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2126 Results

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.

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.
June 11, 2015

Canadian Open-End Mutual Funds: An Assessment of Potential Vulnerabilities

The authors examine the liquidity and leverage characteristics of Canadian long-term, open-end mutual funds in terms of their potential systemic effects on the Canadian mutual fund sector and on the Canadian financial system more broadly. In their overall assessment of this sector, they consider the regulation, market size and ownership structure of mutual funds in Canada and provide observations about the industry globally.
Content Type(s): Publications, Financial System Review articles JEL Code(s): G, G2, G23, G28

Assessing global potential output growth and the US neutral rate: April 2023

We expect global potential output growth to increase from 2.5% in 2022 to 2.8% by 2026. Compared with the April 2022 staff assessment, global potential output growth is marginally slower. The current range for the US neutral rate is 2% to 3%, unchanged from the last annual assessment.

Monetary Policy Independence and the Strength of the Global Financial Cycle

Staff working paper 2020-25 Christian Friedrich, Pierre Guérin, Danilo Leiva-Leon
We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of central banks' policy interest rates to exogenous changes in inflation.

CBDC: Banking and Anonymity

Staff working paper 2024-9 Yuteng Cheng, Ryuichiro Izumi
We examine the optimal amount of user anonymity in a central bank digital currency in the context of bank lending. Anonymity, defined as the lender’s inability to discern an entrepreneur’s actions that enable fund diversion, influences the choice of payment instrument due to its impact on a bank’s lending decisions.
February 9, 2022

The role of Canadian business in fostering non-inflationary growth

Remarks (delivered virtually) Tiff Macklem Canadian Chamber of Commerce Ottawa, Ontario
Governor Tiff Macklem discusses how business investment and stronger productivity are vital to sustaining non-inflationary economic growth.
May 19, 2011

Understanding and Measuring Liquidity Risk: A Selection of Recent Research

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.
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