Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
458
result(s)
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
Does US or Canadian Macro News Drive Canadian Bond Yields?
Staff Analytical Note 2018-38
Bruno Feunou,
Rodrigo Sekkel,
Morvan Nongni-Donfack
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
International topics,
Monetary policy
JEL Code(s):
C,
C2,
C22,
E,
E4,
E43
Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
Staff Analytical Note 2018-31
Chen Fan,
Sermin Gungor,
Guillaume Nolin,
Jun Yang
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Financial Development Beyond the Formal Financial Market
Staff Working Paper 2018-49
Lin Shao
This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Firm dynamics,
Productivity
JEL Code(s):
E,
E4,
E44,
O,
O1,
O17,
O4,
O47