Foreign Exchange Fixings and Returns Around the Clock Staff Working Paper 2021-48 Ingomar Krohn, Philippe Mueller, Paul Whelan We document a new empirical finding in the foreign exchange market: currency returns show systematic reversals around the benchmark fixings. Specifically, the US dollar, on average, appreciates in the hours before fixes and depreciates after fixes. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
Energy Efficiency and Fluctuations in CO2 Emissions Staff Working Paper 2021-47 Soojin Jo, Lilia Karnizova Carbon dioxide emissions have been commonly modelled as rising and falling with total output. Yet many factors, such as energy-efficiency improvements and shifts to cleaner energy, can break this relationship. We evaluate these factors using US data and find that changes in energy efficiency of consumption goods explain a significant proportion of emissions fluctuations. This finding also implies that models that omit energy efficiency likely overestimate the trade-off between environmental protection and economic performance. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Climate change, Econometric and statistical methods JEL Code(s): E, E3, E32, Q, Q4, Q43, Q5, Q50, Q55
October 5, 2021 CORRA Advisory Group Meeting (October 5, 2021) Content Type(s): Meetings Source(s): CORRA Advisory Group
October 4, 2021 Operational details for upcoming secondary market purchases of Government of Canada securities (October 11–22) As previously announced, the Bank of Canada (the Bank) launched on April 1, 2020 a program to purchase Government of Canada securities in the secondary market – the Government Bond Purchase Program (GBPP). Content Type(s): Press, Market notices Source(s): Government of Canada Bond Purchase Program
September 30, 2021 Research Update - September 2021 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
More Money for Some: The Redistributive Effects of Open Market Operations Staff Working Paper 2021-46 Christian Bustamante I use a search-theoretic model of money to study how open market operations affect the conduct of monetary policy and what this means for households along the wealth distribution. In the model, households vary in the size and composition of their portfolios, which in turn implies that they may be unevenly affected by open market operations. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E5, E52