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2166 Results

Variance Premium, Downside Risk and Expected Stock Returns

We decompose total variance into its bad and good components and measure the premia associated with their fluctuations using stock and option data from a large cross-section of firms.

Estimating the Portfolio-Balance Effects of the Bank of Canada’s Government of Canada Bond Purchase Program

Staff working paper 2024-34 Antonio Diez de los Rios
Using a novel dynamic portfolio balance model of the yield curve for Government of Canada bonds, I find that the Bank of Canada’s Government of Canada Bond Purchase Program reduced Canadian 10-year and 5-year zero-coupon yields by 84 and 52 basis points, respectively.

The Canadian Neutral Rate of Interest through the Lens of an Overlapping-Generations Model

Staff discussion paper 2023-5 Martin Kuncl, Dmitry Matveev
We use a small open economy model with overlapping generations to evaluate secular dynamics of the neutral rate in Canada from 1980 to 2018. We find that changes in both foreign and domestic factors resulted in a protracted decline in the neutral rate.

House Price Responses to Monetary Policy Surprises: Evidence from the U.S. Listings Data

Staff working paper 2022-39 Denis Gorea, Oleksiy Kryvtsov, Marianna Kudlyak
Existing literature documents that house prices respond to monetary policy surprises with a significant delay, taking years to reach their peak response. We present new evidence of a much faster response.

High-Frequency Cross-Sectional Identification of Military News Shocks

Staff working paper 2025-27 Francesco Amodeo, Edoardo Briganti
We identify and quantify fiscal news shocks, compiling events (2001–2023) that altered the expected path of U.S. defense expenditure. For each event, we estimate market-implied shifts in expected spending. A shift-share analysis yields a two-year, metropolitan statistical area–level GDP multiplier of approximately 1 for U.S. military build-ups.

Sources of pandemic-era inflation in Canada: An application of the Bernanke and Blanchard model

Staff analytical note 2024-13 Fares Bounajm, Jean Garry Junior Roc, Yang Zhang
We explore the drivers of the surge in inflation in Canada during the COVID-19 pandemic. This work is part of a joint effort by 11 central banks using the model developed by Bernanke and Blanchard (2023) to identify similarities and differences across economies.

Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey

Staff working paper 2017-24 Matthieu Verstraete, Lena Suchanek
This paper shows (i) that business sentiment, as captured by survey data, matters for monetary policy decisions in Canada, and (ii) how business perspectives are affected by monetary policy shocks. Measures of business sentiment (soft data) are shown to have systematic explanatory power for monetary policy decisions over and above typical Taylor rule variables.

Canadian Bitcoin Ownership in 2023: Key Takeaways

Staff discussion paper 2025-4 Daniela Balutel, Marie-Hélène Felt, Doina Rusu
The Bitcoin Omnibus Survey is an important tool for monitoring Canadians’ awareness and ownership of bitcoin and other cryptoassets over time. In this paper, we present data highlights from the 2023 survey.
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