October 15, 2007 Bank of Canada Review - Autumn 2007 Cover page Siamese Gaming Tokens The tokens pictured here are part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
December 24, 2004 Government of Canada Yield-Curve Dynamics, 1986-2003 Bank of Canada Review - Winter 2004-2005 Grahame Johnson A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Debt management, Econometric and statistical methods, Financial markets
Strengthening Inflation Targeting: Review and Renewal Processes in Canada and Other Advanced Jurisdictions Staff discussion paper 2020-7 Robert Amano, Thomas J. Carter, Lawrence L. Schembri We summarize the review and renewal process at four central banks (Reserve Bank of New Zealand, Bank of England, Sveriges Riksbank and the US Federal Reserve Bank) and compare them with the process at the Bank of Canada, which has been well-established since 2001. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Inflation targets, Monetary policy framework JEL Code(s): E, E5, E52, E58 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Banking Regulation and Market Making Staff working paper 2017-7 David Cimon, Corey Garriott We model how securities dealers respond to regulations on leverage, position and liquidity such as those imposed by the Basel III framework. We show that while asset prices exhibit greater price impact, bid-ask spreads do not change and trading volumes may even increase. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1, L10 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial system regulation and oversight
August 16, 2012 An Analysis of Indicators of Balance-Sheet Risks at Canadian Financial Institutions Bank of Canada Review - Summer 2012 David Xiao Chen, H. Evren Damar, Hani Soubra, Yaz Terajima This article examines four indicators of balance-sheet risks—leverage, capital, asset liquidity and funding—among different types of financial institutions in Canada over the past three decades. It also discusses relevant developments in the banking sector that could have contributed to the observed dynamics. The authors find that the various risk indicators decreased during the period for most of the non-Big Six financial institutions, but remained relatively unchanged for the Big Six banks. In addition, the balance-sheet risk indicators became more heterogeneous across financial institutions. The observed overall decline and increased heterogeneity follow certain regulatory changes, such as the introduction of the liquidity guidelines on funding in 1995 and the implementation of bank-specific leverage requirements in 2000. Given that these regulations required more balance-sheet risk management, they have likely contributed to the increased resilience of the banking sector. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
CANVAS: A Canadian Behavioral Agent-Based Model Staff working paper 2022-51 Cars Hommes, Mario He, Sebastian Poledna, Melissa Siqueira, Yang Zhang The Bank of Canada’s current suite of models faces challenges in addressing network effects that integrate household and firm-level heterogeneity and their behaviours. We develop CANVAS, a Canadian behavioural agent-based model to contribute to the Bank’s next-generation modelling effort. CANVAS improves forecasting performance and expands capacity for model-based scenario analysis. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods, Economic models, Firm dynamics, Inflation and prices JEL Code(s): C, D, D2, D22, D8, D83, E, E1, E17 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Which Model to Forecast the Target Rate? Staff working paper 2017-60 Bruno Feunou, Jean-Sébastien Fontaine, Jianjian Jin Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Methodology for Assigning Credit Ratings to Sovereigns Staff discussion paper 2017-7 Philippe Muller, Jérôme Bourque The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credit risk management, Foreign reserves management JEL Code(s): F, F3, F31, G, G2, G24, G28, G3, G32 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Models and tools, Economic models
April 5, 2016 China’s Great Transition: What It Means for Canada Remarks Carolyn A. Wilkins Greater Vancouver Board of Trade Vancouver, British Columbia Senior Deputy Governor Carolyn Wilkins discusses the risks and opportunities for Canada of China’s economic transition. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Financial stability, International financial markets, International topics, Monetary policy, Monetary policy and uncertainty, Trade integration Subject(s): Financial system, Financial stability, Monetary policy, Economy/Economic growth
Firm Inattention and the Efficacy of Monetary Policy: A Text-Based Approach Staff working paper 2022-3 Wenting Song, Samuel Stern How much attention do firms pay to macroeconomic news? Through a novel text-based measure, two facts emerge. First, attention is polarized. Most firms either never or always pay attention to economic conditions. Second, it is countercyclical. During recessions, more firms pay attention, and firms pay greater attention to macroeconomic news. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, Monetary policy JEL Code(s): D, D8, D83, E, E4, E44, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission