Tail Index Estimation: Quantile-Driven Threshold Selection Staff Working Paper 2019-28 Jon Danielsson, Lerby Ergun, Casper G. de Vries, Laurens de Haan The most extreme events, such as economic crises, are rare but often have a great impact. It is difficult to precisely determine the likelihood of such events because the sample is small. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C0, C01, C1, C14, C5, C58
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
August 1, 2019 Changes to publication of interest rate statistics Effective October 1, 2019, the Bank of Canada will no longer publish the monthly Chartered Bank Interest Rates. As well, the weekly rate will be relocated on our website. Content Type(s): Press, Market notices
July 31, 2019 Research Update - July 2019 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms Staff Working Paper 2019-26 Rodney J. Garratt Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): C, C7, C72, E, E5, E58
July 29, 2019 Changes to Assets Eligible as Collateral under the Bank of Canada’s (the Bank) Standing Liquidity Facility As part of an ongoing review of the Bank’s collateral policy related to the Standing Liquidity Facility (SLF), the Bank is announcing two changes effective immediately. First, the Bank will introduce one new asset category (Other Public Sector), which combines the two previously-announced asset categories (Foreign Official Sector and Other Public Sector) into one category. Content Type(s): Press, Market notices Source(s): Standing Liquidity Facility
July 29, 2019 Historical Assets Eligible as Collateral under the Bank of Canada’s Standing Liquidity Facility – July 29, 2019 to April 8, 2020 The Bank of Canada (the Bank), through its Standing Liquidity Facility (SLF), provides access to liquidity to those institutions that participate directly in the Large Value Transfer System (LVTS). Content Type(s): Collateral Policy Source(s): Standing Liquidity Facility