Guillaume Nolin - Bank Publications - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T09:25:47+00:00Assessing Global Potential Output Growth: October 2020
https://www.bankofcanada.ca/2020/11/staff-discussion-paper-2020-10/
This paper presents updated estimates of potential output growth for the global economy through 2022. Global potential output growth is expected to decline sharply in the aftermath of the COVID-19 pandemic and recover partially by the end of the projection horizon of the October 2020 Monetary Policy Report.2020-11-10T13:42:32+00:00enAssessing Global Potential Output Growth: October 20202020-11-10Potential outputProductivityStaff Discussion Paper 2020-10https://www.bankofcanada.ca/wp-content/uploads/2020/11/sdp2020-10.pdfAssessing Global Potential Output Growth: October 2020Xin Scott ChenAli JafferyGuillaume NolinKarim SalhabPeter ShannonSubrata SarkerNovember 2020EE1E10E2E20OO4Alternative Futures for Government of Canada Debt Management
https://www.bankofcanada.ca/2018/12/staff-discussion-paper-2018-15/
This paper presents four blue-sky ideas for lowering the cost of the Government of Canada’s debt without increasing the debt’s risk profile. We argue that each idea would improve the secondary-market liquidity of government debt, thereby increasing the demand for government bonds and thus lowering their cost at issuance.2018-12-06T14:49:48+00:00enAlternative Futures for Government of Canada Debt Management2018-12-06Debt managementFinancial marketsMarket structure and pricingStaff Discussion Paper 2018-15https://www.bankofcanada.ca/wp-content/uploads/2018/12/sdp2018-15.pdfAlternative Futures for Government of Canada Debt ManagementCorey GarriottSophie LefebvreGuillaume NolinFrancisco RivadeneyraAdrian WaltonDecember 2018GG1G12G2G24HH6H63Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-31/
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.2018-09-21T12:00:07+00:00enHave Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?2018-09-21Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?
https://www.bankofcanada.ca/2018/09/staff-analytical-note-2018-30/
In recent years, the liquidity in the secondary market for Canadian provincial bonds was a concern for many market participants. We find that a proxy for the bid-ask spread has deteriorated modestly since 2010. However, a proxy for price impact as well as measures of trade size, the number of trades and turnover have been stable or improved since 2010. This holds for bonds issued by different provinces and for bonds of different ages and sizes. Alberta bonds provide an interesting case study: After the fall in oil prices in 2014–15, the province increased its borrowing in the bond market and its credit rating was downgraded. Yet trading activity for Alberta bonds increased significantly. Overall, we interpret the evidence as a sign of resilience in the provincial bond market.2018-09-18T11:40:35+00:00enHave Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?2018-09-18The Share of Systematic Variations in the Canadian Dollar—Part III
https://www.bankofcanada.ca/2018/05/staff-analytical-note-2018-13/
We draw a parallel between the dramatic increases of systematic variations in exchange rates and international bank lending. We find that when a country’s currency has a larger share of systematic variations, lending flows by international banks to that country become more sensitive to global lending - they also become more systematic. This parallel is particularly prevalent for large commodity exporters, including Canada. Global financial intermediation may open a new channel between the real economy and exchange rates.2018-05-07T06:00:27+00:00enThe Share of Systematic Variations in the Canadian Dollar—Part III2018-05-07Measuring Limits of Arbitrage in Fixed-Income Markets
https://www.bankofcanada.ca/2017/10/staff-working-paper-2017-44/
We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond.2017-10-12T14:26:21+00:00enMeasuring Limits of Arbitrage in Fixed-Income Markets2017-10-12Asset pricingFinancial marketsInternational financial marketsStaff Working Paper 2017-44https://www.bankofcanada.ca/wp-content/uploads/2017/10/swp2017-44.pdfMeasuring Limits of Arbitrage in Fixed-Income MarketsJean-Sébastien FontaineGuillaume NolinOctober 2017GG1G12Canada’s International Investment Position: Benefits and Potential Vulnerabilities
https://www.bankofcanada.ca/wp-content/uploads/2017/06/fsr-june17-bruneau.pdf
While greater global financial integration is beneficial, the authors discuss how foreign capital inflows can also facilitate the buildup of domestic vulnerabilities and potentially lead to destabilizing reversals. Canada’s current international investment position is typical of advanced economies and will likely continue to act as an economic stabilizer. However, the growth and composition of Canada’s international investment position warrant continued monitoring.2017-06-08T10:30:50+00:00enCanada’s International Investment Position: Benefits and Potential Vulnerabilities2017-06-08The Share of Systematic Variations in the Canadian Dollar—Part II
https://www.bankofcanada.ca/2017/02/staff-analytical-note-2017-1/
This analytical note examines how much of the systematic variation in the Canadian dollar is attributable to its sensitivity to commodity prices. We introduce a new “oil” portfolio that captures systematic variations when the exchange rates of commodity exporters and commodity importers move in opposite directions.2017-02-21T15:17:19+00:00enThe Share of Systematic Variations in the Canadian Dollar—Part II2017-02-21The Share of Systematic Variations in the Canadian Dollar—Part I
https://www.bankofcanada.ca/2016/11/staff-analytical-note-2016-15/
In this analytical note we show that the share of the systematic variations in the Canadian dollar has risen significantly in the past two decades. Systematic variations in the exchange rate are shared with other currencies. This parallels the equity market, where variations in the price of a given stock are shared with variations in the prices of other stocks.2016-11-21T09:37:36+00:00enThe Share of Systematic Variations in the Canadian Dollar—Part I2016-11-21