Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
2331
result(s)
Do hedge funds support liquidity in the Government of Canada bond market?
Staff Analytical Note 2023-11
Jabir Sandhu,
Rishi Vala
While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G1,
G12,
G14,
G2,
G23
BoC–BoE Sovereign Default Database: What’s new in 2023?
Staff Analytical Note 2023-10
David Beers,
Obiageri Ndukwe,
Karim McDaniels,
Alex Charron
The BoC–BoE database of sovereign debt defaults, published and updated annually by the Bank of Canada and the Bank of England, provides comprehensive estimates of stocks of government obligations in default. The 2023 edition includes a new section about the characteristics of sovereign defaults and provides new visuals showing regional debt in default.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
Is Money Essential? An Experimental Approach
Staff Working Paper 2023-39
Janet Hua Jiang,
Peter Norman,
Daniela Puzzello,
Bruno Sultanum,
Randall Wright
Monetary theory says that money is essential if it helps to achieve better incentive-feasible outcomes. We test this in the laboratory.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Economic models
JEL Code(s):
C,
C9,
C92,
E,
E4,
E5
BoC–BoE Sovereign Default Database: Appendix and References
Technical Report No. 125
David Beers,
Obiageri Ndukwe,
Alex Charron
Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE).
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
BoC–BoE Sovereign Default Database: Methodology and Assumptions
Technical Report No. 124
David Beers,
Obiageri Ndukwe,
Alex Charron
The Bank of Canada (BoC), in partnership with the Bank of England (BoE), developed a comprehensive database of sovereign defaults in 2014. The database is posted on the Bank of Canada’s website and updated annually. The BoC–BoE database draws on datasets published by various public and private sector sources. It combines elements of these, together with new information, to develop comprehensive estimates of stocks of government obligations in default.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
It takes a panel to predict the future: What the stock market says about future economic growth in Canada
Staff Analytical Note 2023-9
Greg Adams,
Jean-Sébastien Fontaine
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.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E47,
E5,
E52
Cryptoasset Ownership and Use in Canada: An Update for 2022
Staff Discussion Paper 2023-14
Daniela Balutel,
Christopher Henry,
Doina Rusu
We find that Bitcoin ownership declined from 13% in 2021 to 10% in 2022. This drop occurred against a background of steep price declines and an increasingly tight regulatory atmosphere.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C8,
C81,
E,
E4,
O,
O5,
O51
Is Climate Transition Risk Priced into Corporate Credit Risk? Evidence from Credit Default Swaps
Staff Working Paper 2023-38
Andrea Ugolini,
Juan C. Reboredo,
Javier Ojea Ferreiro
We study whether the credit derivatives of firms reflect the risk from climate transition. We find that climate transition risk has asymmetric and significant economic impacts on the credit risk of more vulnerable firms, and negligible effects on other firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Credit risk management,
Econometric and statistical methods
JEL Code(s):
C,
C2,
C24,
G,
G1,
G12,
G3,
G32,
Q,
Q5,
Q54
Global Demand and Supply Sentiment: Evidence from Earnings Calls
Staff Working Paper 2023-37
Temel Taskin,
Franz Ulrich Ruch
This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Coronavirus disease (COVID-19),
Econometric and statistical methods,
Inflation and prices,
International topics
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E32,
G,
G1,
G10