Posts

• March 10, 2026

  CFIF Meeting (March 10, 2026)

  Content Type(s): Meetings Source(s): Canadian Fixed-Income Forum

• The Governor’s Challenge: A Decade of Success

  Staff analytical paper 2026-9 James Chapman, Stéphanie Houle, Lawrence L. Schembri

  The Governor’s Challenge (GC) by the Bank of Canada marked its tenth year as a successful outreach and education initiative, designed to strengthen public understanding of macroeconomics and monetary policy.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E5

• The Usage of Security Lending Facilities under Unconventional Monetary Policy: Evidence from Sweden

  Staff working paper 2026-9 Marianna Blix Grimaldi, Fabienne Schneider, David Vestin

  This paper examines the interaction between quantitative easing (QE) and the securities lending facility (SLF) using a detailed dataset on Riksbank QE purchases, Swedish DMO SLF transactions and OTC repo deals. A theoretical model further shows how excess demand for assets and search frictions shift the SLF from a backstop to a first-resort tool.

  Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E52, E58, G, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial institutions and intermediation, Monetary policy, Monetary policy tools and implementation

• Estimation and Inference for Stochastic Volatility Models with Heavy-Tailed Distributions

  Staff working paper 2026-8 Gabriel Rodriguez Rondon, Jean-Marie Dufour, Md. Nazmul Ahsan

  Statistical inference--both estimation and testing--for stochastic volatility (SV) models is known to be challenging and computationally demanding. We propose simple and efficient estimators for SV models with conditionally heavy-tailed error distributions, particularly the Student’s t and Generalized Exponential Distributions (GED). The estimators rely on a small set of moment conditions derived from ARMA-type representations of SV models, with an option to apply “winsorization” to improve stability and finite-sample performance. Except for the degrees of-freedom parameter, closed-form expressions are available for all other parameters, extending Ahsan and Dufour (2019, 2021), thus eliminating the need for numerical optimization or initial values. We derive the estimators’ asymptotic distribution and show that, due to their analytical tractability, they support reliable, and even exact, simulation-based inference via Monte Carlo or bootstrap methods. We assess their performance through extensive simulations and demonstrate their practical relevance in financial return data, which strongly reject the normality assumption in favor of heavy-tailed models.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C13, C15, C2, C22, C5, C51, C53, C58 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods, Economic models

• Women in economics: What data from top universities reveal about gender equity

  

  Sparks at Bank article Gabriela Galassi

  In the field of economics, on average, women tend to produce fewer research articles and be cited less often than men. But this appears to be changing. A newly compiled dataset about scholars at top universities around the world helps us identify where individual gender gaps exist.

  Content Type(s): Staff research, Sparks at Bank article Research Theme(s): Structural challenges, Demographics and labour supply
• March 5, 2026

  Bank of Canada, Export Development Canada, RBC and TD successfully complete bond issuance experiment using distributed ledger technology

  Media Relations Ottawa, Ontario

  The Bank of Canada (BoC), RBC Capital Markets, RBC Investor Services, TD Bank Group (TD), and Export Development Canada (EDC) successfully completed Project Samara, a collaborative initiative to evaluate how tokenization and distributed ledger technology (DLT) can improve bond issuance and settlement in a real-world setting.

  Content Type(s): Press, Press releases

• Project Samara Research Paper

  Staff analytical paper 2026-8 Rakesh Arora, Umar Faruqui, Scott Hendry, Dinesh Shah, André Usche

  Project Samara was a real‑world experiment testing distributed ledger technology and wholesale central bank digital money for bond issuance and settlement in Canada. It demonstrated technical feasibility and potential efficiency and risk‑reduction benefits, while highlighting important trade‑offs related to complexity, governance, and regulatory alignment.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E4, E42, E5, E58, G, G2, G28, O, O3, O33 Research Theme(s): Financial markets and funds management, Funds management, Market structure, Money and payments, Digital assets and fintech, Payment and financial market infrastructures

• Macro News in Market Moves: Classifying News through Asset Co-movements

  Staff analytical paper 2026-7 Bruno Feunou, Jean-Sébastien Fontaine, Rishi Vala

  This paper introduces CLONE, a method that decomposes asset price movements into aggregate demand, productivity, inflation, and monetary policy news, using stocks, bonds, and inflation swaps. CLONE simplicity and forward-looking focus helps guide policymakers in determining the economic drivers behind asset price movements.

  Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E3, E32, E4, E44, G, G1, G12, G14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission

• MSTest: An R-Package for Testing Markov Switching Models

  Staff working paper 2026-7 Gabriel Rodriguez Rondon, Jean-Marie Dufour

  We present the R package MSTest, which implements hypothesis testing procedures to determine the number of regimes in Markov switching models. The package provides several testing frameworks, including Monte Carlo likelihood ratio tests, moment-based tests, parameter stability tests, and classical likelihood ratio procedures.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C15, C18, C6, C63, C8, C87 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting

• Do Monetary Policy Shocks Affect the Neutral Rate of Interest?

  Staff working paper 2026-6 Danilo Leiva-Leon, Rodrigo Sekkel, Luis Uzeda

  Can monetary policy influence the neutral real interest rate (r-star)? Using a new statistical model, we show that interest rate hikes tend to lower r-star and long-run growth, but that monetary policy explains only a small share of the long-run decline in r-star.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C5, C51, E, E3, E32, E4, E44 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation