How Important Is Liquidity Risk for Sovereign Bond Risk Premia? Evidence from the London Stock Exchange Staff Working Paper 2008-47 Ron Alquist This paper uses the framework of arbitrage-pricing theory to study the relationship between liquidity risk and sovereign bond risk premia. The London Stock Exchange in the late 19th century is an ideal laboratory in which to test the proposition that liquidity risk affects the price of sovereign debt. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): F, F2, F21, F3, F34, F36, G, G1, G12, G15
Crowdfunding and Risk Staff Working Paper 2023-28 David Cimon Crowdfunding may enable unique products to reach the consumer market. I model a crowdfunding technology that publicly screens consumer demand early in the production process. In this model, entrepreneurs like crowdfunding for risky projects where demand is uncertain, but not for large, safe projects or for projects where production costs are uncertain. Content Type(s): Staff research, Staff working papers Topic(s): Digital currencies and fintech, Financial markets, Financial services JEL Code(s): G, G2, G21, G24, G3, G32
November 8, 2016 Wood, Wheat, Wheels and the Web: Historical Pivots and Future Prospects for Canadian Exports Remarks Lawrence L. Schembri Atlantic Institute for Market Studies Halifax, Nova Scotia Deputy Governor Lawrence Schembri discusses the historical evolution and future prospects for Canadian exports. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Business fluctuations and cycles, Development economics, Exchange rates, Firm dynamics, International topics, Trade integration
2017 Methods-of-Payment Survey Report Staff Discussion Paper 2018-17 Christopher Henry, Kim Huynh, Angelika Welte Cash use is declining while contactless and mobile payments are on the rise. Content Type(s): Staff research, Staff discussion papers Topic(s): Bank notes, Digital currencies and fintech, Financial services JEL Code(s): D, D8, D83, E, E4, E41
Monetary Policy Tradeoffs Between Financial Stability and Price Stability Staff Working Paper 2016-49 Malik Shukayev, Alexander Ueberfeldt We analyze the impact of interest rate policy on financial stability in an environment where banks can experience runs on their short-term liabilities, forcing them to sell assets at fire-sale prices. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Monetary policy framework, Monetary policy transmission JEL Code(s): D, D6, D62, E, E3, E32, E4, E44, G, G0, G01
November 17, 2011 Extracting Information from the Business Outlook Survey: A Principal-Component Approach Bank of Canada Review - Autumn 2011 Lise Pichette, Lori Rennison This article reviews recent work that uses principal-component analysis to extract information common to indicators from the Bank of Canada’s Business Outlook Survey (BOS). The authors use correlation analysis and an out-of-sample forecasting exercise to assess and compare the information content of the principal component with that of responses to key individual survey questions on growth in real gross domestic product and in real business investment. Results suggest that summarizing the common movements among BOS indicators may provide useful information for forecasting near-term growth in business investment. For growth in real gross domestic product, however, the survey’s balance of opinion on future sales growth appears to be more informative. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Business fluctuations and cycles, Regional economic developments
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 Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C52, C6, C65, C8, C81, E, E4, E42, E5, E51
Wage Growth in Canada and the United States: Factors Behind Recent Weakness Staff Analytical Note 2017-8 Dany Brouillette, James Ketcheson, Olena Kostyshyna, Jonathan Lachaine This note examines the relatively subdued pace of wage growth in Canada since the commodity price decline in 2014 and assesses whether the weakness is attributable to cyclical (e.g., labour market slack) or structural factors (e.g., resource reallocation and demographic change). Content Type(s): Staff research, Staff analytical notes Topic(s): Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E24, J, J3, J30
October 14, 2007 The Effect of China on Global Prices Bank of Canada Review - Autumn 2007 Michael Francis The dramatic growth in China's exports of consumer goods such as clothing, toys, and electronics, and imports of primary commodities such as oil and metals is having major effects on global supply and demand. In examining China's role in global relative price changes, Francis finds that downward pressure on the relative prices of consumer goods is likely to persist as China's large labour supply continues its migration into manufacturing. Likewise, China's size and growth will also remain key drivers of global commodities demand for some time. Despite these forces, inflation-targeting central banks have the tools to keep inflation close to target, thus offsetting any persistent upward or downward inflationary pressure. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Inflation and prices, International topics, Recent economic and financial developments
Supervising Financial Regulators Staff Working Paper 2016-52 Josef Schroth How much discretion should local financial regulators in a banking union have in accommodating local credit demand? I analyze this question in an economy where local regulators privately observe expected output from high lending. They do not fully internalize default costs from high lending since deposit insurance cannot be priced fairly. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies, Regional economic developments JEL Code(s): E, E4, E44, G, G2, G28, H, H7