G15 - International Financial Markets

• How foreign central banks can affect liquidity in the Government of Canada bond market

  Staff Analytical Note 2024-26 Patrick Aldridge, Jabir Sandhu, Sofia Tchamova

  We find that foreign central banks own a large share of Government of Canada (GoC) bonds and tend to hold their positions for longer than other types of asset managers. This buy-and-hold behaviour could offer benefits. For example, foreign central banks may be less likely than other asset managers to sell bonds and add to strains on market liquidity in periods of turmoil. However, foreign central banks’ buy-and-hold behaviour combined with their minimal lending of GoC bonds in securities-financing markets, as observed in our available data, can potentially lower liquidity because fewer GoC bonds are available for others to transact in secondary markets. Indeed, we find that higher levels of foreign central banks’ GoC bond holdings are related to lower liquidity.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Exchange rates, Financial institutions, Financial markets, Financial stability, Foreign reserves management, International financial markets, Market structure and pricing JEL Code(s): E, E5, E58, F, F3, F30, F31, G, G0, G01, G1, G11, G12, G15, G2, G23

• BoC–BoE Sovereign Default Database: What’s new in 2024?

  Staff Analytical Note 2024-19 David Beers, Obiageri Ndukwe, Alex Charron

  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 2024 edition updates the historical data and revisits sovereign defaults on local currency debt.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• Analysis of DeFi Oracles

  Staff Discussion Paper 2024-10 Xun Deng, Sidi Mohamed Beillahi, Cyrus Minwalla, Han Du, Andreas Veneris, Fan Long

  Oracles are constructs used in decentralized finance to price assets relative to each other. However, oracles contain defects that could lead to manipulation attacks. Such attacks exploit pricing models embedded within oracles to defraud creators and users. We automatically verify defects, which if mitigated, improves the security of digital currency.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E51, G, G1, G15, O, O3, O31

• Market structure of cryptoasset exchanges: Introduction, challenges and emerging trends

  Staff Analytical Note 2024-2 Vladimir Skavysh, Jacob Sharples, Sofia Priazhkina, Salman H. Hasham

  This paper provides an overview of cryptoasset exchanges. We contrast their design with exchanges in traditional financial markets and discuss emerging regulatory trends and innovations aimed at solving the problems cryptoasset exchanges face.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): G, G1, G15, L, L1

• BoC–BoE Sovereign Default Database: What’s new in 2023?

  Staff Analytical Note 2023-10 David Beers, Obiageri Ndukwe, Karim McDaniels, Alex Charron

  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.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• BoC–BoE Sovereign Default Database: Appendix and References

  Technical Report No. 125 David Beers, Obiageri Ndukwe, Alex Charron

  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).

  Content Type(s): Staff research, Technical reports Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• BoC–BoE Sovereign Default Database: Methodology and Assumptions

  Technical Report No. 124 David Beers, Obiageri Ndukwe, Alex Charron

  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.

  Content Type(s): Staff research, Technical reports Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• BoC–BoE Sovereign Default Database: What’s new in 2022?

  Staff Analytical Note 2022-11 David Beers, Elliot Jones, Karim McDaniels, Zacharie Quiviger

  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.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15

• News-Driven International Credit Cycles

  Staff Working Paper 2021-66 Galip Kemal Ozhan

  This paper examines the implications of positive news about future asset values that turn out to be incorrect at a later date in an open economy model with banking. The model captures the patterns of bank credit and current account dynamics in Spain between 2000 and 2010. The model finds that the use of unconventional policies leads to a milder bust.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Economic models, Financial stability, Recent economic and financial developments, Sectoral balance sheet JEL Code(s): E, E4, E44, F, F3, F32, F4, F41, G, G1, G15, G2, G21

• Foreign Exchange Fixings and Returns Around the Clock

  Staff Working Paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan

  We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15