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8951 Results

Monte Carlo Likelihood-Ratio Tests for Markov Switching Models

Staff analytical paper 2026-34 Gabriel Rodriguez Rondon, Jean-Marie Dufour
This paper develops Monte Carlo likelihood-ratio tests for determining the number of regimes in Markov switching models. Unlike most existing procedures, which focus on testing one versus two regimes, the proposed methods allow testing an arbitrary number of regimes. They are valid in finite samples, robust to identification problems, and applicable to nonstationary, multivariate, and Markov switching GARCH models.

Supply and Demand-Driven inflation: Decomposition and policy implications

Staff analytical paper 2026-33 Kira Kang, Rodrigo Sekkel, Temel Taskin, Jing Yang
This note uses detailed expenditure data to decompose Canadian inflation into supply- and demand-driven components. The analysis sheds light on the drivers of post-pandemic inflation and shows that monetary policy primarily affects and responds to demand-driven inflation.

The Boundaries of Bank Funding: The Case of Canadian Cash ETFs

Staff analytical paper 2026-32 Jean-Sébastien Fontaine, Vincent Meh, Jayden Plener
The rise and transformation of Canadian cash ETFs highlight that banking liquidity regulation affects more than bank resilience. By changing the relative attractiveness of deposits and securities, it can shape where asset managers allocate their cash across the financial system.

Central Clearing in Repo Markets: Do the Benefits Extend to Non-Dealers?

Staff analytical paper 2026-31 Danny Auger, Adrian Walton
This note examines whether central clearing of repos benefits non-dealer participants in Canadian fixed-income markets. While prior research highlights lower funding and balance-sheet costs for dealers, less is known about client effects. Understanding these broader implications is important for assessing central clearing’s contribution to market efficiency and resilience.
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