December 23, 2004 A Taxonomy of Market Efficiency Financial System Review - December 2004 Gregory Bauer Content Type(s): Publications, Financial System Review articles
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns Staff working paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C5, C52, C53, F, F3, F31 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods
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
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
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
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
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
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
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
What People Believe About Monetary Finance and What We Can(’t) Do About It: Evidence from a Large-Scale, Multi-Country Survey Experiment Staff working paper 2023-36 Cars Hommes, Julien Pinter, Isabelle Salle We conduct a large-scale survey to shed light on what people believe about public finance. An experiment demonstrates that central bank communication can persistently shift views on monetary financing. It further suggests that views on monetary financing impact support for fiscal discipline. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C8, C83, E, E5, E58, E6, E60, E62, E7, E70, G, G5, G53, H, H3, H31 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting