June 13, 2013 The Basel III Liquidity Standards: An Update Financial System Review - June 2013 Carolyn A. Wilkins, Tamara Gomes Content Type(s): Publications, Financial System Review articles
June 25, 2005 Bank of Canada Review - Summer 2005 Cover page African Marriage Money The metal marriage currencies pictured on the cover are part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches Staff analytical note 2018-34 Andrew Lee-Poy In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Economic models
February 1, 2012 Recent Developments in Markets for Credit-Risk Transfer Financial System Review - June 2003 John Kiff Content Type(s): Publications, Financial System Review articles
The Role of Public Money in the Digital Age Staff discussion paper 2024-11 Francisco Rivadeneyra, Scott Hendry, Alejandro García A well-functioning monetary system is characterized by public and private forms of money that exchange at par as value flows freely between them. A relevant retail public money—whether in the form of cash, a central bank digital currency or both—is a necessary component of such a monetary system. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E50, E58 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
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 Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Drivers of Weak Wage Growth in Advanced Economies Staff analytical note 2019-3 Anne-Katherine Cormier, Michael Francis, Kristina Hess, Guillaume Poulin-Bellisle Since the global financial crisis, advanced-economy wage growth has been generally low relative to past recoveries, especially after accounting for the evolution of labour market conditions over this period. This paper investigates a variety of potential explanations for this weakness, drawing on findings from the literature as well as analysis of recent labour market data in advanced economies. Content Type(s): Staff research, Staff analytical notes Research Topic(s): International topics, Labour markets JEL Code(s): E, E3, E31, F, F0, J, J3 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, Demographics and labour supply
The Share of Systematic Variations in the Canadian Dollar—Part I Staff analytical note 2016-15 Jean-Sébastien Fontaine, Guillaume Nolin In this analytical note we show that the share of the systematic variations in the Canadian dollar has risen significantly in the past two decades. Systematic variations in the exchange rate are shared with other currencies. This parallels the equity market, where variations in the price of a given stock are shared with variations in the prices of other stocks. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Exchange rates JEL Code(s): F, F3, F31 Research Theme(s): Financial markets and funds management, International markets and currencies, Structural challenges, International trade, finance and competitiveness
Chinese Monetary Policy and Text Analytics: Connecting Words and Deeds Staff working paper 2021-3 Jeannine Bailliu, Xinfen Han, Barbara Sadaba, Mark Kruger What are the main drivers behind the monetary policy reaction function of the People’s Bank of China? Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics, Monetary policy communications, Monetary policy framework JEL Code(s): C, C6, C63, E, E5, E52, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission