Are Bank Bailouts Welfare Improving? Staff Working Paper 2021-56 Malik Shukayev, Alexander Ueberfeldt Financial sector bailouts, while potentially beneficial during a crisis, might lead to excessive risk taking if anticipated. Taking expectations and aggregate risk implications into account, we show that bailouts can be welfare improving, but only if capital adequacy constraints are sufficiently tight. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): D, D6, D62, E, E3, E32, E4, E44, G, G0, G01
November 8, 2021 Operational details for upcoming secondary market purchases of Government of Canada securities (November 15-26) As previously announced, the Bank of Canada (the Bank) launched on April 1, 2020 a program to purchase Government of Canada securities in the secondary market – the Government Bond Purchase Program (GBPP). Content Type(s): Press, Market notices Source(s): Government of Canada Bond Purchase Program
November 8, 2021 Quarterly Financial Report - Third Quarter 2021 Quarterly Financial Report - Third Quarter 2021 - For the period ended September 30, 2021 Content Type(s): Publications, Quarterly Financial Report
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff Working Paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates JEL Code(s): E, E5, G, G0
October 29, 2021 Operational details for upcoming secondary market purchases of Government of Canada securities (November 1-12) As previously announced, the Bank of Canada (the Bank) launched on April 1, 2020 a program to purchase Government of Canada securities in the secondary market – the Government Bond Purchase Program (GBPP). Content Type(s): Press, Market notices Source(s): Government of Canada Bond Purchase Program
October 25, 2021 CARR Meeting (October 25, 2021) Content Type(s): Meetings Source(s): Canadian Alternative Reference Rate Working Group
October 7, 2021 Investing in global progress Speech summary Tiff Macklem Council on Foreign Relations Washington, D.C. Governor Tiff Macklem makes the case for greater cooperation to shape a stronger international monetary and financial system. Content Type(s): Press, Speeches and appearances, Speech summaries Topic(s): Development economics, Exchange rate regimes, Financial system regulation and policies, Foreign reserves management, International financial markets, International topics, Trade integration
Covariates Hiding in the Tails Staff Working Paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C1, C14, C5, C58
October 5, 2021 CORRA Advisory Group Meeting (October 5, 2021) Content Type(s): Meetings Source(s): CORRA Advisory Group
Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios Staff Analytical Note 2021-20 Sébastien Betermier, Nicholas Byrne, Jean-Sébastien Fontaine, Hayden Ford, Jason Ho, Chelsea Mitchell “Reach for yield”—This is the commonly heard explanation for why pension plans shift their portfolios toward alternative assets. But we show that the new portfolios also hold more bonds, offer lower average returns and produce smaller and less volatile solvency deficits. These shifts are part of a broader strategy to reduce solvency risk. Content Type(s): Staff research, Staff analytical notes Topic(s): Financial institutions, Financial markets, Financial system regulation and policies JEL Code(s): G, G1, G11