Grahame Johnson

Grahame Johnson

Managing Director

Bio

Grahame Johnson was appointed Managing Director, Financial Markets Department (FMD), effective November 5, 2019. In this capacity, he is responsible for policy formulation and execution of the Bank of Canada’s financial market activities as they relate to monetary policy implementation, the Bank’s funds management activities and financial system liquidity. These activities—along with a range of research, analysis and policy advice related to domestic and international financial markets—contribute to the Bank’s monetary policy mandate, its fiscal agent role and its role in the promotion of financial system stability and efficiency.

Mr. Johnson joined the Bank in 2001 and has held positions as Assistant Director, Financial Risk Office; and Director and then Deputy Chief, Financial Markets Department. In 2013 he became Managing Director, Funds Management and Banking Department, and served most recently as Managing Director, Financial Stability Department. Mr. Johnson has extensive knowledge of markets, the financial system, and monetary and funds management policies. Before joining the Bank, he worked on the fixed-income trading desk of a major Canadian financial institution.

Mr. Johnson is a native of Montréal, Quebec. He has a degree in commerce from Queen’s University and holds a Chartered Financial Analyst designation.


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Speeches

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Staff discussion papers

Implications of New Accounting Standards for the Bank of Canada's Balance Sheet

Staff Discussion Paper 2007-2 Mark Zelmer, Grahame Johnson
The Canadian Institute of Chartered Accountants (CICA) has implemented new accounting standards for the valuation and reporting of financial instruments. They are effective for the Bank of Canada in 2007. As a result of these changes, the Bank has begun valuing its holdings of Government of Canada treasury bills on a fair value basis and […]

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Staff working papers

An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates

Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.

Measuring Interest Rate Expectations in Canada

Staff Working Paper 2003-26 Grahame Johnson
Financial market expectations regarding future policy actions by the Bank of Canada are an important input into the Bank's decision-making process, and they can be measured using a variety of sources. The author develops a simple expectations-based model to focus on measuring interest rate expectations that are implied by the current level of money market yields.
Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): G, G1

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Bank publications

Bank of Canada Review articles

December 24, 2004

Government of Canada Yield-Curve Dynamics, 1986-2003

A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.
August 22, 2003

Measuring Interest Rate Expectations in Canada

Financial market expectations regarding future changes in the target for the overnight rate of interest are an important source of information for the Bank of Canada. Financial markets are the mechanism through which the policy rate affects other financial variables, such as longer-term interest rates, the exchange rate, and other asset prices. An accurate measure of their expectations can therefore help policy-makers assess the potential impact of contemplated changes. Johnson focuses on the expectations hypothesis, which measures expectations of future levels of the target overnight rate as implied by current money market yields. Although expectations can be derived from the current yield on any short-term fixed-income asset, some assets have proven to be more accurate predictors than others. The implementation of a policy of fixed-announcements dates has coincided with the increased predictive power of these short-term assets. As a result of this improvement, a relatively simple model of the yield curve can now provide an accurate measure of financial market expectations.

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