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.
1007
result(s)
What has been putting upward pressure on CORRA?
Staff Analytical Note 2024-4
Boran Plong,
Neil Maru
From the autumn of 2023 into early 2024, the Canadian Overnight Repo Rate Average (CORRA), a measure of the cost of overnight general collateral Canadian dollar repos, was consistently well above the Bank’s target for the overnight rate. We find that, among several factors, long bond positions that require repo financing are the main driver of the recent upward pressure on CORRA.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Interest rates,
Lender of last resort,
Monetary policy implementation
JEL Code(s):
D,
D4,
D5,
D53,
E,
E4,
E43,
E44,
E5,
E52,
G,
G1,
G12
Decomposing Large Banks’ Systemic Trading Losses
Staff Working Paper 2024-6
Radoslav Raykov
Do banks realize simultaneous trading losses because they invest in the same assets, or because different assets are subject to the same macro shocks? This paper decomposes the comovements of bank trading losses into two orthogonal channels: portfolio overlap and common shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G10,
G11,
G2,
G20
The Role of International Financial Integration in Monetary Policy Transmission
Staff Working Paper 2024-3
Jing Cynthia Wu,
Yinxi Xie,
Ji Zhang
We propose an open-economy New Keynesian model with financial integration that allows financial intermediaries to hold foreign long-term bonds. We study the implications of financial integration on monetary policy transmission. Among various aspects of financial integration, the bond duration plays a major role. These results hold for conventional and unconventional monetary policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
International financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
F,
F3,
F36,
F4,
F42
The Role of Long-Term Contracting in Business Lending
Staff Working Paper 2024-2
Phoebe Tian
This paper examines inefficiencies arising from a lack of long-term contracting in small business lending in China.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions
JEL Code(s):
D,
D8,
D83,
D86,
G,
G2,
G21,
L,
L1,
L14,
L2,
L26
Market structure of cryptoasset exchanges: Introduction, challenges and emerging trends
Staff Analytical Note 2024-2
Vladimir Skavysh,
Jacob Sharples,
Sofia Priazhkina,
Salman H. Hasham
This paper provides an overview of cryptoasset exchanges. We contrast their design with exchanges in traditional financial markets and discuss emerging regulatory trends and innovations aimed at solving the problems cryptoasset exchanges face.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
G,
G1,
G15,
L,
L1
2022 Methods-of-Payment Survey Report: Cash Use Over 13 Years
Staff Discussion Paper 2024-1
Christopher Henry,
Doina Rusu,
Matthew Shimoda
We present results from the 2022 Methods-of-Payment Survey, including updated payment shares based on a three-day shopping diary. We also assess various factors associated with long-term trends in cash use.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Bank notes,
Coronavirus disease (COVID-19),
Digital currencies and fintech,
Financial services
JEL Code(s):
D,
D8,
D83,
E,
E4,
E41
Extreme Weather and Low-Income Household Finance: Evidence from Payday Loans
Staff Working Paper 2024-1
Shihan Xie,
Victoria Wenxin Xie,
Xu Zhang
This paper explores the impact of extreme weather exposures on the financial outcomes of low-income households. Our findings highlight the heightened financial vulnerability of low-income households to environmental shocks and underscore the need for targeted policies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Climate change,
Credit and credit aggregates
JEL Code(s):
G,
G5,
Q,
Q5,
Q54
Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters
Staff Discussion Paper 2023-34
Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Credit risk management,
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G23,
G28
Climate-Related Flood Risk to Residential Lending Portfolios in Canada
Staff Discussion Paper 2023-33
Craig Johnston,
Geneviève Vallée,
Hossein Hosseini,
Brett Lindsay,
Miguel Molico,
Marie-Christine Tremblay,
Aidan Witts
We assess the potential financial risks of current and projected flooding caused by extreme weather events in Canada. We focus on the residential real estate secured lending (RESL) portfolios of Canadian financial institutions (FIs) because RESL portfolios are an important component of FIs’ balance sheets and because the assets used to secure such loans are immobile and susceptible to climate-related extreme weather events.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Climate change,
Credit risk management,
Econometric and statistical methods,
Financial institutions,
Financial stability
JEL Code(s):
C,
C8,
C81,
G,
G2,
G21,
Q,
Q5,
Q54