February 1, 2012 Income Trusts: Understanding the Issues Financial System Review - December 2003 Michael R. King Content Type(s): Publications, Financial System Review articles
Good Volatility, Bad Volatility and Option Pricing Staff working paper 2017-52 Bruno Feunou, Cédric Okou Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Incentive Compatibility on the Blockchain Staff working paper 2018-34 Jonathan Chiu, Thorsten Koeppl A blockchain is a digital ledger that keeps track of a record of ownership without the need for a designated party to update and enforce changes to the record. The updating of the ledger is done directly by the users of the blockchain and is traditionally governed by a proof-of-work (PoW) protocol. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G2, H, H4, P, P4, P43 Research Theme(s): Models and tools, Economic models, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
More Than Words: Fed Chairs’ Communication During Congressional Testimonies Staff working paper 2022-20 Michelle Alexopoulos, Xinfen Han, Oleksiy Kryvtsov, Xu Zhang We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E52, E58, E7, E71 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission
U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields Staff working paper 2024-12 Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack, Rodrigo Sekkel Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E44, E47, G, G1, G14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, International trade, finance and competitiveness
Government of Canada Securities in the Cash, Repo and Securities Lending Markets Staff discussion paper 2018-4 Narayan Bulusu, Sermin Gungor This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities. Content Type(s): Staff research, Staff discussion papers JEL Code(s): G, G1, G12, G2, G21, G23 Research Theme(s): Financial markets and funds management, Funds management, Market functioning, Financial system, Financial institutions and intermediation
2023 Methods-of-Payment Survey Report: The Resilience of Cash Staff discussion paper 2024-8 Christopher Henry, Matthew Shimoda, Doina Rusu We present key results from the 2023 Methods-of-Payment Survey. Results show that measures of cash management and use have remained stable since 2020, and that Canadians increased their adoption of payment alternatives such as mobile apps in 2023. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D8, D83, E, E4, E41 Research Theme(s): Money and payments, Cash and bank notes, Retail payments
April 26, 2002 The Interaction Between Monetary and Fiscal Policies Lecture David Dodge School of Policy Studies Queen's University Kingston, Ontario Donald Gow had a great interest in public administration and in budgetary reform in the federal government.1 He was one in a long line of Queen's professors who have focused on various budgetary matters at the federal level. Content Type(s): Press, Speeches and appearances, Lectures
May 19, 2011 Understanding and Measuring Liquidity Risk: A Selection of Recent Research Bank of Canada Review - Spring 2011 Céline Gauthier, Hajime Tomura During the recent financial crisis, one of the forces set in motion by the initial losses on subprime-mortgage loans was a significant decline in the market liquidity of assets and in the ability of financial institutions to obtain funding in wholesale markets. In this article, the authors summarize recent research that clarifies the role of liquidity in destabilizing the financial system and examine the implications of this research for the recently announced financial system reforms, including Basel III. Content Type(s): Publications, Bank of Canada Review articles
Measuring Systemic Risk Across Financial Market Infrastructures Staff working paper 2016-10 Fuchun Li, Héctor Pérez Saiz We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C58, G, G2, G21, G23 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures