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2192 Results

November 14, 2013

Bank of Canada Review - Autumn 2013

Bank of Canada Review - Autumn 2013
The three articles in this issue provide an overview of the monetary policy decision-making process at the Bank of Canada, a discussion of Bank research on the assessment of vulnerabilities in the financial system and a description of recent fragmentation in Canadian equity markets.

The Optimum Quantity of Central Bank Reserves

Staff working paper 2025-15 Jonathan Witmer
This paper analyzes the optimal quantity of central bank reserves in an economy where reserves and other financial assets provide liquidity benefits. Using a static model, I derive a constrained Friedman rule that characterizes the socially optimal level of reserves, demonstrating that this quantity is neither necessarily large nor small but depends on the marginal benefits of reserves relative to alternative safe assets.

Making It Real: Bringing Research Models into Central Bank Projections

Staff discussion paper 2023-29 Marc-André Gosselin, Sharon Kozicki
Macroeconomic projections and risk analyses play an important role in guiding monetary policy decisions. Models are integral to this process. This paper discusses how the Bank of Canada brings research models and lessons learned from those models into the central bank projection environment.

Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility

Staff working paper 2016-37 Michael Ehrmann, Jonathan Talmi
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.

Measuring Limits of Arbitrage in Fixed-Income Markets

Staff working paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.

Firm-Specific Shocks and Aggregate Fluctuations

Staff working paper 2016-51 Leonid Karasik, Danny Leung, Ben Tomlin
In order to understand what drives aggregate fluctuations, many macroeconomic models point to aggregate shocks and discount the contribution of firm-specific shocks. Recent research from other developed countries, however, has found that aggregate fluctuations are in part driven by idiosyncratic shocks to large firms.

Limiting Sender’s Information in Bayesian Persuasion

Staff working paper 2019-10 Shota Ichihashi
This paper studies how the outcome of Bayesian persuasion depends on a sender’s information. I study a game in which, prior to the sender’s information disclosure, the designer can restrict the most informative signal that the sender can generate.
November 17, 2011

Bank of Canada Review - Autumn 2011

This issue features four articles that present research and analysis by Bank staff. The first focuses on reforming the international monetary system; the second on the role of collateral and haircut policy in central bank lending; and the third on the extraction of information from the Business Outlook Survey using principal-component analysis. The fourth reviews studies that model the counterfeiting of bank notes.

Monetary Policy Governance: Bank of Canada Practices to Support Policy Effectiveness

Staff discussion paper 2024-14 Brigitte Desroches, Sharon Kozicki, Laure Simon
We examine different monetary policy governance structures and discuss the important roles of non-legislated processes and practices. We also provide an update on monetary policy governance at the Bank of Canada and how it has evolved over time.

Finding a Needle in a Haystack: A Machine Learning Framework for Anomaly Detection in Payment Systems

Staff working paper 2024-15 Ajit Desai, Anneke Kosse, Jacob Sharples
Our layered machine learning framework can enhance real-time transaction monitoring in high-value payment systems, which are a central piece of a country’s financial infrastructure. When tested on data from Canadian payment systems, it demonstrated potential for accurately identifying anomalous transactions. This framework could help improve cyber and operational resilience of payment systems.
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