December 21, 2006 Financial System Review - December 2006 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report
Security and convenience of a central bank digital currency Staff Analytical Note 2020-21 Charles M. Kahn, Francisco Rivadeneyra An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Digital currencies and fintech, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2, G21
What Does the Convenience Yield Curve Tell Us about the Crude Oil Market? Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43
August 27, 2020 The imperative for public engagement Remarks (delivered virtually) Tiff Macklem Federal Reserve Bank of Kansas City Jackson Hole Symposium Jackson Hole, Wyoming Governor Tiff Macklem talks about the need for the Bank to be clear, relatable and understandable when it communicates with the public. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Credibility, Monetary policy, Monetary policy and uncertainty
2018 Bitcoin Omnibus Survey: Awareness and Usage Staff Discussion Paper 2019-10 Christopher Henry, Kim Huynh, Gradon Nicholls, Mitchell Nicholson The Bank of Canada continues to use the Bitcoin Omnibus Survey (BTCOS) to monitor trends in Canadians’ awareness, ownership and use of Bitcoin. The most recent iteration was conducted in late 2018, following an 85 percent decline in the price of Bitcoin throughout the year. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4, O, O5, O51
Income Inequality in Canada Staff Discussion Paper 2022-16 Sarah Burkinshaw, Yaz Terajima, Carolyn A. Wilkins Data show that income inequality in Canada increased substantially during the 1980s and first half of the 1990s but has been relatively stable over the past 25 years. This increase was felt mainly by low-income earners and younger people, while older people benefited from higher retirement income. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Labour markets, Monetary and financial indicators JEL Code(s): D, D3, D31, D6, D63, I, I2, I24, I3, I32, J, J3, J31, J32, N, N3, N32
Central Bank Communication or the Media’s Interpretation: What Moves Markets? Staff Working Paper 2012-9 Scott Hendry The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): E, E5, E58, G, G1, G14
Interbank Asset-Liability Networks with Fire Sale Management Staff Working Paper 2020-41 Zachary Feinstein, Grzegorz Halaj Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk? Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C6, C62, C63, C7, C72, G, G0, G01, G1, G11
Estimation and Inference by the Method of Projection Minimum Distance Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47
Price Discovery in Canadian and U.S. 10-Year Government Bond Markets Staff Working Paper 2007-43 Bryan Campbell, Scott Hendry This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13, G14