other financing decisions, as they have increased cash holdings and dividend payments and decreased issuance of debt and equity.

Ten Isn’t Large! Group Size and Coordination in a Large-Scale Experiment

Jasmina Arifovic, Cars Hommes, Anita Kopányi-Peuker & isabelle salle
"Economic activities typically involve coordination among a large number of agents. These agents have to anticipate what other agents think before making their own decisions. Agents may fail to arrive at the best outcome simply because they believe that the others will fail to reach the same outcome. These situations are not uncommon: bank runs, liquidity runs in financial markets or currency attacks may all result from depositors and investors simply believing that others will...

Is Central Bank Currency Fundamental to the Monetary System?

Hanna Armelius, Carl Andreas Claussen & Scott Hendry
In this paper, we discuss whether the ability of individuals to convert commercial bank money (i.e., bank deposits) into central bank money is fundamentally important for the monetary system. This is a significant question since the use of cash—the only form of central bank money that the public currently has access to—is declining rapidly in many countries. The question is highly relevant to the discussion around whether central banks need to issue a retail central...

COVID-19 and bond market liquidity: alert, isolation and recovery

Jean-Sébastien Fontaine, Hayden Ford & Adrian Walton
The disruption due to COVID-19 reverberated through the bond markets in three phases. In the first phase, dealers met the rising demand for liquidity. In the second, dealers reduced the supply of liquidity, and trading conditions worsened significantly. Finally, the market returned to relative stability following several interventions by the Bank of Canada.

Sample Calibration of the Online CFM Survey

Marie-Helene Felt & David Laferrière
The Bank of Canada’s Currency Department has used the Canadian Financial Monitor (CFM) survey since 2009 to track Canadians’ cash usage, payment card ownership and usage, and the adoption of payment innovations. A new online CFM survey was launched in 2018. Because it uses non-probability sampling for data collection, selection bias is very likely. We outline various methods for obtaining survey weights and discuss the associated conditions necessary for these weights to eliminate selection bias....

Registration Year

  • 2020
    76

Resource Types

  • Text
    76

Affiliations

  • Bank of Canada
    76