Uncategorized

• International Capital Flows and Bond Risk Premia

  Staff Working Paper 2010-14 Jesus Sierra

  This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15
• June 10, 2010

  The G-20’s Core Agenda to Reduce Systemic Risk

  Remarks Mark Carney International Organization of Securities Commissions (IOSCO) Montréal, Quebec

  Given this failure, the G-20’s agenda to reshape the global financial system is comprehensive and radical. The coming weeks and months will be pivotal to its success. The time for debate and discussion is drawing to a close. Policymakers now need to decide and to implement.

  Content Type(s): Press, Speeches and appearances, Remarks

• Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data

  Staff Working Paper 2010-13 James Chapman, Nellie Zhang

  In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20
• June 1, 2010

  SPRA/SRAs

  The Bank conducts Special Purchase and Resale Agreements (SPRAs) and Sale and Repurchase Agreements (SRAs) to implement its monetary policy framework in the LVTS environment. SPRAs and SRAs are used to reinforce the target overnight rate at the mid-point of the operating band.
• June 1, 2010

  Bank of Canada increases overnight rate target to 1/2 per cent and re-establishes normal functioning of the overnight market

  Media Relations Ottawa, Ontario

  The Bank of Canada today announced that it is raising its target for the overnight rate by one-quarter of one percentage point to 1/2 per cent.

  Content Type(s): Press, Press releases
• June 1, 2010

  Re-Establishment of the Standard Operating Framework for the Implementation of Monetary Policy

  Media Relations Ottawa, Ontario

  As part of the Bank of Canada's interest rate decision on 1 June 2010, the Bank will re-establish the standard operating framework for the implementation of monetary policy.

  Content Type(s): Press, Press releases
• May 26, 2010

  Senate Committee on National Finance

  Opening statement Pierre Duguay Senate Committee on National Finance Ottawa, Ontario

  At year-end 2009, there were 1.8 billion bank notes in circulation, with a total value of $55.5 billion – approximately $1,630 per Canadian. The Bank of Canada is not responsible for coins. Decisions on coinage rest with the federal government, in particular, the Department of Finance, and with the Royal Canadian Mint.

  Content Type(s): Press, Speeches and appearances, Opening statements

• Financial Stress, Monetary Policy, and Economic Activity

  Staff Working Paper 2010-12 Fuchun Li, Pierre St-Amant

  This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Monetary policy and uncertainty JEL Code(s): C, C0, C01, E, E5, E50, G, G0, G01

• Idiosyncratic Coskewness and Equity Return Anomalies

  Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang

  In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33
• May 9, 2010

  Bank of Canada Announces Swap Facility with U.S. Federal Reserve as part of Coordinated Central Bank Actions

  In response to the re-emergence of strains in U.S. dollar short-term funding markets in Europe, the Bank of Canada, the Bank of England, the European Central Bank, the Federal Reserve, and the Swiss National Bank are announcing the re-establishment of temporary U.S. dollar liquidity swap facilities.

  Content Type(s): Press, Market notices