Staff analytical notes - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T18:50:57+00:00The Cost of the Government Bond Buyback and Switch Programs in Canada
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-41/
This note examines the costs of the Government of Canada bond buyback and switch programs between 1998 and 2016. Our analysis indicates that the auction design of the buyback program was effective in retiring government debt with minimal costs resulting from bid shading in auctions and price impact.2018-12-11T14:10:58+00:00enThe Cost of the Government Bond Buyback and Switch Programs in Canada2018-12-11GDP by Industry in Real Time: Are Revisions Well Behaved?
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-40/
The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting.2018-12-06T12:18:19+00:00enGDP by Industry in Real Time: Are Revisions Well Behaved?2018-12-06The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-39/
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.2018-12-05T12:15:36+00:00enThe Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility2018-12-05Does US or Canadian Macro News Drive Canadian Bond Yields?
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-38/
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.2018-12-05T12:00:24+00:00enDoes US or Canadian Macro News Drive Canadian Bond Yields?2018-12-05