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2126 Results

The Share of Systematic Variations in the Canadian Dollar—Part II

Staff analytical note 2017-1 Jean-Sébastien Fontaine, Guillaume Nolin
This analytical note examines how much of the systematic variation in the Canadian dollar is attributable to its sensitivity to commodity prices. We introduce a new “oil” portfolio that captures systematic variations when the exchange rates of commodity exporters and commodity importers move in opposite directions.

Do Monetary Policy Shocks Affect the Neutral Rate of Interest?

Staff working paper 2026-6 Danilo Leiva-Leon, Rodrigo Sekkel, Luis Uzeda
Can monetary policy influence the neutral real interest rate (r-star)? Using a new statistical model, we show that interest rate hikes tend to lower r-star and long-run growth, but that monetary policy explains only a small share of the long-run decline in r-star.

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.

Exports and the Exchange Rate: A General Equilibrium Perspective

Staff working paper 2022-18 Patrick Alexander, Abeer Reza
How do a country’s exports change when its currency depreciates? Does it matter which forces drive the exchange rate deprecation in the first place? We find that this relationship varies greatly depending on what drives exchange rate movements, and we conclude that the direct relationship between the exchange rate and exports is weak for Canada.

The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.

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.

Central Bank Liquidity Policy in Modern Times

Staff discussion paper 2024-6 Skylar Brooks
Across several dimensions of lender of last resort policy, I highlight broad changes that have occurred since the 2008–09 global financial crisis and discuss some of the key challenges, choices and considerations facing the designers of central bank liquidity tools today.

Examining the Links Between Firm Performance and Insolvency

Staff discussion paper 2025-10 Dylan Hogg, Hossein Hosseini Jebeli
Assessing insolvency dynamics is essential for evaluating the financial health of non-financial corporations and mitigating macroeconomic and financial stability risks. This study leverages a newly created Statistics Canada dataset linking insolvency records with firm-level financial data to develop a robust framework for monitoring insolvency risk

Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models

Staff analytical note 2016-8 Farrukh Suvankulov
This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.
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