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3037 Results

Monetary Policy Implementation in a Negative Rate Environment

Staff Working Paper 2017-25 Michael Boutros, Jonathan Witmer
Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants.

Demand-Driven Risk Premia in Foreign Exchange and Bond Markets

Staff Working Paper 2025-29 Ingomar Krohn, Andreas Uthemann, Rishi Vala, Jun Yang
We show how Treasury demand shocks transmit to foreign exchange and bond markets globally. Higher Treasury demand weakens the U.S. dollar and raises foreign bond prices, with effects persisting for two weeks. The transmission varies predictably across countries based on their monetary policy alignment with the United States.

Funding Advantage and Market Discipline in the Canadian Banking Sector

Staff Working Paper 2013-50 Mehdi Beyhaghi, Chris D'Souza, Gordon S. Roberts
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Interest rates JEL Code(s): G, G0, G01, G2, G21, G28, G3, G32, G33

Text Mining and the Information Content of Bank of Canada Communications

Staff Working Paper 2010-31 Scott Hendry, Alison Madeley
This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary policy implementation JEL Code(s): E, E5, E58, G, G1, G14
December 10, 2013

Financial System Review - December 2013

There have been positive developments in the global financial system since the June Financial System Review, in part reflecting some encouraging signs about the global economy. At the same time, significant vulnerabilities remain. The Governing Council judges that the overall risk to the stability of Canada’s financial system has decreased from “high” to “elevated” over the past six months.

A Micro Approach to the Issue of Hysteresis in Unemployment: Evidence from the 1988­1990 Labour Market Activity Survey

Staff Working Paper 1997-12 Gordon Wilkinson
This paper uses a rich set of microeconomic labour market data—the 1988­90 Labour Market Activity Survey published by Statistics Canada—to test whether there is negative duration dependence in unemployment spells. It updates and extends similar work carried out by Jones (1995) who used the 1986­87 Labour Market Activity Survey.
Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24

(Optimal) Monetary Policy with and without Debt

How should policy be designed at high debt levels, when fiscal authorities have little room to adjust taxes? Assigning the monetary authority a role in achieving debt sustainability makes it less effective in stabilizing inflation and output.

Furor over the Fed : Presidential Tweets and Central Bank Independence

Staff Analytical Note 2019-33 Antoine Camous, Dmitry Matveev
We illustrate how market data can be informative about the interactions between monetary and fiscal policy. Federal funds futures are private contracts that reflect investor’s expectations about monetary policy decisions.

Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou
We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.
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