Is anyone surprised? The high-frequency impact of US and domestic macroeconomic data announcements on Canadian asset prices Staff Analytical Note 2025-10 Blake DeBruin Martos, Rodrigo Sekkel, Henry Stern, Xu Zhang Using almost two decades of detailed high-frequency data, we show how Canadian interest rates, the CAD/USD spot exchange rate, and stock market returns react to both US and domestic macro announcements. We find that Canadian macroeconomic announcements invoke greater responses in short-term yields, whereas US macroeconomic announcements play an increasingly important role in the yield movements of longer-term assets. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Exchange rates, Financial markets JEL Code(s): G, G1, G14, G15
On the Value of Virtual Currencies Staff Working Paper 2016-42 Wilko Bolt, Maarten van Oordt This paper develops an economic framework to analyze the exchange rate of virtual currency. Three components are important: first, the current use of virtual currency to make payments; second, the decision of forward-looking investors to buy virtual currency (thereby effectively regulating its supply); and third, the elements that jointly drive future consumer adoption and merchant acceptance of virtual currency. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Digital currencies and fintech, Exchange rates JEL Code(s): E, E4, E42, E5, E51, F, F3, F31, G, G1
The Anatomy of Sentiment-Driven Fluctuations Staff Working Paper 2021-33 Sushant Acharya, Jess Benhabib, Zhen Huo We show that changes in sentiment that aren’t related to fundamentals can drive persistent macroeconomic fluctuations even when all economic agents are rational. Changes in sentiment can also affect how fundamental shocks affect macroeconomic outcomes. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E20, E3, E32, F, F4, F44
The Monetary Origins of Asymmetric Information in International Equity Markets Staff Working Paper 2004-47 Gregory Bauer, Clara Vega Existing studies using low-frequency data show that macroeconomic shocks contribute little to international stock market covariation. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15
February 24, 2012 A Monetary Policy Framework for All Seasons Remarks Mark Carney U.S. Monetary Policy Forum New York, New York Governor Mark Carney reviews the advantages of Canada’s flexible inflation-targeting regime. Content Type(s): Press, Speeches and appearances, Remarks
Predicting the Demand for Central Bank Digital Currency: A Structural Analysis with Survey Data Staff Working Paper 2021-65 Jiaqi Li How much of a CBDC would Canadian households want to hold, and what design features of a CBDC would they care about? Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Digital currencies and fintech JEL Code(s): E, E5, E50, E58
A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria Staff Working Paper 1996-5 Joseph Atta-Mensah, Walter Engert, Scott Hendry, Jamie Armour A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary aggregates, Monetary policy transmission JEL Code(s): E, E3, E37, E5, E52
Financial Inclusion—What’s it Worth? Staff Working Paper 2016-30 Miguel Ampudia, Michael Ehrmann The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial services, Financial system regulation and policies, Housing JEL Code(s): D, D1, D14, G, G2, G21, G28
September 18, 2008 Measuring Inflation: Methodology and Misconceptions Remarks John Murray Certified General Accountants of Ontario Toronto, Ontario These past few months have been busy for central bankers, to say the least, and the past few days are certainly no exception. While developments on Wall Street have garnered much attention, the cost of living has also been an issue for us all, whether we're buying gas at the pumps, booking an airline ticket, or just picking up a loaf of bread at the grocery store. Content Type(s): Press, Speeches and appearances, Remarks
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32