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
Familiarity with Crypto and Financial Concepts: Cryptoasset Owners, Non-Owners, and Gender Differences Staff working paper 2024-48 Daniela Balutel, Walter Engert, Christopher Henry, Kim Huynh, Doina Rusu, Marcel Voia Measuring cryptoasset knowledge alongside financial knowledge enhances our understanding of individuals' decisions to purchase cryptoassets. This paper uses microdata from the Bank of Canada’s Bitcoin Omnibus Survey to examine gender differences and the interrelationship between crypto and financial knowledge through an empirical joint analysis. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C8, C81, D, D1, D14, D9, D91, G, G5, G53, O, O5, O51 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech
Swedish Riksbank Notes and Enskilda Bank Notes: Lessons for Digital Currencies Staff working paper 2018-27 Ben Fung, Scott Hendry, Warren E. Weber This paper examines the experience of Sweden with government notes and private bank notes to determine how well the Swedish experience corresponds to that of Canada and the United States. Sweden is important to study because it has had government notes in circulation for more than 350 years, and it had government notes before private bank notes. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E41, E42, E5, E58 Research Theme(s): Money and payments, Cash and bank notes, Digital assets and fintech
Assessing global potential output growth: April 2024 Staff analytical note 2024-10 Amor Aniss Benmoussa, Raheeb Dastagir, Eshini Ekanayake, Justin-Damien Guénette, Helen Lao, Jenna Rolland-Mills, Aidan Spencer, Lin Xiang This note presents the annual update of Bank of Canada staff estimates for growth in global potential output. These estimates serve as key inputs to the analysis supporting the April 2024 Monetary Policy Report. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E1, E2, F, F0, O, O4 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply, Digitalization and productivity
May 1, 2013 Monetary Policy After the Fall Remarks Mark Carney Eric J. Hanson Memorial Lecture University of Alberta Edmonton, Alberta Bank of Canada Governor Mark Carney discusses the future of monetary policy. Content Type(s): Press, Speeches and appearances, Remarks
Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada Staff discussion paper 2024-9 Bruno Feunou, Zabi Tarshi We present two models for long-term inflation expectations and inflation risk premiums for Canada. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C58, E, E4, E43, E47, G, G1, G12 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Bitcoin Awareness and Usage in Canada Staff working paper 2017-56 Christopher Henry, Kim Huynh, Gradon Nicholls There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, E, E4 Research Theme(s): Money and payments, Cash and bank notes, Digital assets and fintech
October 13, 2007 Estimating the Cost of Equity for Canadian and U.S. Firms Bank of Canada Review - Autumn 2007 Lorie Zorn Financing costs are important for both firms and the economy, affecting investment decisions and, ultimately, economic growth. Despite concern among policy-makers that the cost of equity financing may be higher in Canada than in the United States, empirical evidence supporting this view is mixed. Yet Canadian firms may not undertake as many projects that could potentially enhance growth if the cost of equity financing in Canada is relatively high. The article summarizes research by Jonathan Witmer and Lorie Zorn on the influences on the cost of equity in Canada and the United States, using an updated methodology that controls for firm characteristics and aggregate-level factors. In their sample, the cost of equity was 30–50 basis points higher in Canada over 1988 to 2006 but appears to have dropped in the post-1997 period. The results have policy implications related to such factors as firm size, disclosure, and securities regulation and enforcement. Content Type(s): Publications, Bank of Canada Review articles
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
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