CBDC in the Market for Payments at the Point of Sale: Equilibrium Impact and Incumbent Responses Staff working paper 2024-52 Walter Engert, Oleksandr Shcherbakov, André Stenzel We simulate introducing a central bank digital currency (CBDC) and consider consumer adoption, merchant acceptance and usage at the point of sale. Modest adoption frictions significantly inhibit CBDC market penetration along all three dimensions. Incumbent responses to restore pre-CBDC market shares are moderate to small and further reduce the impact of a CBDC. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14, L5, L52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Markets Look Beyond the Headline Staff analytical note 2018-37 Bruno Feunou, James Kyeong, Raisa Leiderman Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E43, G, G1, G12, G14 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Monetary policy framework and transmission
Comparing Forward Guidance and Neo-Fisherianism as Strategies for Escaping Liquidity Traps Staff analytical note 2016-16 Robert Amano, Thomas J. Carter, Rhys R. Mendes What path should policy-makers select for the nominal rate when faced with a liquidity trap during which the effective lower bound binds? Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E5 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
A Market-Based Approach to Reverse Stress Testing the Financial System Staff working paper 2025-32 Javier Ojea Ferreiro This article examines what market conditions lead to extreme losses in global financial systems. Using a reverse stress testing approach, it introduces two measures of systemic risk by starting from the tail losses and working backward to identify the events most closely associated with them. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C02, C3, C32, C5, C58, G, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Markov‐Switching Three‐Pass Regression Filter Staff working paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C23, C5, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
A Look Inside the Box: Combining Aggregate and Marginal Distributions to Identify Joint Distributions Staff working paper 2018-29 Marie-Hélène Felt This paper proposes a method for estimating the joint distribution of two or more variables when only their marginal distributions and the distribution of their aggregates are observed. Nonparametric identification is achieved by modelling dependence using a latent common-factor structure. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, D, D1, D14, E, E4, E41 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections Staff discussion paper 2019-6 Olivier Gervais We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
Measuring Non-Financial Corporate Sector Vulnerabilities in Canada Staff analytical note 2019-15 Timothy Grieder, Claire Schaffter The ratio of non-financial corporate debt to gross domestic product in Canada has increased noticeably in recent years and is currently at an all-time high. In light of this development, we use a unique firm-level dataset to construct vulnerability indicators for the non-financial corporate sector in Canada. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G0, G01, G3, G32 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Monetary policy, Real economy and forecasting
March 28, 2005 The Thiessen Lectures Lectures delivered by Gordon G. Thiessen, Governor of the Bank of Canada 1994 to 2001 Content Type(s): Publications, Books and monographs
June 22, 2005 Estimating the Impact of Monetary Policy Surprises on Fixed-Income Markets Bank of Canada Review - Summer 2005 Jason Andreou In the interest of better understanding the impact of the Bank of Canada's policy actions on bond and bill yields, Andreou assesses the impact of policy-rate announcements on short and long bonds over the period 1996 to 2004. To aid the analysis, policy actions are decomposed into expected and surprise components. He also examines whether the introduction of fixed announcement dates (FADs) has affected these results, including markets' perceptions. The main finding is that unexpected policy actions by the Bank have a significant effect on market rates at the shorter end of the yield curve, with the effect dissipating as the maturity increases. A second finding, that the impact on longer-term interest rates of a surprise action by the Bank has diminished since the introduction of the FADs, suggests that the Bank's long-term policy goals are well understood and credible. Content Type(s): Publications, Bank of Canada Review articles