Staff Discussion Papers

Finished work on technical issues related to the functions of the Bank (Monetary Policy, Financial System, Currency and Funds Management) and its policy.

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Fintech: Is This Time Different? A Framework for Assessing Risks and Opportunities for Central Banks

Staff Discussion Paper 2017-10 Meyer Aaron, Francisco Rivadeneyra, Samantha Sohal
We investigate the risks and opportunities to the mandates of central banks arising from fintech developments.

What Explains Month-End Funding Pressure in Canada?

Staff Discussion Paper 2017-9 Christopher S. Sutherland
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.

A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth

Staff Discussion Paper 2017-8 Tony Chernis, Gabriella Velasco, Calista Cheung
This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months).

Methodology for Assigning Credit Ratings to Sovereigns

Staff Discussion Paper 2017-7 Philippe Muller, Jérôme Bourque
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of investment counterparties. Traditionally, foreign exchange reserve and asset managers have relied on credit rating agencies (CRAs) as the main source for credit assessments.

Multilateral Development Bank Credit Rating Methodology: Overcoming the Challenges in Assessing Relative Credit Risk in Highly Rated Institutions Based on Public Data

Staff Discussion Paper 2017-6 David Xiao Chen, Philippe Muller, Hawa Wagué
The investment of foreign exchange reserves or other asset portfolios requires an assessment of the credit quality of counterparties. Traditionally, foreign exchange reserve managers and other investors have relied on credit rating agencies (CRAs) as the main source for credit assessments.

Assessing the Business Outlook Survey Indicator Using Real-Time Data

Staff Discussion Paper 2017-5 Lise Pichette, Marie-Noëlle Robitaille
Every quarter, the Bank of Canada conducts quarterly consultations with businesses across Canada, referred to as the Business Outlook Survey (BOS). A principal-component analysis conducted by Pichette and Rennison (2011) led to the development of the BOS indicator, which summarizes survey results and is used by the Bank as a gauge of overall business sentiment.

The Costs of Point-of-Sale Payments in Canada

Using data from our 2014 cost-of-payments survey, we calculate resource costs for cash, debit cards and credit cards. For each payment method, we examine the total cost incurred by consumers, retailers, financial institutions and infrastructures, the Royal Canadian Mint and the Bank of Canada.

Repo Market Functioning when the Interest Rate Is Low or Negative

Staff Discussion Paper 2017-3 Jean-Sébastien Fontaine, James Hately, Adrian Walton
This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively.

Global Real Activity for Canadian Exports: GRACE

Staff Discussion Paper 2017-2 André Binette, Tony Chernis, Daniel de Munnik
Canadian exports have often disappointed since the Great Recession. The apparent disconnect between exports and the Bank of Canada’s current measure of foreign demand has created an impetus to search for an alternative.