E4 - Money and Interest Rates

• Auction Timing Under Limited Information: Evidence from Sovereign Bond Auctions

  Staff analytical paper 2026-51 Jeffrey Gao, Adam Epp

  This paper examines how auction timing may affect sovereign issuance outcomes through its interaction with market volatility. Using Canada as a case study, it shows that: (1) higher same-day bond market volatility is associated with larger auction tails, indicating weaker demand conditions; and (2) monetary policy announcements and certain macroeconomic data releases are systematically associated with higher same-day volatility.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): D, D4, D44, E, E4, E43, G, G1, G12, G14, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Market functioning

• Stress in the Press or Stress in the Market: A New Measure of Perceived Financial Stress

  Staff analytical paper 2026-50 Brett Barnes, Thibaut Duprey, Fred Liu

  We develop a news-based measure of perceived financial stress for Canada using Globe and Mail articles since 1977. We show that news shocks primarily impact unsecured households credit, consistent with household precautionary behavior.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): C, C5, C55, C8, C82, E, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Econometric, statistical and computational methods

• How Costly Are Cross-Border Payments for Firms?

  Staff analytical paper 2026-49 Jiaqi Li

  Using proprietary FXC Intelligence data on quoted prices for Canadian business-to-business cross-border payments, this note finds that banks charge firms around 2–3.5% of transaction value. Prices vary considerably across banks for the same corridor, transaction amount, and year.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E4, E42, F, F2, F29, Y, Y1, Y10 Research Theme(s): Money and payments, Payment and financial market infrastructures, Retail payments