The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages Staff Working Paper 2010-40 Kimberly Beaton, René Lalonde, Stephen Snudden This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E2, E21, E27, E3, E32, F, F3, F36, F4, F40
Bank Competition and International Financial Integration: Evidence Using a New Index Staff Working Paper 2010-35 Gurnain Pasricha This paper finds a strong empirical link between domestic banking sector competitiveness and de facto international integration. De-facto international integration is measured through a new index of financial integration, which measures, for deviations from covered interest parity, the size of no-arbitrage bands and the speed of arbitrage outside the no-arbitrage band. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, International topics JEL Code(s): F, F3, F32, G, G1, G15, G2, G21
December 17, 2010 Summary of the 2010 Survey on Canadian Foreign Exchange Hedging Since 2004, the Bank of Canada has undertaken an annual questionnaire with banks that are active in Canadian foreign exchange (FX) markets, including the eleven members of the Canadian Foreign Exchange Committee (CFEC), to gauge FX hedging activities of Canadian corporate customers. Content Type(s): Press, Market notices Source(s): Canadian Foreign Exchange Committee
December 16, 2010 Results of the 16 December 2010 Term Repo Operation for Balance Sheet Management Purposes Today's results of the Term Repo Operation for Balance Sheet Management Purposes. Content Type(s): Press, Market notices
Text Mining and the Information Content of Bank of Canada Communications Staff Working Paper 2010-31 Scott Hendry, Alison Madeley This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Monetary policy implementation JEL Code(s): E, E5, E58, G, G1, G14
December 23, 2004 Financial System Review - December 2004 The Canadian financial system comprises financial markets, financial institutions, and the clearing and settlement systems. Content Type(s): Publications, Financial Stability Report
May 23, 2003 The Bank of Canada: Moving Towards Transparency Bank of Canada Review - Spring 2003 John Chant During the 1990s the Bank of Canada made several changes that transformed its conduct of monetary policy. In the 1960s and 1970s, policy decisions were made in an environment characterized by instrument opaqueness and goal opaqueness, which tended to shield the Bank's operations from scrutiny and accountability. Since the 1970s the Bank has moved towards transparency and openness by rejecting multiple policy instruments and adopting a single, well-defined goal of inflation control. A recent survey has shown that the Bank of Canada is in the middle range of central banks with regard to its transparency and has lost points for not publishing the forecasts that shape its policy or the minutes and voting records of its governing body. Chant suggests that the public has benefited significantly from the changes the Bank has made, but that it should continue to support research on the benefits of low and stable inflation and continually inform other policy-makers and the public of the results. Content Type(s): Publications, Bank of Canada Review articles
Identifying Asymmetric Comovements of International Stock Market Returns Staff Working Paper 2010-21 Fuchun Li Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19
Inventories, Stockouts, and ToTEM Staff Discussion Paper 2010-8 Oleksiy Kryvtsov, Yang Zhang Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, E32
April 22, 2010 Monetary Policy Report – April 2010 Global economic growth has been somewhat stronger than projected, with momentum in emerging-market economies increasing noticeably. Content Type(s): Publications, Monetary Policy Report