Posts

• May 16, 2022

  CARR welcomes RBSL’s decision to cease the publication of CDOR after June 28, 2024

  Today, Refinitiv Benchmark Services (UK) Limited (RBSL), CDOR’s regulated administrator, announced the cessation of the publication of CDOR after June 28, 2024.

  Content Type(s): Press, Market notices Source(s): Canadian Alternative Reference Rate Working Group

• Transmission of Cyber Risk Through the Canadian Wholesale Payment System

  Staff Working Paper 2022-23 Anneke Kosse, Zhentong Lu

  This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C4, C49, E, E4, E42, E47, G, G2, G21
• May 12, 2022

  The perfect storm

  Remarks Toni Gravelle Association des économistes québécois Montréal, Quebec

  Deputy Governor Toni Gravelle discusses the commodity price shock and its implications for the Canadian economy and monetary policy.

  Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Exchange rates, Expectations, Inflation and prices, Inflation: costs and benefits, Interest rates, International topics, Labour markets, Monetary policy, Monetary policy and uncertainty, Monetary policy communications, Recent economic and financial developments

• Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors

  Staff Working Paper 2022-22 Erhao Xie

  This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C57
• May 12, 2022

  How commodity prices affect our economy

  Speech summary Toni Gravelle Association des économistes québécois Montréal, Quebec

  Deputy Governor Toni Gravelle talks about the spike in commodity prices over the past two years, the impact on inflation and how the Bank of Canada is responding.

  Content Type(s): Press, Speeches and appearances, Speech summaries Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Exchange rates, Expectations, Inflation and prices, Inflation: costs and benefits, Interest rates, International topics, Labour markets, Monetary policy, Monetary policy and uncertainty, Monetary policy communications, Recent economic and financial developments

• Expectation-Driven Term Structure of Equity and Bond Yields

  Staff Working Paper 2022-21 Ming Zeng, Guihai Zhao

  Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12
• May 11, 2022

  Release of the 2021 Bank of Canada FMI Oversight Activities Annual Report

  The Bank of Canada today published the Bank of Canada Oversight Activities for Financial Market Infrastructures 2021 Annual Report.

  Content Type(s): Press, Market notices

• Nowcasting Canadian GDP with Density Combinations

  Staff Discussion Paper 2022-12 Tony Chernis, Taylor Webley

  We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E7

• Resilience of bank liquidity ratios in the presence of a central bank digital currency

  Staff Analytical Note 2022-5 Alissa Gorelova, Bena Lands, Maria teNyenhuis

  Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Central bank research, Digital currencies and fintech, Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, E, E4, G, G2, G21, O, O3, O33
• May 5, 2022

  Supporting Indigenous prosperity

  Speech summary Lawrence L. Schembri National Aboriginal Capital Corporations Association Gatineau, Quebec

  In his final speech before retiring from the Bank of Canada, Deputy Governor Lawrence Schembri talks about the Bank’s contribution to advancing economic inclusion and opportunity for Indigenous peoples.

  Content Type(s): Press, Speeches and appearances, Speech summaries Topic(s): Fiscal policy, Monetary policy