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.
2358
result(s)
Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
Staff Working Paper 2022-24
Pablo Ottonello,
Wenting Song
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles,
Credit and credit aggregates,
Financial institutions,
Financial markets,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
E51,
G,
G0,
G01,
G1,
G12,
G2,
G21,
G23,
G24,
G3,
G32
Transmission of Cyber Risk Through the Canadian Wholesale Payment System
Staff Working Paper 2022-23
Anneke Kosse,
Zhentong Lu
This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C4,
C49,
E,
E4,
E42,
E47,
G,
G2,
G21
Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors
Staff Working Paper 2022-22
Erhao Xie
This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C57
Expectation-Driven Term Structure of Equity and Bond Yields
Staff Working Paper 2022-21
Ming Zeng,
Guihai Zhao
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G0,
G00,
G1,
G12
Nowcasting Canadian GDP with Density Combinations
Staff Discussion Paper 2022-12
Tony Chernis,
Taylor Webley
We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C52,
C53,
E,
E3,
E7
Resilience of bank liquidity ratios in the presence of a central bank digital currency
Staff Analytical Note 2022-5
Alissa Gorelova,
Bena Lands,
Maria teNyenhuis
Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Digital currencies and fintech,
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
E,
E4,
G,
G2,
G21,
O,
O3,
O33
More Than Words: Fed Chairs’ Communication During Congressional Testimonies
Staff Working Paper 2022-20
Michelle Alexopoulos,
Xinfen Han,
Oleksiy Kryvtsov,
Xu Zhang
We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Financial markets,
Monetary policy communications
JEL Code(s):
E,
E5,
E52,
E58,
E7,
E71
Identifying Financially Remote First Nations Reserves
Staff Discussion Paper 2022-11
Heng Chen,
Walter Engert,
Kim Huynh,
Daneal O’Habib
Chen et al. (2021) show that almost one-third of First Nations band offices in Canada are within 1 kilometre (km) of an automated banking machine (ABM) or financial institution (FI) branch and more than half are within 5 km.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial institutions,
Financial services,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E42,
E5,
G,
G2,
G21
Historical Data on Repurchase Agreements from the Canadian Depository for Securities
Technical Report No. 121
Maxim Ralchenko,
Adrian Walton
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C5,
C55,
C8,
C81,
G,
G1,
G10