Does US or Canadian Macro News Drive Canadian Bond Yields? Staff analytical note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni-Donfack We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields. Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C2, C22, E, E4, E43 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Monetary policy framework and transmission, Structural challenges, International trade, finance and competitiveness
Blockchain-Based Settlement for Asset Trading Staff working paper 2018-45 Jonathan Chiu, Thorsten Koeppl Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G2, H, H4, P, P4, P43 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Forward Guidance and Expectation Formation: A Narrative Approach Staff working paper 2020-40 Christopher S. Sutherland How exactly does forward guidance influence interest rate expectations? Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, D84, E, E3, E37, E5, E52, E58 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach Staff working paper 2016-21 Fuchun Li, Hongyu Xiao We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Can Capital Deepening Explain the Global Decline in Labor’s Share? Staff working paper 2019-3 Andrew Glover, Jacob Short We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E1, E13, E2, E22, E25, J, J3 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
June 21, 2008 A Model of Tiered Settlement Networks Financial System Review - June 2008 James Chapman, Jonathan Chiu, Miguel Molico Content Type(s): Publications, Financial System Review articles
November 19, 2010 Has Exchange Rate Pass-Through Really Declined? Some Recent Insights from the Literature Bank of Canada Review - Autumn 2010 Jeannine Bailliu, Wei Dong, John Murray Building on an earlier Review article, the authors critically reassess the premise that exchange rate pass-through (ERPT) has declined in light of recent studies of the issue in the context of a dynamic stochastic general-equilibrium framework. Content Type(s): Publications, Bank of Canada Review articles
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff working paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, G, G0 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
August 19, 2010 Should Monetary Policy Be Used to Counteract Financial Imbalances? Bank of Canada Review - Summer 2010 Jean Boivin, Césaire Meh, Timothy Lane The authors examine whether monetary policy should and could do more to lean against financial imbalances (such as those associated with asset-price bubbles or unsustainable credit expansion) as they are building up, or whether its role should be limited to cleaning up the economic consequences as the imbalances unwind. Content Type(s): Publications, Bank of Canada Review articles