November 4, 2011
Posts
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The Impacts of Monetary Policy Statements
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time. -
February 28, 2015
Research Update - February 2015
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. -
July 31, 2015
Research Update - July 2015
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. -
Volatility Forecasting when the Noise Variance Is Time-Varying
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility. -
It Hurts (Stock Prices) When Your Team Is About to Lose a Soccer Match
The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold. -
May 19, 2009
When the Unconventional Becomes Conventional: Monetary Policy in Extraordinary Times
The financial turbulence that began in the U.S. subprime-mortgage market in August 2007 reached maximum intensity towards the end of 2008, and enveloped the entire global economy. Strains that had previously been concentrated in a few major financial centers turned into a full-blown crisis, affecting both industrial and emerging-market economies through trade, financial, and confidence channels. -
November 20, 2004
Monetary Policy and Uncertainty
Remarks by David Longworth, Deputy Governor of the Bank of Canada to the Canadian Association for Business Economics -
May 26, 2016
Bank of Canada announces appointment of Advisor in New York Office
The Bank of Canada today announced the appointment of Sheryl King as Advisor to the Governor, effective 5 July 2016. Ms. King will represent the Bank in its New York Office. -
June 13, 2018
Deputy Governor Sylvain Leduc to leave the Bank of Canada
The Bank of Canada announced today that Deputy Governor Sylvain Leduc will leave the Bank in late July 2018. Mr. Leduc will return to San Francisco with his family to resume working at the Federal Reserve Bank of San Francisco.