Staff research
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Do hedge funds support liquidity in the Government of Canada bond market?
While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity. -
BoC–BoE Sovereign Default Database: What’s new in 2023?
The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2023 edition includes a new section about the characteristics of sovereign defaults and provides new visuals showing regional debt in default. -
Is Money Essential? An Experimental Approach
Monetary theory says that money is essential if it helps to achieve better incentive-feasible outcomes. We test this in the laboratory. -
BoC–BoE Sovereign Default Database: Appendix and References
Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). -
BoC–BoE Sovereign Default Database: Methodology and Assumptions
The Bank of Canada (BoC), in partnership with the Bank of England (BoE), developed a comprehensive database of sovereign defaults in 2014. The database is posted on the Bank of Canada’s website and updated annually. The BoC–BoE database draws on datasets published by various public and private sector sources. It combines elements of these, together with new information, to develop comprehensive estimates of stocks of government obligations in default. -
It takes a panel to predict the future: What the stock market says about future economic growth in Canada
Valuation ratios in the Canadian stock market can help reveal investors’ expectations about future economic growth because the impact of economic growth on valuation ratios can vary across industries. We find that this variation helps produce accurate forecasts of future growth of real gross domestic product in Canada. The forecasts from our model declined by just over 3 percentage points between January 2022 and February 2023—a period when the Bank of Canada rapidly increased the overnight rate. As well, we find that interest-rate-sensitive industries had an outsized contribution to this expected slowdown in growth. -
Cryptoasset Ownership and Use in Canada: An Update for 2022
We find that Bitcoin ownership declined from 13% in 2021 to 10% in 2022. This drop occurred against a background of steep price declines and an increasingly tight regulatory atmosphere. -
Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms. -
June 30, 2023
Quarterly Research Update – 2023 Q2
This newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.