A Dynamic Factor Model for Commodity Prices Staff analytical note 2017-12 Doga Bilgin, Reinhard Ellwanger In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component. Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C5, C51, Q, Q0, Q02 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures
Assessing the Business Outlook Survey Indicator Using Real-Time Data Staff discussion paper 2017-5 Lise Pichette, Marie-Noëlle Robitaille Every quarter, the Bank of Canada conducts quarterly consultations with businesses across Canada, referred to as the Business Outlook Survey (BOS). A principal-component analysis conducted by Pichette and Rennison (2011) led to the development of the BOS indicator, which summarizes survey results and is used by the Bank as a gauge of overall business sentiment. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C53, C8, C82, E, E3, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
Assessing the US and Canadian neutral rates: 2026 update Staff analytical paper 2026-21 Felipe Alves, William Beaudoin, Hélène Desgagnés, Wei Dong, Jan David Schneider, Eugene Trostin, Argyn Toktamyssov, Hannes Twieling We assess the Canadian nominal neutral rate to be in the range of 2.25% to 3.25%, unchanged from our assessment in 2025. We assess the US nominal neutral rate to be in the range of 2.50% to 3.50%, somewhat higher than the range of 2.25% to 3.25% reported in the 2025 assessment. Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E4, E43, E5, E52 Research Theme(s): Monetary policy, Monetary policy framework and transmission
Limits to Arbitrage and Deviations from Covered Interest Rate Parity Staff discussion paper 2016-4 James Pinnington, Maral Shamloo We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc. Content Type(s): Staff research, Staff discussion papers JEL Code(s): F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning
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
December 23, 2002 Systemic Risk, Designation, and the ACSS Financial System Review - December 2002 Carol Ann Northcott This report discusses the decision not to designate the Automated Clearing Settlement System as a systemically important system, as well as some of the research contributing to that decision. Content Type(s): Publications, Financial System Review articles
Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning Staff working paper 2020-33 Diego Rojas, Juan Estrada, Kim Huynh, David T. Jacho-Chávez Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C52, C6, C65, C8, C81, E, E4, E42, E5, E51 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
The Countercyclical Capital Buffer and International Bank Lending: Evidence from Canada Staff working paper 2021-61 David Xiao Chen, Christian Friedrich We examine the impact of the CCyB on foreign lending activities of Canadian banks. We show that the announcement of a tightening in another country’s CCyB leads to a decrease in the growth rate of cross-border lending between Canadian banks and borrowers in that other country. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, F, F2, F21, F3, F32, G, G2, G21, G28 Research Theme(s): Financial markets and funds management, International markets and currencies, Financial system, Financial stability and systemic risk, Financial system regulation and oversight
The Impact of Mortgage Interest Costs on Rental Inflation Amid Population Growth Staff analytical paper 2026-14 Amina Enkhbold, Serdar Kabaca This note finds evidence of a positive and nonlinear relationship between mortgage interest costs (MIC) and rental inflation: the impact of MIC on rents is small when population growth is near its historical norm, but significantly stronger during periods of rapid population growth. Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E3, E31, E32, E5, E52 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
November 19, 2009 The Evolution of the International Monetary System Remarks Mark Carney Foreign Policy Association, New York City New York, New York In response to the worst financial crisis since the 1930s, policy-makers around the globe are providing unprecedented stimulus to support economic recovery and are pursuing a radical set of reforms to build a more resilient financial system. Content Type(s): Press, Speeches and appearances, Remarks