Staff discussion papers are completed staff research studies on a wide variety of subjects relevant to central bank policy.
269
result(s)
The Size and Destination of China’s Portfolio Outflows
Staff Discussion Paper 2018-11
Rose Cunningham,
Eden Hatzvi,
Kun Mo
The size of China’s financial system raises the possibility that the liberalization of its capital account could have a large effect on the global financial system. This paper provides a counterfactual scenario analysis that estimates what the size and direction of China’s overseas portfolio investments would have been in 2015 if China had had no restrictions on these outflows.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Balance of payments and components,
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C2,
C23,
F,
F2,
F21,
F3,
F32,
G,
G1,
G15
Government of Canada Fixed-Income Market Ecology
Staff Discussion Paper 2018-10
Léanne Berger-Soucy,
Corey Garriott,
André Usche
This discussion paper is the third in the Financial Markets Department’s series on the structure of Canadian financial markets. These papers are called “ecologies” because they study the interactions among market participants, infrastructures, regulations and the terms of the traded contract itself.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Financial institutions,
Financial markets,
Financial services
JEL Code(s):
G,
G1,
G10,
G2,
G20,
H,
H6,
H63
Nowcasting Canadian Economic Activity in an Uncertain Environment
Staff Discussion Paper 2018-9
Tony Chernis,
Rodrigo Sekkel
This paper studies short-term forecasting of Canadian real GDP and its expenditure components using combinations of nowcasts from different models. Starting with a medium-sized data set, we use a suite of common nowcasting tools for quarterly real GDP and its expenditure components.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
E,
E3,
E37,
E5,
E52
Prudential Liquidity Regulation in Banking—A Literature Review
Staff Discussion Paper 2018-8
Adi Mordel
Prudential liquidity requirements are a relatively recent regulatory tool on the international front, introduced as part of the Basel III accord in the form of a liquidity coverage ratio (LCR) and a net stable funding ratio (NSFR). I first discuss the rationale for regulating bank liquidity by highlighting the market failures that it addresses while reviewing key theoretical contributions to the literature on the motivation for prudential liquidity regulation.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
Assessing the Impact of Demand Shocks on the US Term Premium
Staff Discussion Paper 2018-7
Russell Barnett,
Konrad Zmitrowicz
During and after the Great Recession of 2008–09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more commonly known as quantitative easing or QE, to provide additional monetary stimulus.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Interest rates,
Monetary policy framework,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58,
E6,
E61,
E65,
G,
G1,
G12
A Primer on the Canadian Bankers’ Acceptance Market
Staff Discussion Paper 2018-6
Kaetlynd McRae,
Danny Auger
This paper discusses how the bankers’ acceptance (BA) market in Canada is organized and its essential link to the Canadian Dollar Offered Rate (CDOR). Globally, BAs are a niche product used only in a limited number of jurisdictions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G18,
G2,
G21,
G23
A Policy Framework for E-Money: A Report on Bank of Canada Research
Staff Discussion Paper 2018-5
Mohammad Davoodalhosseini,
Francisco Rivadeneyra
We present a policy framework for electronic money and payments. The framework poses a set of positive questions related to the areas of responsibility of central banks: payments systems, monetary policy and financial stability. The questions are posed to four broad forms of e-money: privately or publicly issued, and with centralized or decentralized verification of transactions. This framework is intended to help evaluate the trade-offs that central banks face in the decision to issue new forms of e-money.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digital currencies and fintech,
Monetary policy,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E41,
E5,
E51,
E52,
E58
Government of Canada Securities in the Cash, Repo and Securities Lending Markets
Staff Discussion Paper 2018-4
Narayan Bulusu,
Sermin Gungor
This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Wholesale funding
JEL Code(s):
G,
G1,
G12,
G2,
G21,
G23
A Calibrated Model of Intraday Settlement
Staff Discussion Paper 2018-3
Héctor Pérez Saiz,
Siddharth Untawala,
Gabriel Xerri
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
C,
C5,
C58,
G,
G2,
G21,
G23