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Consumption, housing collateral, and the Canadian business cycle
Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - 2009
Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the...
Persistent link: https://www.econbiz.de/10003933334
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An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt
Xu, Shaofeng - Bank of Canada - 2013
This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to … the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. I construct an overlapping generations … prices and most of the increase in mortgage debt during this period. Population aging contributes to rising house prices and …
Persistent link: https://www.econbiz.de/10010640465
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Consumption, Housing Collateral, and the Canadian Business Cycle
Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - Bank of Canada - 2009
Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the...
Persistent link: https://www.econbiz.de/10008566348
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Banks’ Financial Distress, Lending Supply and Consumption Expenditure
Damar, H. Evren; Group, Reint; Mordel, Adi - Bank of Canada - 2014
. Specifically, we show that households whose banks were more exposed to funding shocks report significantly lower levels of non-mortgage …
Persistent link: https://www.econbiz.de/10010762051
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Heterogeneous beliefs and housing-market boom-bust cycles in a small open economy
Tomura, Hajime - 2009
emerge when credit-constrained mortgage borrowers expect that future house prices will rise and this expectation is neither … amplify housing-market boom-bust cycles by encouraging speculative housing investments by mortgage borrowers during housing …
Persistent link: https://www.econbiz.de/10003852849
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Prospects for global current account rebalancing
Beaton, Kimberly; De Resende, Carlos; Lalonde, René; … - 2010
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 BoC-GEM-FIN), to study the evolution of global current account balances following the recent global financial...
Persistent link: https://www.econbiz.de/10003981363
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A financial conditions index for the United States
Beaton, Kimberly; Lalonde, René; Luu, Corinne - 2009
The financial crisis of 200709 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes...
Persistent link: https://www.econbiz.de/10003933229
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International House Price Cycles, Monetary Policy and Risk Premiums
Bauer, Gregory - Bank of Canada - 2014
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals. Corrections are...
Persistent link: https://www.econbiz.de/10011096540
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The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
Garcia, René; Luger, Richard - Bank of Canada - 2005
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...
Persistent link: https://www.econbiz.de/10005673296
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Macroeconomic Determinants of the Term Structure of Corporate Spreads
Yang, Jun - Bank of Canada - 2008
We investigate the macroeconomic determinants of corporate spreads using a no-arbitrage technique. Structural shocks are identified by a New-Keynesian model. Treasury bonds are priced in an affine model with time-varying risk premia. Corporate bonds are priced in a reduced-form credit risk model...
Persistent link: https://www.econbiz.de/10005673354