G1 - General Financial Markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:26:35+00:00News-Driven International Credit Cycles
https://www.bankofcanada.ca/2021/12/staff-working-paper-2021-66/
This paper examines the implications of positive news about future asset values that turn out to be incorrect at a later date in an open economy model with banking. The model captures the patterns of bank credit and current account dynamics in Spain between 2000 and 2010. The model finds that the use of unconventional policies leads to a milder bust.2021-12-23T13:31:43+00:00enNews-Driven International Credit Cycles2021-12-23Credit and credit aggregatesEconomic modelsFinancial stabilityRecent economic and financial developmentsSectoral balance sheetStaff Working Paper 2021-66https://www.bankofcanada.ca/wp-content/uploads/2021/12/swp2021-66.pdfStaff Working Paper 2021-66Galip Kemal OzhanDecember 2021EE4E44FF3F32F4F41GG1G15G2G21Quantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System
https://www.bankofcanada.ca/2021/12/staff-working-paper-2021-64/
Canada is undertaking a major initiative to modernize its payments ecosystem. The modernized ecosystem is expected to bring significant benefits to Canadian financial markets and the overall economy. We develop an empirical framework to quantify the economic benefits of modernizing the payment system in Canada.2021-12-17T16:20:19+00:00enQuantifying the Economic Benefits of Payments Modernization: the Case of the Large-Value Payment System2021-12-17Financial institutionsFinancial system regulation and policiesPayment clearing and settlement systemsStaff Working Paper 2021-64https://www.bankofcanada.ca/wp-content/uploads/2021/12/swp2021-64.pdfStaff Working Paper 2021-64Neville ArjaniFuchun LiZhentong LuDecember 2021CC3EE4E42GG1G2G28Discount Rates, Debt Maturity, and the Fiscal Theory
https://www.bankofcanada.ca/2021/11/staff-working-paper-2021-58/
Do bond risk premiums influence the effects of debt maturity operations? Using a model with realistic bond risk premiums, we show that maturity operations have sizable effects on expected inflation and output when the central bank passively responds to inflation and the fiscal authority weakly responds to the debt level.2021-11-26T09:21:16+00:00enDiscount Rates, Debt Maturity, and the Fiscal Theory2021-11-26Fiscal policyInterest ratesMonetary policyStaff Working Paper 2021-58https://www.bankofcanada.ca/wp-content/uploads/2021/11/swp2021-58.pdfStaff Working Paper 2021-58Alexandre CorhayThilo KindHoward KungGonzalo MoralesNovember 2021EE4E43E44E6E63GG1G12Systemic Risk and Portfolio Diversification: Evidence from the Futures Market
https://www.bankofcanada.ca/2021/10/staff-working-paper-2021-50/
This paper explores how the Canadian futures market contributed to banks’ systemic risk during the 2008 financial crisis. It finds that core banks as a whole traded against the periphery, in this way increasing their risk of simultaneous losses.2021-10-13T10:53:46+00:00enSystemic Risk and Portfolio Diversification: Evidence from the Futures Market2021-10-13Financial institutionsFinancial marketsStaff Working Paper 2021-50https://www.bankofcanada.ca/wp-content/uploads/2021/10/swp2021-50.pdfStaff Working Paper 2021-50Radoslav RaykovOctober 2021GG1G10G2G20Foreign Exchange Fixings and Returns Around the Clock
https://www.bankofcanada.ca/2021/10/staff-working-paper-2021-48/
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.2021-10-06T09:37:49+00:00enForeign Exchange Fixings and Returns Around the Clock2021-10-06Exchange ratesFinancial marketsMarket structure and pricingStaff Working Paper 2021-48https://www.bankofcanada.ca/wp-content/uploads/2021/10/swp2021-48.pdfForeign Exchange Fixings and Returns Around the ClockIngomar KrohnPhilippe MuellerPaul WhelanOctober 2021FF3F31GG1G15Reaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios
https://www.bankofcanada.ca/2021/08/staff-analytical-note-2021-20/
“Reach for yield”—This is the commonly heard explanation for why pension plans shift their portfolios toward alternative assets. But we show that the new portfolios also hold more bonds, offer lower average returns and produce smaller and less volatile solvency deficits. These shifts are part of a broader strategy to reduce solvency risk.2021-08-25T15:00:56+00:00enReaching for yield or resiliency? Explaining the shift in Canadian pension plan portfolios2021-08-25Centralizing Over-the-Counter Markets?
https://www.bankofcanada.ca/2021/08/staff-working-paper-2021-39/
Would a shift in trading in fixed-income markets—from over the counter (bilateral trading) to a centralized electronic platform—improve welfare? We use trade-level data on the secondary market for Government of Canada debt to answer this question.2021-08-12T15:49:14+00:00enCentralizing Over-the-Counter Markets?2021-08-12Financial institutionsMarket structure and pricingStaff Working Paper 2021-39https://www.bankofcanada.ca/wp-content/uploads/2021/08/swp2021-39.pdfCentralizing Over-the-Counter Markets?Jason AllenMilena WittwerAugust 2021DD4D40D47GG1G10G2G20LL1L10The Side Effects of Safe Asset Creation
https://www.bankofcanada.ca/2021/07/staff-working-paper-2021-34/
The secular decline in real interest rates has created a challenge for monetary policy, now confronting the zero lower bound more often. An increase in the supply of safe assets reduces downward pressure on the natural interest rate. This allows monetary policy to reach price stability and full employment, but not without cost—permanently lower investment.2021-07-15T10:49:44+00:00enThe Side Effects of Safe Asset Creation2021-07-15Fiscal policyMonetary policy implementationStaff Working Paper 2021-34https://www.bankofcanada.ca/wp-content/uploads/2021/07/swp2021-34.pdfThe Side Effects of Safe Asset CreationSushant AcharyaKeshav DograJuly 2021EE3E4E5GG1HH6BoC–BoE Sovereign Default Database: What’s new in 2021?
https://www.bankofcanada.ca/2021/07/staff-analytical-note-2021-15/
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.2021-07-05T14:00:20+00:00enBoC–BoE Sovereign Default Database: What’s new in 2021?2021-07-05Stablecoin Assessment Framework
https://www.bankofcanada.ca/2021/04/staff-discussion-paper-2021-6/
We offer relevant authorities a three-step assessment framework they can use to understand, identify and quantify the risks associated with stablecoin and other cryptocurrency arrangements.2021-04-08T14:50:56+00:00enStablecoin Assessment Framework2021-04-08Digital currencies and fintechFinancial institutionsFinancial marketsFinancial system regulation and policiesPayment clearing and settlement systemsStaff Discussion Paper 2021-6https://www.bankofcanada.ca/wp-content/uploads/2021/04/sdp2021-6.pdfStaff Discussion Paper 2021-6Alejandro GarcíaBena LandsDennis YanchusApril 2021DD7D78D8D81GG0G01G1G18OO3O38