Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
220
result(s)
Non-bank financial intermediation in Canada: a pulse check
Staff Analytical Note 2021-2
Rohan Arora,
Guillaume Bédard-Pagé,
Philippe Besnier,
Hayden Ford,
Alan Walsh
The Canadian non-bank financial intermediation (NBFI) sector saw strong growth in 2018 and 2019. In 2020, COVID‑19 caused a financial shock. We provide a preliminary analysis on the impact of COVID‑19 on the sector as well as an update on its growth.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2,
G20,
G23
The Bank of Canada COVID‑19 stringency index: measuring policy response across provinces
Staff Analytical Note 2021-1
Calista Cheung,
Jerome Lyons,
Bethany Madsen,
Sarah Miller,
Saarah Sheikh
We construct an index that systematically measures and tracks the stringency of government policy responses to the COVID-19 pandemic across Canadian provinces. Researchers can use this stringency index to analyze how the pandemic is affecting the economy.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Coronavirus disease (COVID-19),
Domestic demand and components,
Recent economic and financial developments,
Regional economic developments
JEL Code(s):
E,
E2,
E20,
H,
H7,
I,
I1,
I18,
R,
R1
Concentration in the market of authorized participants of US fixed-income exchange-traded funds
Staff Analytical Note 2020-27
Rohan Arora,
Sébastien Betermier,
Guillaume Ouellet Leblanc,
Adriano Palumbo,
Ryan Shotlander
We show that a small number of authorized participants (APs) actively create and redeem shares of US-listed fixed-income exchange-traded funds (FI-ETFs). In 2019, three APs performed 82 percent of gross creations and redemptions of FI-ETF shares. In contrast, the group of active APs for equity ETFs was much more diverse.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Corporate investment and monetary policy transmission in Canada
Staff Analytical Note 2020-26
Min Jae Kim,
Jonathan Witmer
Unexpected changes in interest rates lead small firms to materially change their investment rate. Large firms, in contrast, show a smaller response. This suggests both that financial conditions are an important channel for transmitting monetary policy and that firm characteristics can help us better understand fluctuations in business investment.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Firm dynamics,
Monetary policy,
Monetary policy transmission
JEL Code(s):
D,
D2,
D22,
D9,
D92,
G,
G3,
G31,
G32
Potential output in Canada: 2020 reassessment
Staff Analytical Note 2020-25
Dany Brouillette,
Julien Champagne,
Julien McDonald-Guimond
After COVID-19, we expect potential output growth to stabilize around 1.2 percent. This is lower than the 2010–18 average growth of 1.8 percent. Relative to the April 2019 reassessment, the growth profile is revised down. Given the unknown course of the pandemic, uncertainty around these estimates is higher than in previous years.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Potential output,
Productivity
JEL Code(s):
E,
E0,
E00,
E2,
E23,
E24,
E3,
E37,
E6
The neutral rate in Canada: 2020 update
Staff Analytical Note 2020-24
Dmitry Matveev,
Julien McDonald-Guimond,
Rodrigo Sekkel
The neutral rate of interest is important for central banks because it helps measure the stance of monetary policy. We present updated estimates of the neutral rate in Canada using the most recent data. We expect the COVID-19 pandemic to significantly affect the fundamental drivers of the Canadian neutral rate.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Economic models,
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E40,
E43,
E5,
E50,
E52,
E58,
F,
F4,
F41
Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study
Staff Analytical Note 2020-23
Rohan Arora,
Sermin Gungor,
Kaetlynd McRae,
Jonathan Witmer
The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID‑19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
Canadian stock market since COVID‑19: Why a V-shaped price recovery?
Staff Analytical Note 2020-22
Jean-Sébastien Fontaine,
Guillaume Ouellet Leblanc,
Ryan Shotlander
Between February 19 and March 23, 2020, the Canadian stock market plunged due to the severe economic impact of COVID-19. By the end of the summer, the stock market had already recovered a significant portion of its losses, leaving many asking if investors see the economy through rose-coloured glasses. Despite these concerns, we find that current market valuations for companies on the Toronto Stock Exchange align well, on average, with the declines in earning forecasts observed since the start of the year. We also find these market valuations are consistent with the discount rate returning to its pre-pandemic level.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Coronavirus disease (COVID-19),
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Security and convenience of a central bank digital currency
Staff Analytical Note 2020-21
Charles M. Kahn,
Francisco Rivadeneyra
An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Digital currencies and fintech,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
G,
G2,
G21