Posts

• August 31, 2017

  Research Update - August 2017

  This monthly 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.

  Content Type(s): Staff research, Research newsletters
• August 28, 2017

  Quarterly Financial Report - Second Quarter 2017

  Quarterly Financial Report - Second Quarter 2017 - For the period ended 30 June 2017

  Content Type(s): Publications, Quarterly Financial Report
• August 25, 2017

  Weekly Financial Statistics - 25 August 2017

  Content Type(s): Publications, Historical: Weekly Financial Statistics
• August 18, 2017

  Weekly Financial Statistics - 18 August 2017

  Content Type(s): Publications, Historical: Weekly Financial Statistics
• August 17, 2017

  Advances in Fixed Income and Macro-Finance Research

  Conference held Aug 17 and 18, 2017 and co-sponsored by the Bank of Canada, the Federal Reserve Bank of San Francisco and the Beedie School of Business at Simon Fraser University

  Content Type(s): Conferences and workshops

• Cross-Border Bank Flows and Monetary Policy: Implications for Canada

  Staff Working Paper 2017-34 Ricardo Correa, Teodora Paligorova, Horacio Sapriza, Andrei Zlate

  Using the Bank for International Settlements (BIS) Locational Banking Statistics data on bilateral bank claims from 1995 to 2014, we analyze the impact of monetary policy on cross-border bank flows. We find that monetary policy in a source country is an important determinant of cross-border bank flows.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Monetary policy JEL Code(s): F, F3, F34, F36, G, G0, G01
• August 17, 2017

  Government of Canada considering issuing more ultra-long bonds

  The Government of Canada announced today that it is considering issuing more ultra-long bonds in the near future, subject to favourable market conditions.

  Content Type(s): Press, Market notices
• August 11, 2017

  Weekly Financial Statistics - 11 August 2017

  Content Type(s): Publications, Historical: Weekly Financial Statistics

• Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions

  Staff Working Paper 2017-33 Antonio Diez de los Rios

  This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• Has Liquidity in Canadian Government Bond Markets Deteriorated?

  Staff Analytical Note 2017-10 Sermin Gungor, Jun Yang

  This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets JEL Code(s): G, G1, G12, G14