Jean-Sébastien Fontaine - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:34:05+00:00It takes a panel to predict the future: What the stock market says about future economic growth in Canada
https://www.bankofcanada.ca/2023/07/staff-analytical-note-2023-9/
Valuation ratios in the Canadian stock market can help reveal investors’ expectations about future economic growth because the impact of economic growth on valuation ratios can vary across industries. We find that this variation helps produce accurate forecasts of future growth of real gross domestic product in Canada. The forecasts from our model declined by just over 3 percentage points between January 2022 and February 2023—a period when the Bank of Canada rapidly increased the overnight rate. As well, we find that interest-rate-sensitive industries had an outsized contribution to this expected slowdown in growth. 2023-07-27T14:00:19+00:00enIt takes a panel to predict the future: What the stock market says about future economic growth in Canada2023-07-27Real Exchange Rate Decompositions
https://www.bankofcanada.ca/2022/03/staff-discussion-paper-2022-6/
We break down the exchange rate based on an explicit link between fixed income and currency markets. We isolate a foreign exchange risk premium and show it is the main driver of the exchange rate between the Canadian and US dollars, especially on monetary policy and macroeconomic news announcement days.2022-03-22T09:18:33+00:00enReal Exchange Rate Decompositions2022-03-22Asset pricingExchange ratesInternational financial marketsMonetary policy transmissionStaff Discussion Paper 2022-6https://www.bankofcanada.ca/wp-content/uploads/2022/03/sdp2022-6.pdfStaff Discussion Paper 2022-6Bruno FeunouJean-Sébastien FontaineIngomar KrohnMarch 2022EE4E43FF3F31GG1G12Reaching 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 portfolios2021-08-25What cured the TSX Equity index after COVID-19?
https://www.bankofcanada.ca/2021/03/staff-analytical-note-2021-3/
The TSX index rose by 9.5 percent in November 2020, adding large gains to an already sharp V-shaped recovery. The economic outlook improved at that time as well. We ask whether the stock market gains since last autumn are due to improving forecasts of firms’ earnings.2021-03-26T14:00:42+00:00enWhat cured the TSX Equity index after COVID-19?2021-03-26Secular Economic Changes and Bond Yields
https://www.bankofcanada.ca/2021/03/staff-working-paper-2021-14/
We investigate the economic forces behind the secular decline in bond yields. Before the anchoring of inflation in the mid-1990s, nominal shocks drove inflation, output and bond yields. Afterward, the impacts of nominal shocks were much less significant.2021-03-19T12:59:13+00:00enSecular Economic Changes and Bond Yields2021-03-19Asset pricingEconometric and statistical methodsInterest ratesMonetary policy and uncertaintyPotential outputStaff Working Paper 2021-14https://www.bankofcanada.ca/wp-content/uploads/2021/03/swp2021-14.pdfSecular Economic Changes and Bond YieldsBruno FeunouJean-Sébastien FontaineMarch 2021EE4E43GG1G12COVID-19 Crisis: Lessons Learned for Future Policy Research
https://www.bankofcanada.ca/2021/02/staff-discussion-paper-2021-2/
One year later, we review the events that took place in Canadian fixed-income markets at the beginning of the COVID-19 crisis and propose potential policy research questions for future work.2021-02-24T12:28:17+00:00enCOVID-19 Crisis: Lessons Learned for Future Policy Research2021-02-24Coronavirus disease (COVID-19)Financial marketsMonetary policyStaff Discussion Paper 2021-2https://www.bankofcanada.ca/wp-content/uploads/2021/02/sdp2021-2.pdfCOVID-19 Crisis: Lessons Learned for Future Policy ResearchJean-Sébastien FontaineCorey GarriottJesse JohalJessica LeeAndreas UthemannFebruary 2021DD4D47EE4E41E5GG0G01G1G14G2G20G21G23Canadian stock market since COVID‑19: Why a V-shaped price recovery?
https://www.bankofcanada.ca/2020/10/staff-analytical-note-2020-22/
Between February 19 and March 23, 2020, the Canadian stock market plunged due to the severe economic impact of COVID-19. By the end of the summer, the stock market had already recovered a significant portion of its losses, leaving many asking if investors see the economy through rose-coloured glasses. Despite these concerns, we find that current market valuations for companies on the Toronto Stock Exchange align well, on average, with the declines in earning forecasts observed since the start of the year. We also find these market valuations are consistent with the discount rate returning to its pre-pandemic level.2020-10-19T15:59:58+00:00enCanadian stock market since COVID‑19: Why a V-shaped price recovery?2020-10-19Will exchange-traded funds shape the future of bond dealing?
https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-16/
Bond dealers have traditionally kept bonds in an inventory until clients buy them. But now, dealers have another way to access bonds for their clients: the exchange-traded fund. We discuss this new way to manage bond dealing and what it might mean for bond markets.2020-07-28T14:00:50+00:00enWill exchange-traded funds shape the future of bond dealing?2020-07-28COVID-19 and bond market liquidity: alert, isolation and recovery
https://www.bankofcanada.ca/2020/07/staff-analytical-note-2020-14/
The disruption due to COVID-19 reverberated through the bond markets in three phases. In the first phase, dealers met the rising demand for liquidity. In the second, dealers reduced the supply of liquidity, and trading conditions worsened significantly. Finally, the market returned to relative stability following several interventions by the Bank of Canada.2020-07-03T10:00:30+00:00enCOVID-19 and bond market liquidity: alert, isolation and recovery2020-07-03Contagion in Dealer Networks
https://www.bankofcanada.ca/2020/01/staff-working-paper-2020-1/
Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field
of research investigates how networks form.2020-01-10T10:24:52+00:00enContagion in Dealer Networks2020-01-10Financial marketsMarket structure and pricingPayment clearing and settlement systemsStaff Working Paper 2020-1https://www.bankofcanada.ca/wp-content/uploads/2020/01/swp2020-1.pdfContagion in Dealer NetworksJean-Sébastien FontaineAdrian WaltonJanuary 2020EE4GG1G2G21LL1L14