An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms Staff working paper 2019-26 Rodney J. Garratt Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). Content Type(s): Staff research, Staff working papers JEL Code(s): C, C7, C72, E, E5, E58 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment Staff working paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change, Demographics and labour supply
Uncovered Return Parity: Equity Returns and Currency Returns Staff working paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Market structure, Models and tools, Economic models
The Global Benefits of Low Oil Prices: More Than Meets the Eye Staff analytical note 2016-13 Robert Fay, Justin-Damien Guénette, Louis Morel Between mid-2014 and early 2016, oil prices fell by roughly 65 per cent. This note documents the channels through which this oil price decline is expected to affect the global economy. One important and immediate channel is through higher expenditures, especially in net oil-importing countries. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E3, E32, E37, F, F0, F01, Q, Q4, Q43 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
June 21, 2008 Bank of Canada Oversight Activities during 2007 under the Payment Clearing and Settlement Act Financial System Review - June 2008 Walter Engert, Dinah Maclean Content Type(s): Publications, Financial System Review articles
Reassessing Trade Barriers with Global Value Chains Staff working paper 2019-19 Yuko Imura This paper provides a systematic, quantitative analysis of the short-run and long-run effects of various trade-restricting policies in the presence of global value chains and multinational production. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F12, F13, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
What COVID-19 May Leave Behind: Technology-Related Job Postings in Canada Staff working paper 2022-17 Alejandra Bellatin, Gabriela Galassi COVID-19 affects technology adoption: online job postings for technology-related occupations fall less during pandemic lockdowns and pick up faster during reopenings than postings for more traditional occupations. Content Type(s): Staff research, Staff working papers JEL Code(s): J, J2, J23, J24, O, O1, O14 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply, Digitalization and productivity
We Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress Staff working paper 2023-15 Anson T. Y. Ho, Kim Huynh, David T. Jacho-Chávez, Geneviève Vallée We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers’ financial stress. We focus on the arrears of insured mortgages because of their important implications for financial institutions and insurers’ business risk and relevant management practices. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C21, D, D1, D12, G, G2, G21, Q, Q5, Q54 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Structural challenges, Climate change
December 20, 2010 Strengthening the Infrastructure of Over-the-Counter Derivatives Markets Financial System Review - December 2010 Carolyn A. Wilkins, Elizabeth Woodman Content Type(s): Publications, Financial System Review articles
High-Frequency Trading and Institutional Trading Costs Staff working paper 2018-8 Marie Chen, Corey Garriott Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure