On the Tail Risk Premium in the Oil Market Staff working paper 2017-46 Reinhard Ellwanger This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Monetary policy, Inflation dynamics and pressures, Structural challenges, International trade, finance and competitiveness
August 24, 2004 Bank of Canada Review - Summer 2004 Cover page Promissory Note, 1712 The note measures 28 cm x 16 cm and forms part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review
December 13, 2021 Monetary Policy Framework Renewal (December 2021) Commentary and technical data relating to the 2021 renewal. Content Type(s): Background materials
June 21, 2006 Bank of Canada Review - Summer 2006 Cover page Irish Gun Money The coins pictured on the cover are part of the National Currency Collection of the Bank of Canada. Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review
February 5, 2020 Our Economic Destiny: Written in R-stars? Remarks Carolyn A. Wilkins Economic Club of Canada Toronto, Ontario Senior Deputy Governor Carolyn A. Wilkins talks about how to navigate slow growth and discusses the types of policies that would help secure long-term prosperity. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial stability, Monetary policy, Economic models, Economy/Economic growth, Inflation targeting framework
Strategic Complementarities and Money Market Fund Liquidity Management Staff working paper 2017-14 Jonathan Witmer Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Exploring Wage Phillips Curves in Advanced Economies Staff discussion paper 2019-8 Rose Cunningham, Vikram Rai, Kristina Hess We investigate the extent to which excess supply (demand) in labour markets contributes to a lower (higher) growth rate of average nominal wages for workers. Using panel methods on data from 10 advanced economies for 1992–2018, we produce reduced-form estimates of a wage Phillips curve specification that is consistent with a New Keynesian framework. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C3, C33, E, E3, E31, E32 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Structural challenges, Demographics and labour supply
December 23, 2004 Monetary Policy, Private Information, and International Stock Markets Financial System Review - December 2004 Gregory Bauer, Clara Vega Content Type(s): Publications, Financial System Review articles
November 17, 2011 Modelling the Counterfeiting of Bank Notes: A Literature Review Bank of Canada Review - Autumn 2011 Ben Fung, Enchuan Shao The objective of this article is to improve our understanding of counterfeiting and its policy implications by reviewing research in this area. There has been almost no empirical work on counterfeiting because of the limited availability of counterfeiting data and related statistics. The authors therefore focus on theoretical studies that directly model the behaviour of the relevant economic agents. They first establish some stylized facts about counterfeiting to provide a general understanding of the problem. They then briefly review several models of counterfeiting and summarize their relevant insights, focusing on the implications of the findings for the incentive to counterfeit, social welfare and anti-counterfeiting policies. The authors find that the policy implications of these studies support the Bank’s comprehensive anti-counterfeiting strategy. Content Type(s): Publications, Bank of Canada Review articles
February 1, 2012 Measuring Financial Stress Financial System Review - December 2003 Mark Illing, Ying Liu Content Type(s): Publications, Financial System Review articles