Guillaume Nolin

Principal Economist

Guillaume Nolin is a Principal Economist in the Market Risk and Vulnerabilities Division of the Financial Markets Department. His research interests include financial economics, macroeconomics and econometrics. Specific topics include systematic exchange rate variations, fixed income market liquidity and capital flows. He holds a master’s degree in economics from the Université de Montréal and a bachelor’s degree in economics and finance from McGill University. He is also a CFA charterholder.

Contact

Guillaume Nolin

Principal Economist
Financial Markets
Market Risks and Vulnerabilities

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

Latest

The Share of Systematic Variations in the Canadian Dollar—Part III

Staff Analytical Note 2018-13 Guillaume Nolin, James Kyeong, Jean-Sébastien Fontaine
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.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Exchange rates JEL Code(s): F, F3, F31

Measuring Limits of Arbitrage in Fixed-Income Markets

Staff Working Paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin
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.

June 8, 2017 Canada’s International Investment Position: Benefits and Potential Vulnerabilities

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.

The Share of Systematic Variations in the Canadian Dollar—Part II

Staff Analytical Note 2017-1 Jean-Sébastien Fontaine, Guillaume Nolin
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.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Exchange rates JEL Code(s): F, F3, F31

The Share of Systematic Variations in the Canadian Dollar—Part I

Staff Analytical Note 2016-15 Jean-Sébastien Fontaine, Guillaume Nolin
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.
Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Exchange rates JEL Code(s): F, F3, F31

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Education

  • M.Sc., Université de Montréal (2013)
  • B.A. (Joint Hons.), McGill University (2007)

Research Interests

  • Asset pricing
  • International Finance
  • Financial Economics

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