The U.S.-Dollar Supranational Zero-Coupon Curve Staff Discussion Paper 2012-5 Francisco Rivadeneyra The author describes the construction of the U.S.-dollar-denominated zero-coupon curve for the supranational asset class from 1995 to 2010. He uses yield data from a crosssection of bonds issued by AAA-rated supranational entities to fit the Svensson (1995) term-structure model. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G1, G12, G15
Global Factors and Inflation in Canada Staff Analytical Note 2017-17 Dany Brouillette, Laurence Savoie-Chabot This note investigates whether the recent weakness in inflation in Canada can be related to global factors not included in the current staff analytical framework (domestic slack, movements in commodity prices and in the exchange rate). A global common factor for inflation among selected advanced economies appears to contain marginal information for Canadian inflation beyond what is found in movements in commodity prices and the exchange rate. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Inflation and prices, Recent economic and financial developments JEL Code(s): E, E3, E31
SME Failures Under Large Liquidity Shocks: An Application to the COVID-19 Crisis Staff Working Paper 2023-32 Pierre-Olivier Gourinchas, Şebnem Kalemli-Özcan, Veronika Penciakova, Nicholas Sander We study the effects of financial frictions on firm exit when firms face large liquidity shocks. We develop a simple model of firm cost-minimization that introduces a financial friction that limits firms’ borrowing capacity to smooth temporary shocks to liquidity. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Firm dynamics, International topics JEL Code(s): D, D2, D21, D22, E, E6, E65, H, H8, H81
How big is cash-futures basis trading in Canada’s government bond market? Staff Analytical Note 2024-16 Andreas Uthemann, Rishi Vala Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial markets, Financial stability, Market structure and pricing JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G2, G23
A Wake-Up-Call Theory of Contagion Staff Working Paper 2015-14 Christoph Bertsch, Toni Ahnert We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial stability, International financial markets JEL Code(s): D, D8, D82, F, F3, G, G0, G01
More Money for Some: The Redistributive Effects of Open Market Operations Staff Working Paper 2021-46 Christian Bustamante I use a search-theoretic model of money to study how open market operations affect the conduct of monetary policy and what this means for households along the wealth distribution. In the model, households vary in the size and composition of their portfolios, which in turn implies that they may be unevenly affected by open market operations. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E5, E52
The New Benchmark for Forecasts of the Real Price of Crude Oil Staff Working Paper 2020-39 Amor Aniss Benmoussa, Reinhard Ellwanger, Stephen Snudden How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C1, C5, C53, Q, Q4, Q47
June 4, 2020 Economic progress report: keeping markets working Remarks (delivered virtually) Toni Gravelle Greater Sudbury Chamber of Commerce Sudbury, Ontario Deputy Governor Toni Gravelle discusses the Bank’s latest interest rate announcement and explains how efforts to keep financial markets functioning through the COVID-19 crisis will lay a solid foundation for economic recovery Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Coronavirus disease (COVID-19), Financial markets, Financial stability, Monetary policy, Recent economic and financial developments
Unpacking Moving: A Quantitative Spatial Equilibrium Model with Wealth Staff Working Paper 2023-34 Elisa Giannone, Qi Li, Nuno Paixão, Xinle Pang We propose a model to understand low observed migration rates by considering the interaction between location and wealth decisions. We look at different policies and find that temporary moving vouchers only slightly increase welfare, while lower housing regulations can decrease the welfare gap by lowering house prices nationwide. Content Type(s): Staff research, Staff working papers Research Topic(s): Housing, Regional economic developments JEL Code(s): G, G5, G51, R, R1, R12, R13, R2, R3, R31, R5, R52
February 1, 2012 Transparency in the Canadian Fixed-Income Market: Opportunities and Constraints Financial System Review - December 2003 Tran-Minh Vu Content Type(s): Publications, Financial System Review articles