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451
result(s)
Non-Bank Financial Intermediation in Canada: An Update
Staff Discussion Paper 2019-2
Guillaume Bédard-Pagé
Non-bank financing provides an important funding source for the economy and is a valuable alternative to traditional banking. It helps enhance the efficiency and resiliency of the financial system while giving customers more choices for their financial services. Unlike banking, it is not prudentially regulated.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2,
G20,
G23
Do Survey Expectations of Stock Returns Reflect Risk Adjustments?
Staff Working Paper 2019-11
Klaus Adam,
Dmitry Matveev,
Stefan Nagel
Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Economic models,
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach
Staff Analytical Note 2019-7
Rohan Arora,
Chen Fan,
Guillaume Ouellet Leblanc
When redeeming shares for investors, bond fund managers must choose a mix of cash and bond sales to honour their commitments. This note uses machine learning algorithms to uncover new patterns in decisions fund managers make to meet redemptions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Corporate Debt Composition and Business Cycles
Staff Working Paper 2019-5
Jelena Zivanovic
Based on empirical evidence, I propose a dynamic stochastic general equilibrium model with two financial sectors to analyze the role of corporate debt composition (bank versus bond financing) in the transmission of economic shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial institutions,
Financial markets,
Recent economic and financial developments
JEL Code(s):
E,
E3,
E32,
E4,
E44
Price Caps in Canadian Bond Borrowing Markets
Staff Analytical Note 2019-2
Léanne Berger-Soucy,
Jean-Sébastien Fontaine,
Adrian Walton
Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
The Secular Decline of Forecasted Interest Rates
Staff Analytical Note 2019-1
Bruno Feunou,
Jean-Sébastien Fontaine
Canadian interest rates show a secular decline since the 1980s. Long-term survey-based forecasts of interest rates also declined, but less so and were more gradual. Our model-based estimates show an endpoint shifting over time in three phases: a decline between 1990 and 1995, a period of stability between 1996 and 2007, and a further decline since 2008. The current endpoint estimate remains clouded with uncertainty; this is an active area of research.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12
Inference in Games Without Nash Equilibrium: An Application to Restaurants’ Competition in Opening Hours
Staff Working Paper 2018-60
Erhao Xie
This paper relaxes the Bayesian Nash equilibrium (BNE) assumption commonly imposed in empirical discrete choice games with incomplete information. Instead of assuming that players have unbiased/correct expectations, my model treats a player’s belief about the behavior of other players as an unrestricted unknown function. I study the joint identification of belief and payoff functions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C5,
C57,
L,
L1,
L13,
L8,
L85
Alternative Futures for Government of Canada Debt Management
Staff Discussion Paper 2018-15
Corey Garriott,
Sophie Lefebvre,
Guillaume Nolin,
Francisco Rivadeneyra,
Adrian Walton
This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G12,
G2,
G24,
H,
H6,
H63
The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
Staff Analytical Note 2018-39
Adam Albogatchiev,
Jean-Sébastien Fontaine,
Jabir Sandhu,
Reginald Xie
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Exchange rates,
Financial markets,
Monetary policy
JEL Code(s):
E,
E4,
E44,
F,
F3,
F31,
G,
G1,
G10,
G12,
G14,
G15