Survey-Based Estimates of the Term Structure of Expected U.S. Inflation Staff Working Paper 2006-46 Sharon Kozicki, P. A. Tinsley Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets, Monetary policy and uncertainty JEL Code(s): E, E3, E5
December 21, 2006 Are Canadian Banks Efficient? A Canada-U.S. Comparison Financial System Review - December 2006 Jason Allen, Walter Engert, Ying Liu Content Type(s): Publications, Financial System Review articles
How to Predict Financial Stress? An Assessment of Markov Switching Models Staff Working Paper 2017-32 Benjamin Klaus, Thibaut Duprey This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15
November 11, 2008 The Role of Dealers in Providing Interday Liquidity in the Canadian-Dollar Market Bank of Canada Review - Winter 2008-2009 Chris D'Souza Access to information about the future direction of the exchange rate can be extremely valuable in the foreign exchange market. Evidence presented in this article suggests that Canadian dealers are more likely to provide interday liquidity to foreign, rather than Canadian, financial customers, since foreign financial flows can be more informative about future movements in the exchange rate. The author reveals a statistical relationship between the supply of liquidity provided by non-financial firms and that provided by dealing institutions across time, and across markets, and suggests that the relationship between the positions of commercial clients and market-makers, and the role played by dealers in interday liquidity provision, has been understated in the market microstructure literature. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Exchange rates, Financial institutions, Financial markets, Market structure and pricing
The Positive Case for a CBDC Staff Discussion Paper 2021-11 Andrew Usher, Edona Reshidi, Francisco Rivadeneyra, Scott Hendry We discuss the competition and innovation arguments for issuing a central bank digital currency (CBDC). A CBDC could be an effective competition policy tool for payments. A CBDC could also support the vibrancy of the digital economy. It could help solve market failures and foster competition and innovation in new digital payments markets. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digital currencies and fintech, Financial institutions, Financial stability JEL Code(s): E, E4, E42, E5, E58, L, L4, L5
December 2, 2002 Canadian Foreign Exchange Market Liquidity and Exchange Rate Dynamics Financial System Review - December 2002 Chris D'Souza Content Type(s): Publications, Financial System Review articles
Financial Crisis Resolution Staff Working Paper 2012-42 Josef Schroth This paper studies a dynamic version of the Holmstrom-Tirole model of intermediated finance. I show that competitive equilibria are not constrained efficient when the economy experiences a financial crisis. A pecuniary externality entails that banks’ desire to accumulate capital over time aggravates the scarcity of informed capital during the financial crisis. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial system regulation and policies JEL Code(s): D, D5, D53, E, E6, E60, G, G0, G01, G1, G10, G18
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle Staff Working Paper 2005-9 Fousseni Chabi-Yo, René Garcia, Eric Renault The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13
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
October 22, 2006 Bank of Canada Review - Autumn 2006 Cover page The "pretended" Bank of Upper Canada — Kingston (1819-22) The note is part of the National Currency Collection of the Bank of Canada. Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review