The Government of Canada Debt Securities Data Set Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money Staff Working Paper 2005-30 Ali Dib, Louis Phaneuf The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Labour markets JEL Code(s): C, C5, C52, E, E2, E24, E3, E32, J, J2, J22
June 13, 2013 The Basel III Liquidity Standards: An Update Financial System Review - June 2013 Carolyn A. Wilkins, Tamara Gomes Content Type(s): Publications, Financial System Review articles
The Share of Systematic Variations in the Canadian Dollar—Part I Staff Analytical Note 2016-15 Jean-Sébastien Fontaine, Guillaume Nolin In this analytical note we show that the share of the systematic variations in the Canadian dollar has risen significantly in the past two decades. Systematic variations in the exchange rate are shared with other currencies. This parallels the equity market, where variations in the price of a given stock are shared with variations in the prices of other stocks. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Exchange rates JEL Code(s): F, F3, F31
Liquidity, Redistribution, and the Welfare Cost of Inflation Staff Working Paper 2007-39 Jonathan Chiu, Miguel Molico This paper studies the long run welfare costs of inflation in a micro-founded model with trading frictions and costly liquidity management. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E4, E40, E5, E50
Effectiveness of Capital Controls in India: Evidence from the Offshore NDF Market Staff Working Paper 2011-29 Michael Hutchison, Gurnain Pasricha, Nirvikar Singh This paper examines the effectiveness of international capital controls in India over time by analyzing daily return differentials in the non-deliverable forward (NDF) markets using the self-exciting threshold autoregressive (SETAR) methodology. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International financial markets, International topics JEL Code(s): F, F3, F31, F32, G, G1, G15
The Role of Foreign Exchange Dealers in Providing Overnight Liquidity Staff Working Paper 2008-44 Chris D'Souza This paper illustrates that dealers in foreign exchange markets not only provide intraday liquidity, they are key participants in the provision of overnight liquidity. Dealing institutions receive compensation for holding undesired inventory balances in part from the information they receive in customer trades. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): D, D8, D82, F, F3, F31, G, G2, G21
Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation Staff Working Paper 2007-19 Sharon Kozicki, P. A. Tinsley This paper uses real-time briefing forecasts prepared for the Federal Open Market Committee (FOMC) to provide estimates of historical changes in the design of U.S. monetary policy and in the implied central-bank target for inflation. Empirical results support a description of policy with an effective inflation target of roughly 7 percent in the 1970s. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Monetary aggregates, Monetary policy implementation JEL Code(s): E, E3, E5, N, N1
Monetary Policy Implementation and Payment System Modernization Staff Working Paper 2020-26 Jonathan Witmer Canada plans to adopt a retail payment system to allow Canadians to pay in real time (or near real time) 24 hours a day, 7 days a week. However, the traditional model for setting the overnight interest rate does not operate 24/7. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): E, E4, E40, E42, E43
Consumer Credit with Over-optimistic Borrowers Staff Working Paper 2020-57 Florian Exler, Igor Livshits, James (Jim) C. MacGee, Michèle Tertilt When lenders cannot directly identify behavioural and rational borrowers, they use type scoring to track the likelihood of a borrower’s type. This leads to the partial pooling of borrowers, which results in rational borrowers subsidizing borrowing costs for behavioural borrowers. This, in turn, reduces the effectiveness of regulatory policies that target mistakes by behavioural borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Credit risk management, Financial system regulation and policies JEL Code(s): E, E2, E21, E4, E49, G, G1, G18, K, K3, K35