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2378
result(s)
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
It takes a panel to predict the future: What the stock market says about future economic growth in Canada
Staff Analytical Note 2023-9
Greg Adams,
Jean-Sébastien Fontaine
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.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E47,
E5,
E52
Cryptoasset Ownership and Use in Canada: An Update for 2022
Staff Discussion Paper 2023-14
Daniela Balutel,
Christopher Henry,
Doina Rusu
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.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C8,
C81,
E,
E4,
O,
O5,
O51
Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
Staff Working Paper 2023-38
Andrea Ugolini,
Juan C. Reboredo,
Javier Ojea Ferreiro
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Credit risk management,
Econometric and statistical methods
JEL Code(s):
C,
C2,
C24,
G,
G1,
G12,
G3,
G32,
Q,
Q5,
Q54
Global Demand and Supply Sentiment: Evidence from Earnings Calls
Staff Working Paper 2023-37
Temel Taskin,
Franz Ulrich Ruch
This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Coronavirus disease (COVID-19),
Econometric and statistical methods,
Inflation and prices,
International topics
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E32,
G,
G1,
G10
What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?
Staff Discussion Paper 2023-13
Marc-André Gosselin,
Temel Taskin
We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Domestic demand and components,
Econometric and statistical methods,
Inflation and prices,
Potential output
JEL Code(s):
C,
C1,
C3,
E,
E3,
E5
Estimating the Slope of the Demand Function at Auctions for Government of Canada Bonds
Staff Discussion Paper 2023-12
Bo Young Chang
We use bid data from Government of Canada bond auctions between 1999 and 2021 to gauge the yield sensitivity of these bonds to the issuance amount. Our new metric estimates the demand function of the bidders at each auction and offers insights into the relationship between supply and yield of government bonds.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Interest rates
JEL Code(s):
D,
D4,
D44,
G,
G1,
G12
Why Consumers Disagree About Future Inflation
Staff Discussion Paper 2023-11
Naveen Rai,
Patrick Sabourin
Since 2022, consumer inflation expectations have shifted, with a significant increase in those expecting high inflation in the coming year and a surge in those expecting deflation further in the future. Using data from the Canadian Survey of Consumer Expectations, this paper seeks to assess the factors that influence people to expect high inflation, moderate inflation or deflation.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation and prices
JEL Code(s):
C,
C8,
C83,
D,
D8,
D84,
E,
E3,
E31