Markups, Pass-Through, and Firm Heterogeneity with Sequentially Mixed Search Staff working paper 2025-7 Alex Chernoff, Allen Head, Beverly Lapham Market power and pass-through of cost and demand shocks are studied in a market with free entry of heterogeneous firms and consumer mixed search. Equilibrium prices and markups are driven by variation in the elasticity of demand across firms. Improved conditions for buyers can either raise or lower market power. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D21, D4, D43, E, E3, E31, L, L1, L11 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures
A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil Staff working paper 2016-18 Christiane Baumeister, Lutz Kilian Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, D, D8, D84, G, G1, G14, Q, Q4, Q43 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Money Talks: How Foreign and Domestic Monetary Policy Communications Move Financial Markets Staff working paper 2025-33 Rodrigo Sekkel, Henry Stern, Xu Zhang We construct a dataset on Federal Reserve and Bank of Canada non-rate announcement events to provide novel insights into how foreign and domestic monetary policy communications affect the financial markets of open economies. We find that Fed non-rate communications have a stronger impact on long-term interest rates and stock futures, while Bank of Canada communications are relatively more important for short-term interest rates and the exchange rate. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E52, F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Monetary policy tools and implementation, Structural challenges, International trade, finance and competitiveness
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference Staff working paper 2025-14 Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C12, C3, C32, E, E6, E62 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
Identifying Nascent High-Growth Firms Using Machine Learning Staff working paper 2023-53 Stéphanie Houle, Ryan Macdonald Firms that grow rapidly have the potential to usher in new innovations, products or processes (Kogan et al. 2017), become superstar firms (Haltiwanger et al. 2013) and impact the aggregate labour share (Autor et al. 2020; De Loecker et al. 2020). We explore the use of supervised machine learning techniques to identify a population of nascent high-growth firms using Canadian administrative firm-level data. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C55, C8, C81, L, L2, L25 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, Digitalization and productivity
September 6, 2018 An Update on Canada’s Economic Resilience Remarks Carolyn A. Wilkins Saskatchewan Trade & Export Partnership Regina, Saskatchewan Senior Deputy Governor Wilkins discusses economic developments since the July Monetary Policy Report and Governing Council’s deliberations leading to yesterday’s policy rate decision. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Monetary policy, Economic models, Economy/Economic growth, Inflation, Inflation targeting framework
How Banks Create Gridlock to Save Liquidity in Canada's Large Value Payment System Staff working paper 2023-26 Rodney J. Garratt, Zhentong Lu, Phoebe Tian We show how participants in Canada’s new high-value payment system save liquidity by exploiting the new gridlock resolution arrangement. The findings have important implications for the design of these systems and shed light on financial institutions’ liquidity preference. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E42, E5, E58, G, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Payment and financial market infrastructures
March 21, 2017 Getting Down to Business: Investment and the Economic Outlook Remarks Lawrence L. Schembri Greater Vancouver Board of Trade Vancouver, British Columbia Deputy Governor Lawrence Schembri discusses the factors affecting business investment and the implications for the economic outlook. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Funds management, Monetary policy, Economy/Economic growth, Inflation, Inflation targeting framework
Cyber Risk and Security Investment Staff working paper 2022-32 Toni Ahnert, Michael Brolley, David Cimon, Ryan Riordan We develop a principal-agent model of cyber-attacking with fee-paying clients who delegate security decisions to financial platforms. We derive testable implications about clients’ vulnerability to cyber attacks and about the fees charged. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D7, D78, D8, D81, G, G1, G18, G2, G21, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Money and payments, Digital assets and fintech
Payment Coordination and Liquidity Efficiency in the New Canadian Wholesale Payments System Staff discussion paper 2022-3 Francisco Rivadeneyra, Nellie Zhang We study the impact of the Bank of Canada’s choice of settlement mechanism in Lynx on participant behaviors, liquidity usage, payment delays and the overall operational efficiency of the new system. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, E, E4, E42, E5, E58 Research Theme(s): Financial markets and funds management, Market functioning, Money and payments, Payment and financial market infrastructures