Endogenous Liquidity and Capital Reallocation Staff Working Paper 2022-27 Wei Cui, Randall Wright, Yu Zhu We study economies where firms acquire capital in primary markets then retrade it in secondary markets after information on idiosyncratic productivity arrives. Our secondary markets incorporate bilateral trade with search, bargaining and liquidity frictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy JEL Code(s): E, E2, E22, E4, E44
From Monetary Policy Instruments to Administered Interest Rates: The Transmission Mechanism in Canada Technical Report No. 69 Kevin Clinton, Donna Howard The authors investigate interest-rate aspects of the transmission mechanism of monetary policy instruments in Canada, focussing on the stability of the relationships between some key interest rates and the instruments of monetary policy. To determine what shifts may have occurred in recent years, they describe movements in rate differentials, apply cointegration tests and estimate error-correction […] Content Type(s): Staff research, Technical reports Research Topic(s): Monetary policy transmission JEL Code(s): E, E5, E52
Optimal Monetary and Macroprudential Policies Staff Working Paper 2021-21 Josef Schroth Optimal coordination of monetary and macroprudential policies implies higher risk weights on (safe) bonds any time that banks are required to hold additional capital buffers. Coordination also implies a somewhat tighter monetary-policy stance whenever such capital buffers are released. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies, Inflation targets, Monetary policy JEL Code(s): E, E4, E44, E6, E60, G, G2, G21, G28
Nominal Rigidities and Monetary Policy in Canada Since 1981 Staff Working Paper 2002-25 Ali Dib This paper develops and estimates a dynamic, stochastic, general-equilibrium model with price and wage stickiness to analyze monetary policy in Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52
Liquidation Mechanisms and Price Impacts in DeFi Staff Working Paper 2025-12 Phoebe Tian, Yu Zhu This paper theoretically and empirically examines the price impacts of liquidations in DeFi and how different liquidation mechanisms affect the price impacts. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech JEL Code(s): D, D4, D44, D47, G, G2, G20, G3, G33
August 22, 2004 Canada's Capital Markets: How Do They Measure Up? Bank of Canada Review - Summer 2004 Sheryl Kennedy In a recent speech, Deputy Governor Sheryl Kennedy discusses how the efficiency of Canada's capital markets compares in a global context. Taking into account the three inter-related aspects of an efficient market (allocational, operational, and informational efficiency), Kennedy reviews the recent performance of Canadian capital markets under such headings as size, completeness, and access to capital and the instruments needed to hedge, or distribute, risk (allocational efficiency). To assess operational efficiency, she considers Canadian markets' liquidity and whether their transactional costs are competitive. Finally, she reviews transparency and market integrity (and how integrity is maintained) to determine markets' informational efficiency. She also offers several suggestions as to how Canadian markets can continue to be improve and maintain their competitiveness. Content Type(s): Publications, Bank of Canada Review articles
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence Staff Working Paper 2006-38 Fousseni Chabi-Yo The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G12, G13
March 21, 2017 Getting Down to Business: Investment and the Economic Outlook Remarks Lawrence L. Schembri Greater Vancouver Board of Trade Vancouver, British Columbia Deputy Governor Lawrence Schembri discusses the factors affecting business investment and the implications for the economic outlook. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Inflation and prices, Monetary policy, Monetary policy and uncertainty, Recent economic and financial developments
November 20, 1997 Monetary Policy Report – November 1997 In the last half-year, the economic expansion in Canada has become well established, supported by low inflation, highly stimulative monetary conditions, and a strong U.S. economy. Content Type(s): Publications, Monetary Policy Report
December 16, 2001 Risk Management in the Exchange Fund Account Bank of Canada Review - Winter 2001–2002 Michel Rochette In this article, author Michel Rochette of the Bank's Risk-Management Unit briefly describes the initiatives undertaken to identify, analyze, model, and manage the principal risks inherent in the transactions of the Exchange Fund Account (EFA), where the international reserves of the federal government are held. The author focuses on five types of risk: credit risk, market risk, liquidity risk, operational risk, and legal risk. In addition, the author presents the risk-management principles underlying the activities of the EFA and the governance structure of the Account. Content Type(s): Publications, Bank of Canada Review articles