Options Decimalization Staff working paper 2016-57 Faith Chin, Corey Garriott We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
November 13, 2015 Innovation, Central-Bank Style Remarks Carolyn A. Wilkins Rotman School of Management and Munk School of Global Affairs Toronto, Ontario Senior Deputy Governor Wilkins discusses how the Bank is tackling the most important strategic challenges facing central banks today and how innovative thinking is critical to its success. Content Type(s): Press, Speeches and appearances, Remarks
September 18, 2008 Measuring Inflation: Methodology and Misconceptions Remarks John Murray Certified General Accountants of Ontario Toronto, Ontario These past few months have been busy for central bankers, to say the least, and the past few days are certainly no exception. While developments on Wall Street have garnered much attention, the cost of living has also been an issue for us all, whether we're buying gas at the pumps, booking an airline ticket, or just picking up a loaf of bread at the grocery store. Content Type(s): Press, Speeches and appearances, Remarks
May 13, 2014 The Canadian Dollar as a Reserve Currency Bank of Canada Review - Spring 2014 Lukasz Pomorski, Francisco Rivadeneyra, Eric Wolfe This article provides an overview of the growth of Canadian-dollar-denominated assets in official foreign reserves. Based on International Monetary Fund data and on internal Bank of Canada analysis, we estimate that the total reserve holdings of Canadian-dollar assets increased from negligible levels before 2008 to around US$200 billion in the third quarter of 2013. We discuss the determinants of this increase, as well as its potential impact on Canadian debt markets, for example, lower yields and therefore reduced financing costs for the Government of Canada, and the possible negative impact on market liquidity. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E5, E58, F, F3, F31, G, G1, G12
September 11, 2008 Bank of Canada Review - Autumn 2008 Cover page Leonard C. Wyon: Canada’s Victorian Engraver Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review
What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks Staff working paper 2016-25 Laurent Ferrara, Pierre Guérin This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, E, E3, E32, E4, E44 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
June 8, 2023 Economic progress report: Are we entering a new era of higher interest rates? Remarks Paul Beaudry Greater Victoria Chamber of Commerce Victoria, British Columbia Deputy Governor Paul Beaudry discusses the latest interest rate decision and suggests reasons why longer-term interest rates could remain higher than they were before the pandemic. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Monetary policy, Economy/Economic growth, Inflation, Inflation targeting framework
March 16, 2008 Bank of Canada Review - Spring 2008 Cover Page Canada's First Coinage Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
October 18, 2005 What Drives Movements in Exchange Rates? Bank of Canada Review - Autumn 2005 Jeannine Bailliu, Michael R. King Understanding what causes the exchange rate to move has been on ongoing challenge for economists. Despite extensive research, traditional macro models of exchange rate determination—with the exception of the Bank of Canada's exchange rate equation—have typically not fared well, motivating economists to explore new ways to model exchange rate movements that incorporate more complex and realistic settings. Within the context of the sharp appreciation of the Canadian dollar in 2003 and 2004, Bailliu and King review the macroeconomic models of exchange rates, as well as the micro-structure studies that highlight the importance of trading mechanisms, information asymmetry, and investor heterogeneity for explaining short-term dynamics in exchange rates. In addition to summarizing the current state of knowledge, they highlight recent advances and identify promising alternative approaches. Content Type(s): Publications, Bank of Canada Review articles