Gold Prices and Inflation Staff Working Paper 2007-35 Greg Tkacz Using data for 14 countries over the 1994 to 2005 period, we assess the leading indicator properties of gold at horizons ranging from 6 to 24 months. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, E4, E44
What Drives Episodes of Settlement Fails in the Government of Canada Bond Market? Staff Working Paper 2017-54 Jean-Sébastien Fontaine, James Pinnington, Adrian Walton We study settlement fails for trades in the Government of Canada bond market. We find that settlement fails do not occur independently. Using a novel and comprehensive dataset, we examine three drivers of fails. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1
The Share of Systematic Variations in the Canadian Dollar—Part II Staff Analytical Note 2017-1 Jean-Sébastien Fontaine, Guillaume Nolin This analytical note examines how much of the systematic variation in the Canadian dollar is attributable to its sensitivity to commodity prices. We introduce a new “oil” portfolio that captures systematic variations when the exchange rates of commodity exporters and commodity importers move in opposite directions. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Exchange rates JEL Code(s): F, F3, F31
Provincial Credit Ratings in Canada: An Ordered Probit Analysis Staff Working Paper 1996-6 Stella Cheung The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): H, H6, H63
International Banking and Cross-Border Effects of Regulation: Lessons from Canada Staff Working Paper 2016-34 H. Evren Damar, Adi Mordel We study how changes in prudential requirements affect cross-border lending of Canadian banks by utilizing an index that aggregates adjustments in key regulatory instruments across jurisdictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): F, F3, F34, G, G0, G01, G2, G21
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy Staff Working Paper 2003-10 David Bolder Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63
Global Commodity Markets and Rebalancing in China: The Case of Copper Staff Discussion Paper 2019-3 Jeannine Bailliu, Doga Bilgin, Kun Mo, Kurt Niquidet, Benjamin Sawatzky Given that China accounts for about half of global copper consumption, it is reasonable to expect that any significant change in Chinese copper consumption will have an impact on the global market. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): O, O1, O13, O14, Q, Q0, Q02
Cheap But Flighty: How Global Imbalances Create Financial Fragility Staff Working Paper 2015-33 Enrico Perotti, Toni Ahnert We analyze how a wealth shift to emerging countries may lead to instability in developed countries. Investors exposed to expropriation risk are willing to pay a safety premium to invest in countries with good property rights. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): F, F3, G, G2
An Up-to-Date and Improved BVAR Model of the Canadian Economy Staff Working Paper 1994-4 Daniel Racette, Jacques Raynauld, Christian Sigouin In this paper, we estimate a fully optimized BVAR model of the Canadian economy for the period 1971-87. The model is well-adapted to the features of a small open economy. We show how it can be used as an input in the monetary policy process either as a forecasting instrument or an analytical tool. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models
November 6, 2018 External academic consultants Meet the academic consultants and researchers from outside the Bank who are working with us.