Contagion in Dealer Networks Staff working paper 2020-1 Jean-Sébastien Fontaine, Adrian Walton Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field of research investigates how networks form. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, G, G1, G2, G21, L, L1, L14 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
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
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
Detecting exuberance in house prices across Canadian cities Staff analytical note 2021-9 Ugochi Emenogu, Cars Hommes, Mikael Khan We introduce a model to detect periods of extrapolative house price expectations across Canadian cities. The House Price Exuberance Indicator can be updated on a quarterly basis to support the Bank of Canada’s broader assessment of housing market imbalances. Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C5, C53, R, R2, R21, R3, R31 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models, Monetary policy, Real economy and forecasting
June 13, 2013 Financial System Review - June 2013 The Governing Council judges that the risks to the Canadian financial system have decreased somewhat relative to the December FSR, but that the overall level of risk remains high. The key risks are similar to those highlighted in December, and emanate primarily from the external environment. Content Type(s): Publications, Financial Stability Report
June 21, 2008 Family Values: Ownership Structure, Performance, and Capital Structure of Canadian Firms Financial System Review - June 2008 Michael R. King, Eric Santor 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
April 16, 2014 Monetary Policy Report – April 2014 Economic growth in Canada is expected to average about 2 1/2 per cent in 2014 and 2015 before easing to around the 2 per cent growth rate of the economy’s potential in 2016. Content Type(s): Publications, Monetary Policy Report
March 16, 2008 Developing a Framework to Assess Financial Stability: Conference Highlights and Lessons Bank of Canada Review - Spring 2008 Olivier de Bandt, Céline Gauthier, Pierre St-Amant Central banks are still defining their approach to financial stability and are at an early stage in the development of useful models. The Bank of Canada's 2007 economic conference was organized to stimulate progress in the development of financial-stability frameworks. Among the highlights reported here are the discussions centred around three proposed frameworks: a contingent-claims-analysis framework, a semi-structural framework, and structural financial-stability models. Participants also reported on their experiences with stress-testing under the International Monetary Fund's Financial Sector Assessment Program and discussed the implications for financial stability of linkages among payment, clearing, and settlement systems. Content Type(s): Publications, Bank of Canada Review articles
November 21, 2004 Summary of the G-20 Workshop on Developing Strong Domestic Financial Markets, 26-27 April 2004 Bank of Canada Review - Autumn 2004 Joerg Stephan, James Powell, Robert Lafrance, James Haley G-20 representatives, academics, market participants, and members of international financial institutions were brought together in Ottawa to explore the connection between robust financial markets and economic growth and development, share experiences, and to develop policy recommendations, where possible. Participants identified several areas they deemed critical for fostering strong domestic financial markets and reducing external vulnerability: sound macroeconomics policies, strengthened financial infrastructures and banking systems, and exchange rate flexibility for countries with widely open capital accounts. Papers presented in the six sessions and keynote address highlighted a number of issues, including currency mismatches, the sequence of financial liberalization and supervisory reforms, the development of local financial markets, infrastructure building and governance, and appropriate incentives. Content Type(s): Publications, Bank of Canada Review articles