December 23, 2004 Financial System Review - December 2004 The Canadian financial system comprises financial markets, financial institutions, and the clearing and settlement systems. Content Type(s): Publications, Financial Stability Report
May 16, 2013 Bank of Canada Review - Spring 2013 This issue includes analysis of the unconventional monetary policies recently implemented by central banks, and also presents Bank research in two areas - the migration of labour between economic regions in Canada, and the asset-allocation and funding decisions for Canada’s foreign exchange reserves. Content Type(s): Publications, Bank of Canada Review
Classical Decomposition of Markowitz Portfolio Selection Staff working paper 2020-21 Christopher Demone, Olivia Di Matteo, Barbara Collignon In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C02 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Business Closures and (Re)Openings in Real Time Using Google Places Staff working paper 2022-1 Thibaut Duprey, Daniel E. Rigobon, Philip Schnattinger, Artur Kotlicki, Soheil Baharian, T. R. Hurd The COVID-19 pandemic highlighted the need for policy-makers to closely monitor disruptions to the retail and food business sectors. We present a new method to measure business opening and closing rates using real-time data from Google Places, the dataset behind the Google Maps service. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C55, C8, C81, D, D2, D22, E, E3, E32 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
The Ecology of Automated Market Makers Staff discussion paper 2024-12 Annetta Ho, Cosmin Cazan, Andrew Schrumm This paper describes the ecology of automated market makers, which are the most popular decentralized exchange model for the pricing and trading of crypto assets within decentralized finance. Content Type(s): Staff research, Staff discussion papers JEL Code(s): G, G1, G2 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Money and payments, Digital assets and fintech
International Portfolio Rebalancing and Fiscal Policy Spillovers Staff working paper 2023-56 Sami Alpanda, Uluc Aysun, Serdar Kabaca We evaluate, both empirically and theoretically, the spillover effects that debt-financed fiscal policy interventions of the United States have on other economies. We consider a two-country model with international portfolio rebalancing effects. We show that US fiscal expansions would increase global long-term rates and hinder economic activity in the rest of the world. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E6, E62, F, F4, F41, F44 Research Theme(s): Financial markets and funds management, International markets and currencies, Financial system, Financial stability and systemic risk, Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness
What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks Staff working paper 2016-25 Laurent Ferrara, Pierre Guérin This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, E, E3, E32, E4, E44 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing Staff working paper 2018-33 Itay Goldstein, Jonathan Witmer, Jing Yang Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E58, G, G2, G23 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
June 9, 2022 Financial System Review—2022 Tiff Macklem, Carolyn Rogers, Timothy Lane, Lawrence L. Schembri, Paul Beaudry, Toni Gravelle, Sharon Kozicki The Canadian financial system remains resilient, but vulnerabilities have become more complex and risks have grown. The Bank is carefully watching households’ high levels of mortgage debt, as well as the risks associated with a price correction in Canada’s housing market. Content Type(s): Publications, Financial Stability Report
The Prudential Toolkit with Shadow Banking Staff working paper 2025-9 Kinda Hachem, Martin Kuncl Can regulators keep pace with banks’ creative regulatory workarounds? Our analysis unpacks the trade-offs between fixed regulations and crisis-triggered rules, showing that the latter are especially prone to circumvention—and can trigger larger, costlier bailouts. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D6, D62, E, E6, E61, G, G0, G01, G2, G21, G28 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Financial system regulation and oversight, Household and business credit