Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
235
result(s)
Mortgage stress tests and household financial resilience under monetary policy tightening
Staff Analytical Note 2024-25
Jonathan Hartley,
Nuno Paixão
This note analyzes mortgage stress tests, a macroprudential tool. We find that when mortgage stress tests are applied to all mortgage purchase originations, they improve credit quality and reduce credit and house price growth. They also improve the resilience of borrowers to financial shocks, such as the large increase in interest rates during 2022–23.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Financial system regulation and policies,
Monetary policy
JEL Code(s):
E,
E5,
E52,
G,
G2,
G21,
G28,
G5,
G50,
G51
How do Canadians perceive access to cash?
Staff Analytical Note 2024-24
Heng Chen,
Daneal O’Habib,
Hongyu Xiao
This paper introduces a subjective measure of cash accessibility in Canada, complementing existing distance-based metrics developed by Chen, O’Habib and Xiao (2023). Analyzing data from the 2023 Methods-of-Payment Survey, this study explores how Canadians perceive their ease of accessing cash from automated banking machines (ABMs) and financial institution branches.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Bank notes,
Financial services,
Regional economic developments
JEL Code(s):
J,
J1,
J15,
O,
O1,
R,
R5,
R51
Beyond the averages: Measuring underlying wage growth using Labour Force Survey microdata
Staff Analytical Note 2024-23
Fares Bounajm,
Tessa Devakos,
Gabriela Galassi
When it comes to understanding the influence of labour costs on inflation, average wage growth is a misleading indicator because it is affected by composition effects. We propose an alternative measure that corrects for these effects by using microdata from the Labour Force Survey. Our new measure has many desirable properties, including reduced volatility and a better relationship with labour market fundamentals.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Labour markets
JEL Code(s):
C,
C3,
C31,
J,
J2,
J21,
J3,
J30,
J31,
J8,
J82
Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve
Staff Analytical Note 2024-22
Antonio Diez de los Rios
The Bank of Canada’s Government of Canada Bond Purchase Program, launched in response to the COVID-19 pandemic, lowered the weighted average maturity of the Government of Canada’s debt by approximately 1.4 years. This in turn reduced Canadian 10-year and 5-year zero-coupon yields by 84 and 52 basis points, respectively.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Central bank research,
Coronavirus disease (COVID-19),
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
G,
G1,
G12,
H,
H6,
H63
CORRA: Explaining the rise in volumes and resulting upward pressure
Staff Analytical Note 2024-21
Boran Plong,
Neil Maru
On May 27, 2024, the settlement period for trading GoC bonds in the secondary market in Canada moved from two days to one. This shortened time for settling secondary cash bond trades caused CORRA volumes to rise significantly, and they have remained elevated since. This combined with the skew in demand for funding has pressured CORRA higher. We find no indications that any other factors are contributing to the most recent pressures on CORRA.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Interest rates,
Monetary policy implementation
JEL Code(s):
D,
D4,
D5,
D53,
E,
E4,
E43,
E44,
E5,
E52,
G,
G1,
G12
Foreign exchange risk premiums and global currency factors
Staff Analytical Note 2024-20
Ingomar Krohn,
Mariel Yacolca Maguiña
Global currency risk factors continue to explain a large share of the variation in the Canadian dollar during the period following the 2008–09 global financial crisis. We show that they are also systematically important for risk premiums, and only in recent months has the role of idiosyncratic country-specific risks grown.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
International financial markets
JEL Code(s):
F,
F3,
F31,
G,
G1,
G12
BoC–BoE Sovereign Default Database: What’s new in 2024?
Staff Analytical Note 2024-19
David Beers,
Obiageri Ndukwe,
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 2024 edition updates the historical data and revisits sovereign defaults on local currency debt.
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
The reliance of Canadians on credit card debt as a predictor of financial stress
Staff Analytical Note 2024-18
Jia Qi Xiao
I analyze the relationship between carrying a credit card balance and future financial stress. I find that carrying a balance significantly increases the likelihood that credit card holders miss future debt payments. This likelihood tends to rise as credit card balances grow and are held for long periods.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Interest rates,
Recent economic and financial developments
JEL Code(s):
D,
D1,
E,
E4,
E5,
G,
G2,
G21
Could all-to-all trading improve liquidity in the Government of Canada bond market?
Staff Analytical Note 2024-17
Jabir Sandhu,
Rishi Vala
We find that on any given day, nearly half of Government of Canada bond transactions by clients of dealers can be offset with other clients, including during the turmoil in March 2020. Our results show that under certain conditions clients could potentially trade directly with each other and are a step towards understanding the relevance of broader all-to-all trading in the Government of Canada bond market.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial institutions,
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G0,
G01,
G1,
G12,
G13,
G14,
G2,
G21,
G23