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.
385
result(s)
The Cyber Incident Landscape
Staff Analytical Note 2019-32
Nikil Chande,
Dennis Yanchus
The Canadian financial system is vulnerable to cyber threats. But for many firms, cyber risk is difficult to quantify. We examine public information on past cyber incidents to better understand the current risk landscape and find that a holistic view is needed to fully grasp the nature of this risk.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G2,
G28,
M,
M1,
M15,
O,
O3,
O33,
O38
Loan Insurance, Market Liquidity, and Lending Standards
Staff Working Paper 2019-47
Toni Ahnert,
Martin Kuncl
We examine loan insurance—credit risk transfer upon origination—in a model in which lenders can screen, learn loan quality over time, and can sell loans. Some lenders with low screening ability insure, benefiting from higher market liquidity of insured loans while forgoing the option to exploit future information about loan quality.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
Borrowing Costs for Government of Canada Treasury Bills
Staff Analytical Note 2019-28
Jabir Sandhu,
Adrian Walton,
Jessica Lee
The cost of borrowing Government of Canada treasury bills (t-bills) in the repurchase (repo) market is mainly explained by the relationship between the parties involved. Some pairs of parties conduct most of their repos for t-bills rather than bonds, and at relatively high borrowing costs. We speculate that these pairs have formed a mutually beneficial service relationship in which one party consistently receives t-bills, while the other receives cash at a relatively cheap rate.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G11,
G12,
G2,
G20,
G21,
G23,
G3,
G32
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions?
Staff Working Paper 2019-38
Jelena Zivanovic
I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Recent economic and financial developments
JEL Code(s):
E,
E3,
E32,
E4,
E44
Bridging Canadian Business Lending and Market-Based Risk Measures
Staff Analytical Note 2019-26
Guillaume Ouellet Leblanc,
Maxime Leboeuf
Lending to business is central to economic growth because it supports investment by firms. Knowing how market participants view risk in the financial system can give the Bank of Canada information about future growth in business loans. In this note, we look at three market-based risk measures and find that sudden increases in the perception of risk in the Canadian banking system are associated with a weaker outlook for business loans and real gross domestic product.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Financial markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1,
G12
Using Exchange-Traded Funds to Measure Liquidity in the Canadian Corporate Bond Market
Staff Analytical Note 2019-25
Rohan Arora,
Guillaume Ouellet Leblanc,
Jabir Sandhu,
Jun Yang
We introduce a new proxy for measuring corporate bond liquidity, using the price of exchange-traded funds (ETFs) that hold corporate bonds. It measures the average liquidity across 900 corporate bonds every day, many more than other proxies used in previous Bank of Canada analysis. The new proxy nonetheless paints a very similar picture of liquidity conditions and confirms the previous findings: the liquidity of bonds has generally improved since 2010.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Relative Value of Government of Canada Bonds
Staff Analytical Note 2019-23
Jean-Sébastien Fontaine,
Jabir Sandhu,
Adrian Walton
Government of Canada bonds in circulation that promise very similar payoffs can have different prices. We study the reason for these differences. Bonds that trade more often and earn high rental income in the repurchase agreement (repo) market tend to have higher prices. Bonds with longer tenors and times to maturity tend to have lower prices. This contrast between cheap and expensive bonds is important because trading volume and rental income can change rapidly, unlike tenor and time to maturity, which are stable.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G11,
G12,
G2,
G23,
G3,
G32
Are Long-Horizon Expectations (De-)Stabilizing? Theory and Experiments
Staff Working Paper 2019-27
George Evans,
Cars Hommes,
Isabelle Salle,
Bruce McGough
Most models in finance assume that agents make trading plans over the infinite future. We consider instead that they are boundedly rational and may only form forecasts over a limited horizon.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Central bank research,
Economic models,
Financial markets
JEL Code(s):
C,
C9,
C92,
D,
D8,
D84,
E
Lending Standards, Productivity and Credit Crunches
Staff Working Paper 2019-25
Jonathan Swarbrick
We propose a macroeconomic model in which adverse selection in investment drives the amplification of macroeconomic fluctuations, in line with prominent roles played by the credit crunch and collapse of the asset-backed security market in the financial crisis.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial markets,
Financial stability,
Interest rates,
Productivity
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
G,
G0,
G01