Unanticipated Defaults and Losses in Canada's Large-Value Payments System, Revisited Staff Discussion Paper 2007-5 Devin Ball, Walter Engert Recent work at the Bank of Canada studied the impact of default in Canada’s large-value payments system, and concluded that participants could readily manage their potential losses (McVanel 2005). In an extension of that work, the authors use a much larger set of daily payments data – with three times as many observations – to […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, E47, G, G2, G21
Government of Canada Securities in the Cash, Repo and Securities Lending Markets Staff Discussion Paper 2018-4 Narayan Bulusu, Sermin Gungor This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Wholesale funding JEL Code(s): G, G1, G12, G2, G21, G23
December 14, 2007 The Costs of Inflation in New Keynesian Models Bank of Canada Review - Winter 2007-2008 Steve Ambler Ambler describes three new channels through which inflation affects economic welfare in New Keynesian models. These channels were absent from traditional analyses and may have caused researchers to underestimate the costs associated with variable inflation, even at relatively low levels of inflation. The article concludes with a preliminary assessment of the quantitative importance of the new channels and their significance for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation: costs and benefits, Monetary policy framework
August 27, 2007 The Bank of Canada's Research Agenda and the Future of Inflation Targeting Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario The last few weeks have been a time of turbulence in financial markets. In times such as these, it is common for people to focus on day-by-day or even hour-by-hour events, and to lose sight of the future. But tonight, I want to focus on the future; specifically, the future of inflation targeting in Canada. Content Type(s): Press, Speeches and appearances, Remarks
December 27, 2005 An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia Financial System Review - December 2005 Marc-André Gosselin, Nicolas Parent Content Type(s): Publications, Financial System Review articles
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12
August 21, 2002 Monetary Policy and Uncertainty Bank of Canada Review - Summer 2002 Paul Jenkins, David Longworth Central banks must cope with considerable uncertainty about what will happen in the economy when formulating monetary policy. This article describes the different types of uncertainty that arise and looks at examples of uncertainty that the Bank has recently encountered. It then reviews the strategies employed by the Bank to deal with this problem. The other articles in this special issue focus on three of these major strategies. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Monetary policy and uncertainty, Monetary policy framework
Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different? Staff Working Paper 2015-40 John Muellbauer, Pierre St-Amant, David Williams There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Domestic demand and components, Economic models, Financial institutions, Financial stability, Financial system regulation and policies, Housing, Monetary policy transmission JEL Code(s): E, E0, E02, E2, E21, E4, E44, G, G2, G21, R, R2, R21, R3, R31
May 23, 2004 Bank of Canada Review - Spring 2004 Cover page The Millennial Celebrations in Ancient Rome The coins pictured on the cover range from approximately 20 to 35 mm in diameter and form part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review