The Dynamic Canadian Debt Strategy Model Technical report No. 127 Nicolas Audet, Joe Ning, Adam Epp, Jeffrey Gao We present a dynamic debt strategy model framework designed to assist sovereign debt portfolio managers in choosing an optimal debt issuance strategy. The main innovation of this framework is the introduction of dynamic issuance strategies, which allow issuance decisions to vary over time based on the model’s simulated state variables. Content Type(s): Staff research, Technical reports JEL Code(s): C, C6, C61, G, G1, G11, G17, H, H6, H63, H68 Research Theme(s): Financial markets and funds management, Funds management, Models and tools, Econometric, statistical and computational methods
Equity Option-Implied Probability of Default and Equity Recovery Rate Staff working paper 2016-58 Bo Young Chang, Greg Orosi There is a close link between prices of equity options and the default probability of a firm. We show that in the presence of positive expected equity recovery, standard methods that assume zero equity recovery at default misestimate the option-implied default probability. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G13, G3, G33 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk
Cash and COVID-19: The impact of the second wave in Canada Staff discussion paper 2021-12 Heng Chen, Walter Engert, Marie-Hélène Felt, Kim Huynh, Gradon Nicholls, Daneal O’Habib, Julia Zhu The COVID-19 pandemic significantly increased the demand for cash. Cash in circulation increased sharply from March through December 2020, particularly in the early months of this period. Although use of electronic methods of payment also increased significantly, cash use for payments remains high for low-value transactions and among certain demographic groups. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C1, C12, C9, E, E4, O, O5, O54 Research Theme(s): Money and payments, Cash and bank notes, Retail payments
September 18, 2025 Making change—Accelerating payments innovation Remarks Ron Morrow CPA The One conference Ottawa, Ontario Ron Morrow, Executive Director of Payments, Supervision and Oversight, talks about innovations in the payments ecosystem. He also highlights the Bank’s new role as supervisor of payment service providers. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Currency, Digital currency, Financial system, Financial markets, Financial stability, Fintech, Retail payments
November 18, 2002 Promoting Canada's Economic and Financial Welfare Remarks David Dodge Calgary Chamber of Commerce Calgary, Alberta It's been a difficult year for many sectors of the Alberta economy. Certainly, the severe drought hurt many western farmers, and investment in the energy sector was held back by low oil and gas prices. In addition, the slump in the telecom sector has affected Calgary. Content Type(s): Press, Speeches and appearances, Remarks
A Review of the Bank of Canada’s Market Operations Related to COVID-19 Staff discussion paper 2023-6 Grahame Johnson This paper reviews the range of extraordinary programs launched by the Bank of Canada in response to the pandemic-related financial market disruption. It provides some recommendations for future interventions to ensure the programs are appropriately structured for the financial and economic stresses they are intended to address. Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D4, D47, E, E4, E41, E5, G, G0, G01, G1, G14, G2, G21, G23, H, H1, H12 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy tools and implementation
Seasonal Adjustment of Weekly Data Staff discussion paper 2024-17 Jeffrey Mollins, Rachit Lumb The industry standard for seasonally adjusting data, X-13ARIMA-SEATS, is not suitable for high-frequency data. We summarize and assess several of the most popular seasonal adjustment methods for weekly data given the increased availability and promise of non-traditional data at higher frequencies. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C1, C4, C5, C52, C8, E, E0, E01, E2, E21 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
A Behavioral New Keynesian Model of a Small Open Economy Under Limited Foresight Staff working paper 2023-44 Seunghoon Na, Yinxi Xie This paper studies exchange rate dynamics by incorporating bounded rationality, that is, limited foresight, in a small open-economy model. This behavior of limited foresight helps explain several observations and puzzles in the data of exchange rate movements. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, E7, E70, F, F3, F31, F4, F41 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Dynamic Privacy Choices Staff working paper 2022-8 Shota Ichihashi Consumers often express concerns about lack of privacy, but they still give up a lot of data to digital platforms. This paper builds a dynamic game-theoretic model of data collection and privacy protection, which potentially explains consumers’ behaviour. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D83 Research Theme(s): Models and tools, Economic models, Money and payments, Digital assets and fintech
June 11, 2015 Financial System Review - June 2015 The Reports section of the Financial System Review examines selected issues of relevance to the Canadian and global financial systems. The June 2015 issue features two reports summarizing recent work by Bank of Canada staff on specific financial sector policies. Content Type(s): Publications, Financial Stability Report