Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:40:28+00:00How well can large banks in Canada withstand a severe economic downturn?
https://www.bankofcanada.ca/2022/05/staff-analytical-note-2022-6/
We examine the potential impacts of a severe economic shock on the resilience of major banks in Canada. We find these banks would suffer significant financial losses but nevertheless remain resilient. This underscores the role well-capitalized banks and sound underwriting practices play in supporting economic activity in a downturn.2022-05-24T15:00:17+00:00enHow well can large banks in Canada withstand a severe economic downturn?2022-05-24Financial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-24/
We provide empirical evidence of effects to the aggregate economy from surprises about financial intermediaries’ net worth based on a high-frequency identification strategy. We estimate that news of a 1% decline in intermediaries’ net worth leads to a 0.2%–0.4% decrease in the market value of nonfinancial firms.2022-05-20T15:46:50+00:00enFinancial Intermediaries and the Macroeconomy: Evidence from a High-Frequency Identification2022-05-20Asset pricingBusiness fluctuations and cyclesCredit and credit aggregatesFinancial institutionsFinancial marketsFinancial system regulation and policiesMonetary and financial indicatorsStaff Working Paper 2022-24https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-24.pdfStaff Working Paper 2022-24Pablo OttonelloWenting SongMay 2022EE3E32E4E44E5E51GG0G01G1G12G2G21G23G24G3G32Transmission of Cyber Risk Through the Canadian Wholesale Payment System
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-23/
This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system.2022-05-16T11:11:07+00:00enTransmission of Cyber Risk Through the Canadian Wholesale Payment System2022-05-16Financial institutionsFinancial stabilityPayment clearing and settlement systemsStaff Working Paper 2022-23https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-23.pdfAnneke KosseZhentong LuMay 2022CC4C49EE4E42E47GG2G21Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-22/
This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game.2022-05-12T09:33:45+00:00enNonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors2022-05-12Econometric and statistical methodsStaff Working Paper 2022-22https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-22.pdfNonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium BehaviorsErhao XieMay 2022CC5C57Expectation-Driven Term Structure of Equity and Bond Yields
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-21/
Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).2022-05-11T15:27:58+00:00enExpectation-Driven Term Structure of Equity and Bond Yields2022-05-11Asset pricingFinancial marketsInterest ratesStaff Working Paper 2022-21https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-21.pdfMing ZengGuihai ZhaoMay 2022EE4E43GG0G00G1G12Nowcasting Canadian GDP with Density Combinations
https://www.bankofcanada.ca/2022/05/staff-discussion-paper-2022-12/
We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook.2022-05-09T15:44:55+00:00enNowcasting Canadian GDP with Density Combinations2022-05-09Econometric and statistical methodsStaff Discussion Paper 2022-12https://www.bankofcanada.ca/wp-content/uploads/2022/05/sdp2022-12.pdfTony ChernisTaylor WebleyMay 2022CC5C52C53EE3E7Resilience of bank liquidity ratios in the presence of a central bank digital currency
https://www.bankofcanada.ca/2022/05/staff-analytical-note-2022-5/
Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios.2022-05-09T11:00:50+00:00enResilience of bank liquidity ratios in the presence of a central bank digital currency2022-05-09More Than Words: Fed Chairs’ Communication During Congressional Testimonies
https://www.bankofcanada.ca/2022/05/staff-working-paper-2022-20/
We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility.2022-05-05T10:38:08+00:00enMore Than Words: Fed Chairs’ Communication During Congressional Testimonies2022-05-05Central bank researchFinancial marketsMonetary policy communicationsStaff Working Paper 2022-20https://www.bankofcanada.ca/wp-content/uploads/2022/05/swp2022-20.pdfMore Than Words: Fed Chairs’ Communication During Congressional TestimoniesMichelle AlexopoulosXinfen HanOleksiy KryvtsovXu ZhangMay 2022EE5E52E58E7E71Identifying Financially Remote First Nations Reserves
https://www.bankofcanada.ca/2022/05/staff-discussion-paper-2022-11/
Chen et al. (2021) show that almost one-third of First Nations band offices in Canada are within 1 kilometre (km) of an automated banking machine (ABM) or financial institution (FI) branch and more than half are within 5 km.2022-05-03T13:16:11+00:00enIdentifying Financially Remote First Nations Reserves2022-05-03Bank notesDigital currencies and fintechFinancial institutionsFinancial servicesPayment clearing and settlement systemsStaff Discussion Paper 2022-11https://www.bankofcanada.ca/wp-content/uploads/2022/05/sdp2022-11.pdfIdentifying Financially Remote First Nations ReservesHeng ChenWalter EngertKim HuynhDaneal O’HabibMay 2022EE4E41E42E5GG2G21Historical Data on Repurchase Agreements from the Canadian Depository for Securities
https://www.bankofcanada.ca/2022/05/technical-report-121/
We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research.2022-05-03T08:57:44+00:00enHistorical Data on Repurchase Agreements from the Canadian Depository for Securities2022-05-03Econometric and statistical methodsFinancial marketsTechnical Report 121https://www.bankofcanada.ca/wp-content/uploads/2022/05/tr121.pdfHistorical Data on Repurchase Agreements from the Canadian Depository for SecuritiesMaxim RalchenkoAdrian WaltonMay 2022CC5C55C8C81GG1G10