May 13, 2014 Measuring Uncertainty in Monetary Policy Using Realized and Implied Volatility Bank of Canada Review - Spring 2014 Bo Young Chang, Bruno Feunou Uncertainty surrounding the Bank of Canada’s future policy rates is measured using implied volatility computed from interest rate options and realized volatility computed from intraday prices of interest rate futures. Both volatility measures show that uncertainty decreased following major policy actions taken by the Bank in response to the 2007–09 financial crisis. Findings also indicate that, on average, uncertainty decreases following the Bank’s policy rate announcements. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E5, E52, E58
ToTEM III: The Bank of Canada’s Main DSGE Model for Projection and Policy Analysis Technical report No. 119 Paul Corrigan, Hélène Desgagnés, José Dorich, Vadym Lepetyuk, Wataru Miyamoto, Yang Zhang ToTEM III is the most recent generation of the Bank of Canada’s main dynamic stochastic general equilibrium model for projection and policy analysis. The model helps Bank staff tell clear and coherent stories about the Canadian economy’s current state and future evolution. Content Type(s): Staff research, Technical reports JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, E6, E62, E65, F, F4, F40, F41, G, G5, G51 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Downward Nominal Wage Rigidity Meets the Zero Lower Bound Staff working paper 2017-16 Robert Amano, Stefano Gnocchi We add downward nominal wage rigidity to a standard New Keynesian model with sticky prices and wages, where the zero lower bound on nominal interest rates is allowed to bind. We find that wage rigidity not only reduces the frequency of zero bound episodes but also mitigates the severity of corresponding recessions. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E24, E3, E32, E5, E52 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting
Evolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data Staff working paper 2021-22 Robert Amano, Marc-André Gosselin, Julien McDonald-Guimond Are summers getting hotter? Do daily temperatures change more than they used to? Using daily Canadian temperature data from 1960 to 2020 and modern econometric methods, we provide economists and policy-makers evidence on the important climate change issue of evolving temperatures. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, Q, Q5, Q54 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, Climate change
December 23, 2004 Pre-Bid Run-Ups Ahead of Canadian Takeovers: How Big Is the Problem? Financial System Review - December 2004 Michael R. King, Maksym Padalko Content Type(s): Publications, Financial System Review articles
Is This Normal? The Cost of Assuming that Derivatives Have Normal Returns Staff working paper 2024-46 Radoslav Raykov Derivatives exchanges often determine collateral requirements, which are fundamental to market safety, with dated risk models assuming normal returns. However, derivatives returns are heavy-tailed, which leads to the systematic under-collection of collateral (margin). This paper uses extreme value theory (EVT) to evaluate the cost of this margin inadequacy to market participants in the event of default. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G11, G2, G20 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight
Maturity Composition and the Demand for Government Debt Staff working paper 2020-29 Jason Allen, Jakub Kastl, Milena Wittwer The main objectives of debt management are to raise stable and low-cost funding to meet the government’s financial needs and to maintain a well-functioning market for government securities. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, D, D4, D44, E, E5, E58, G, G1, G12 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Financial system, Financial institutions and intermediation, Models and tools, Economic models
December 23, 2004 A Taxonomy of Market Efficiency Financial System Review - December 2004 Gregory Bauer Content Type(s): Publications, Financial System Review articles
Retail Order Flow Segmentation Staff working paper 2016-20 Corey Garriott, Adrian Walton In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
Foreign Exchange Fixings and Returns Around the Clock Staff working paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning