Transmission of Cyber Risk Through the Canadian Wholesale Payment System Staff working paper 2022-23 Anneke Kosse, Zhentong Lu This paper studies how the impact of a cyber attack that paralyzes one or multiple banks' ability to send payments would transmit to other banks through the Canadian wholesale payment system. Based on historical payment data, we simulate a wide range of scenarios and evaluate the total payment disruption in the system. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C4, C49, E, E4, E42, E47, G, G2, G21 Research Theme(s): Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures
Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors Staff working paper 2022-22 Erhao Xie This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C57 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models
Expectation-Driven Term Structure of Equity and Bond Yields Staff working paper 2022-21 Ming Zeng, Guihai Zhao Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads). Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, G, G0, G00, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Nowcasting Canadian GDP with Density Combinations Staff discussion paper 2022-12 Tony Chernis, Taylor Webley We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C52, C53, E, E3, E7 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Resilience of bank liquidity ratios in the presence of a central bank digital currency Staff analytical note 2022-5 Alissa Gorelova, Bena Lands, Maria teNyenhuis Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios. Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, E, E4, G, G2, G21, O, O3, O33 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Money and payments, Digital assets and fintech
More Than Words: Fed Chairs’ Communication During Congressional Testimonies Staff working paper 2022-20 Michelle Alexopoulos, Xinfen Han, Oleksiy Kryvtsov, Xu Zhang We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E52, E58, E7, E71 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods, Monetary policy, Monetary policy framework and transmission
Identifying Financially Remote First Nations Reserves Staff discussion paper 2022-11 Heng Chen, Walter Engert, Kim Huynh, Daneal O’Habib Chen et al. (2021) show that almost one-third of First Nations band offices in Canada are within 1 kilometre (km) of an automated banking machine (ABM) or financial institution (FI) branch and more than half are within 5 km. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E4, E41, E42, E5, G, G2, G21 Research Theme(s): Money and payments, Cash and bank notes, Payment and financial market infrastructures, Retail payments, Structural challenges, Demographics and labour supply
Historical Data on Repurchase Agreements from the Canadian Depository for Securities Technical report No. 121 Maxim Ralchenko, Adrian Walton We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research. Content Type(s): Staff research, Technical reports JEL Code(s): C, C5, C55, C8, C81, G, G1, G10 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Asymmetric Systemic Risk Staff working paper 2022-19 Radoslav Raykov, Consuelo Silva-Buston Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G10, G2, G20 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Financial system regulation and oversight
April 30, 2022 Research Update - April 2022 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters