Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
230
result(s)
Foreign exchange risk premiums and global currency factors
Staff Analytical Note 2024-20
Ingomar Krohn,
Mariel Yacolca Maguiña
Global currency risk factors continue to explain a large share of the variation in the Canadian dollar during the period following the 2008–09 global financial crisis. We show that they are also systematically important for risk premiums, and only in recent months has the role of idiosyncratic country-specific risks grown.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
International financial markets
JEL Code(s):
F,
F3,
F31,
G,
G1,
G12
BoC–BoE Sovereign Default Database: What’s new in 2024?
Staff Analytical Note 2024-19
David Beers,
Obiageri Ndukwe,
Alex Charron
The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2024 edition updates the historical data and revisits sovereign defaults on local currency debt.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
The reliance of Canadians on credit card debt as a predictor of financial stress
Staff Analytical Note 2024-18
Jia Qi Xiao
I analyze the relationship between carrying a credit card balance and future financial stress. I find that carrying a balance significantly increases the likelihood that credit card holders miss future debt payments. This likelihood tends to rise as credit card balances grow and are held for long periods.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Interest rates,
Recent economic and financial developments
JEL Code(s):
D,
D1,
E,
E4,
E5,
G,
G2,
G21
Could all-to-all trading improve liquidity in the Government of Canada bond market?
Staff Analytical Note 2024-17
Jabir Sandhu,
Rishi Vala
We find that on any given day, nearly half of Government of Canada bond transactions by clients of dealers can be offset with other clients, including during the turmoil in March 2020. Our results show that under certain conditions clients could potentially trade directly with each other and are a step towards understanding the relevance of broader all-to-all trading in the Government of Canada bond market.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial institutions,
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G0,
G01,
G1,
G12,
G13,
G14,
G2,
G21,
G23
How big is cash-futures basis trading in Canada’s government bond market?
Staff Analytical Note 2024-16
Andreas Uthemann,
Rishi Vala
Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G1,
G12,
G2,
G23
Non-bank financial intermediation: Canada’s submission to the 2023 global monitoring report
Staff Analytical Note 2024-15
Malcolm Fisher,
Alan Walsh
We share insights from Canadian data from 2002 to 2022 that the Bank of Canada collected. The Bank submits these data each year to the Financial Stability Board for inclusion in its Global Monitoring Report on Non-Bank Financial Intermediation.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Sectoral balance sheet
JEL Code(s):
G,
G2,
G21,
G22,
G23
Impacts of interest rate hikes on the consumption of households with a mortgage
Staff Analytical Note 2024-14
Panagiotis Bouras,
Joaquín Saldain,
Xing Guo,
Thomas Michael Pugh,
Maria teNyenhuis
We assess how much the recent rate-hike cycle has and will affect mortgage borrowers' consumption through its impacts on mortgage payments. Our analysis provides insights into the effects of changes in monetary policy on the consumption of mortgage borrowers.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Interest rates,
Monetary policy,
Recent economic and financial developments
JEL Code(s):
D,
D1,
D13,
E,
E2,
E21,
G,
G5
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.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Economic models,
Inflation and prices,
Labour markets
JEL Code(s):
E,
E2,
E24,
E3,
E31,
E37,
E5,
E52,
E6
Total factor productivity growth projection for Canada: A sectoral approach
Staff Analytical Note 2024-12
Dany Brouillette,
Tessa Devakos,
Raven Wheesk
We propose a tool that decomposes TFP growth into sectoral contributions. The analysis incorporates three structural factors—digitalization, aging and climate change policies—and measures their contributions. Overall, we expect that aggregate TFP growth will slow down in the 2020s below both its historical average and the average from the 2010s.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Climate change,
Digitalization,
Labour markets,
Productivity
JEL Code(s):
D,
D2,
D24,
J,
J1,
J11,
O,
O3,
O33,
Q,
Q5,
Q54