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 Ecology of Automated Market Makers
Staff Discussion Paper 2024-12
Annetta Ho,
Cosmin Cazan,
Andrew Schrumm
This paper describes the ecology of automated market makers, which are the most popular decentralized exchange model for the pricing and trading of crypto assets within decentralized finance.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digital currencies and fintech,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G2
How big is cash-futures basis trading in Canada’s government bond market?
Staff Analytical Note 2024-16
Andreas Uthemann,
Rishi Vala
Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G1,
G12,
G2,
G23
Central Bank Liquidity Policy in Modern Times
Staff Discussion Paper 2024-6
Skylar Brooks
Across several dimensions of lender of last resort policy, I highlight broad changes that have occurred since the 2008–09 global financial crisis and discuss some of the key challenges, choices and considerations facing the designers of central bank liquidity tools today.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Financial institutions,
Financial markets,
Financial stability,
Lender of last resort
JEL Code(s):
D,
D5,
D53,
E,
E5,
E58,
E6,
E61,
G,
G0,
G01,
G2,
G21,
G23,
H,
H1,
H12
Assessing the Impact of the Bank of Canada’s Government Bond Purchases
Staff Discussion Paper 2024-5
Chinara Azizova,
Jonathan Witmer,
Xu Zhang
In March 2020, the Bank of Canada implemented the Government of Canada Bond Purchase Program, eventually purchasing approximately $340 billion of government bonds. In this paper, we analyze the impact of this program on financial market prices and yields as well as on GDP and inflation.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Inflation and prices,
Monetary policy,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
E58,
G,
G2,
G21,
G28
Financial Intermediation and Fire Sales with Liquidity Risk Pricing
Staff Working Paper 2024-18
Yuteng Cheng,
Roberto Robatto
We provide a theory of fire sales in which potential buyers are subject to liquidity shocks and frictions that limit their ability to resell assets. Viewed through the lens of the model, the liquidity requirements proposed by the U. S. Securities and Exchange Commission for these intermediaries could hurt the economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G12,
G2,
G23,
G28
Liquidity risks at Canadian life insurance companies
Staff Analytical Note 2024-7
Patrick Aldridge,
Stephane Gignac,
Rishi Vala,
Adrian Walton
We examine how life insurers manage liquidity risks created by their business model. We find that Canadian life insurers did not face significant liquidity draws and continued their usual investment behaviour during the COVID-19 crisis and as interest rates increased in 2022.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial institutions,
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G1,
G12,
G14,
G2,
G23
What has been putting upward pressure on CORRA?
Staff Analytical Note 2024-4
Boran Plong,
Neil Maru
From the autumn of 2023 into early 2024, the Canadian Overnight Repo Rate Average (CORRA), a measure of the cost of overnight general collateral Canadian dollar repos, was consistently well above the Bank’s target for the overnight rate. We find that, among several factors, long bond positions that require repo financing are the main driver of the recent upward pressure on CORRA.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Interest rates,
Lender of last resort,
Monetary policy implementation
JEL Code(s):
D,
D4,
D5,
D53,
E,
E4,
E43,
E44,
E5,
E52,
G,
G1,
G12
Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters
Staff Discussion Paper 2023-34
Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Credit risk management,
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G23,
G28
Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data
Staff Discussion Paper 2023-32
Gabriel Bruneau,
Javier Ojea Ferreiro,
Andrew Plummer,
Marie-Christine Tremblay,
Aidan Witts
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Climate change,
Economic models,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
C,
C6,
C63,
G,
G0,
G01,
G1,
G10,
G2,
G20,
Q,
Q5,
Q54