On-the-run Premia, Settlement Fails, and Central Bank Access Staff working paper 2025-19 Fabienne Schneider The premium on “on-the-run” Treasuries is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. I use the model to analyze the effects of granting access to central bank facilities. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12, G19, G2, G23 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation
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
December 23, 2004 A Taxonomy of Market Efficiency Financial System Review - December 2004 Gregory Bauer Content Type(s): Publications, Financial System Review articles
What Consistent Responses on Future Inflation by Consumers Can Reveal Staff discussion paper 2023-7 Sarah Miller, Patrick Sabourin We analyze factors that may explain consistent answers to questions about inflation expectations in the Canadian Survey of Consumer Expectations. We also compare the inflation forecasts of consumers with consistent responses with those of professional forecasters. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D8, D80, D84, E, E3, E31 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers Staff working paper 2021-37 Felix Brunner, Ruben Hipp Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C5, C52, E, E2, E23, E27 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
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
An Economic Perspective on Payments Migration Staff working paper 2020-24 Anneke Kosse, Zhentong Lu, Gabriel Xerri Consumers, businesses and banks make millions of payments each day using a variety of instruments, such as debit cards, cheques and wires. Canada is currently developing three new systems to process these transactions: Lynx, Settlement Optimization Engine (SOE) and Real-Time Rail (RTR). Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E42, G, G2, G21 Research Theme(s): Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures, Retail payments
February 15, 2018 Anchoring Expectations: Canada’s Approach to Price Stability Remarks Lawrence L. Schembri Manitoba Association for Business Economists Winnipeg, Manitoba Deputy Governor Lawrence Schembri examines the success of the Bank’s monetary policy framework and explains the review being undertaken before its renewal in 2021. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Monetary policy, Economic models, Economy/Economic growth, Inflation, Inflation targeting framework
May 6, 2010 Is There a Commodity Curse? Lessons from the Past Remarks John Murray University of Alberta Institute for Public Economics and C.D. Howe Institute Edmonton, Alberta As the title of the conference suggests, we have seen many boom-and-bust cycles in the commodity sector. This raises one obvious and central question: How can we avoid them in the future? Content Type(s): Press, Speeches and appearances, Remarks
May 9, 2018 Strengthening Our Cyber Defences Remarks Filipe Dinis Payments Canada Toronto, Ontario Chief Operating Office Filipe Dinis outlines how the Bank is strengthening its cyber defenses and helping improve the financial system’s cyber resilience and its ability to recover quickly from attacks. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Currency, Digital currency, Financial system, Financial markets, Financial stability