Corporate Bond Spreads and the Business Cycle Staff Working Paper 2002-15 Zhiwei Zhang This paper examines the predictive power of credit spreads from the corporate bond market. The high-yield bond spread and investment-grade spread can explain 68 per cent and 42 per cent of output variations one year ahead, while the term spread based on government debts can explain only 12 per cent of them. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary and financial indicators, Monetary policy transmission JEL Code(s): E, E3, E5, G, G1
A New Measure of Monetary Policy Shocks Staff Working Paper 2021-29 Xu Zhang Combining various high frequency financial data with central bank projections, I construct a new measure of monetary policy shocks not predictable by the public information preceding a central bank’s announcements. I then study the causal effects of monetary policy on the macro economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates, Monetary policy JEL Code(s): E, E5, G, G0
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
Inventories in ToTEM Staff Discussion Paper 2010-9 Oleksiy Kryvtsov, Yang Zhang ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E31, E32
What Drags and Drives Mobility: Explaining Canada’s Aggregate Migration Patterns Staff Working Paper 2012-28 David Amirault, Daniel de Munnik, Sarah Miller Using census data at the economic region level from 1991 to 2006 and a gravity model framework, this paper examines the factors that influence migration within Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Labour markets, Regional economic developments JEL Code(s): J, J6, J61, R, R2, R23
Options Decimalization Staff Working Paper 2016-57 Faith Chin, Corey Garriott We document the outcome of an options decimalization pilot on Canada’s derivatives exchange. Decimalization improves measures of liquidity and price efficiency. The impact differs by the moneyness of an option and is greatest for out-of-the-money options. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1, L10
Safe Payments Staff Working Paper 2020-53 Jonathan Chiu, Mohammad Davoodalhosseini, Janet Hua Jiang, Yu Zhu In a cashless economy, would the private sector invest in the optimal level of safety in a deposit-based payment system? In general, because of externalities, the answer is no. While the private sector could over- or under-invest in safety, the government can use taxes or subsidies to correct private incentives. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Digital currencies and fintech, Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E50, G, G2, G21
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
Are Canadian Banks Efficient? A Canada–U.S. Comparison Staff Working Paper 2006-33 Jason Allen, Walter Engert, Ying Liu The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21
BoC–BoE Sovereign Default Database: Appendix and References Technical Report No. 125 David Beers, Obiageri Ndukwe, Alex Charron Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15