Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T00:30:00+00:00Monetary Policy Uncertainty: A Tale of Two Tails
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-50/
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.2018-09-27T08:32:17+00:00enMonetary Policy Uncertainty: A Tale of Two Tails2018-09-27Business fluctuations and cyclesEconometric and statistical methodsMonetary policy and uncertaintyMonetary policy communicationsMonetary policy transmissionStaff Working Paper 2018-50https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-50.pdfMonetary Policy Uncertainty: A Tale of Two TailsTatjana DahlhausTatevik SekhposyanSeptember 2018CC1C18C3C32EE0E02E4E43E5E52Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-31/
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.2018-09-21T12:00:07+00:00enHave Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?2018-09-21Financial Development Beyond the Formal Financial Market
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-49/
This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries.2018-09-20T16:53:20+00:00enFinancial Development Beyond the Formal Financial Market2018-09-20Financial marketsFirm dynamicsProductivityStaff Working Paper 2018-49https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-49.pdfFinancial Development Beyond the Formal Financial MarketLin ShaoSeptember 2018EE4E44OO1O17O4O47Government of Canada Fixed-Income Market Ecology
https://www.bankofcanada.ca/2018/09/staff-discussion-paper-2018-10/
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.2018-09-20T11:25:52+00:00enGovernment of Canada Fixed-Income Market Ecology2018-09-20Debt managementFinancial institutionsFinancial marketsFinancial servicesStaff Discussion Paper 2018-10https://www.bankofcanada.ca/wp-content/uploads/2018/09/sdp2018-10.pdfGovernment of Canada Fixed-Income Market EcologyLéanne Berger-SoucyCorey GarriottAndré UscheSeptember 2018GG1G10G2G20HH6H63Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?
https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-30/
In recent years, the liquidity in the secondary market for Canadian provincial bonds was a concern for many market participants. We find that a proxy for the bid-ask spread has deteriorated modestly since 2010. However, a proxy for price impact as well as measures of trade size, the number of trades and turnover have been stable or improved since 2010. This holds for bonds issued by different provinces and for bonds of different ages and sizes. Alberta bonds provide an interesting case study: After the fall in oil prices in 2014–15, the province increased its borrowing in the bond market and its credit rating was downgraded. Yet trading activity for Alberta bonds increased significantly. Overall, we interpret the evidence as a sign of resilience in the provincial bond market.2018-09-18T11:40:35+00:00enHave Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?2018-09-18Should Bank Capital Regulation Be Risk Sensitive?
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-48/
We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk.2018-09-17T17:34:13+00:00enShould Bank Capital Regulation Be Risk Sensitive?2018-09-17Financial institutionsFinancial system regulation and policiesStaff Working Paper 2018-48https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-48.pdfShould Bank Capital Regulation Be Risk Sensitive?Toni AhnertJames ChapmanCarolyn A. WilkinsSeptember 2018GG2G21G28Challenges in Implementing Worst-Case Analysis
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-47/
Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach.2018-09-14T08:50:24+00:00enChallenges in Implementing Worst-Case Analysis2018-09-14Financial stabilityStaff Working Paper 2018-47https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-47.pdfChallenges in Implementing Worst-Case AnalysisJon DanielssonLerby ErgunCasper G. de VriesSeptember 2018CC0C01C1C14C5C58How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-46/
Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP.2018-09-07T15:08:12+00:00enHow Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times2018-09-07Bank notesEconometric and statistical methodsPayment clearing and settlement systemsStaff Working Paper 2018-46https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-46.pdfHow Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment TimesGeneviève ValléeSeptember 2018CC2C25C3C36C4C41DD2D23EE4E41E42Blockchain-Based Settlement for Asset Trading
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-45/
Can securities be settled on a blockchain and, if so, what are the gains relative to existing settlement systems? We consider a blockchain that ensures delivery versus payment by linking transfers of assets with payments and operates using a proof-of-work protocol. The main benefit of a blockchain is faster and more flexible settlement, whereas the challenge is to avoid settlement fails when participants fork the chain to get rid of trading losses.2018-09-07T14:55:48+00:00enBlockchain-Based Settlement for Asset Trading2018-09-07Digital currencies and fintechEconomic modelsFinancial marketsPayment clearing and settlement systemsStaff Working Paper 2018-45https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-45.pdfBlockchain-Based Settlement for Asset TradingJonathan ChiuThorsten KoepplSeptember 2018GG2HH4PP4P43Price Selection
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-44/
We propose a simple, model-free way to measure selection in price setting and its contribution to inflation dynamics. The proposed measure of price selection is based on the observed comovement between inflation and the average level from which adjusting prices depart.2018-09-07T13:54:30+00:00enPrice Selection2018-09-07Business fluctuations and cyclesInflation and pricesMonetary policy transmissionStaff Working Paper 2018-44https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-44.pdfPrice SelectionCarlos CarvalhoOleksiy KryvtsovSeptember 2018EE3E31E5E51