How big is cash-futures basis trading in Canada’s government bond market? Staff analytical note 2024-16 Andreas Uthemann, Rishi Vala Cash-futures basis trading has grown alongside the Government of Canada bond futures market. We examine this growth over time in relation to Government of Canada bond and repurchase agreement markets and provide details on the type of market participants that engage in this type of trading activity. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G2, G23 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Financial system, Financial stability and systemic risk
Non-bank financial intermediation: Canada’s submission to the 2023 global monitoring report Staff analytical note 2024-15 Malcolm Fisher, Alan Walsh We share insights from Canadian data from 2002 to 2022 that the Bank of Canada collected. The Bank submits these data each year to the Financial Stability Board for inclusion in its Global Monitoring Report on Non-Bank Financial Intermediation. Content Type(s): Staff research, Staff analytical notes JEL Code(s): G, G2, G21, G22, G23 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Impacts of interest rate hikes on the consumption of households with a mortgage Staff analytical note 2024-14 Panagiotis Bouras, Joaquín Saldain, Xing Guo, Thomas Michael Pugh, Maria teNyenhuis We assess how much the recent rate-hike cycle has and will affect mortgage borrowers' consumption through its impacts on mortgage payments. Our analysis provides insights into the effects of changes in monetary policy on the consumption of mortgage borrowers. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D1, D13, E, E2, E21, G, G5 Research Theme(s): Financial system, Household and business credit, Monetary policy, Monetary policy framework and transmission
Sources of pandemic-era inflation in Canada: An application of the Bernanke and Blanchard model Staff analytical note 2024-13 Fares Bounajm, Jean Garry Junior Roc, Yang Zhang We explore the drivers of the surge in inflation in Canada during the COVID-19 pandemic. This work is part of a joint effort by 11 central banks using the model developed by Bernanke and Blanchard (2023) to identify similarities and differences across economies. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, E3, E31, E37, E5, E52, E6 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Total factor productivity growth projection for Canada: A sectoral approach Staff analytical note 2024-12 Dany Brouillette, Tessa Devakos, Raven Wheesk We propose a tool that decomposes TFP growth into sectoral contributions. The analysis incorporates three structural factors—digitalization, aging and climate change policies—and measures their contributions. Overall, we expect that aggregate TFP growth will slow down in the 2020s below both its historical average and the average from the 2010s. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D2, D24, J, J1, J11, O, O3, O33, Q, Q5, Q54 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change, Demographics and labour supply, Digitalization and productivity
Potential output in Canada: 2024 assessment Staff analytical note 2024-11 Tessa Devakos, Christopher Hajzler, Stéphanie Houle, Craig Johnston, Antoine Poulin-Moore, Ron Rautu, Temel Taskin We expect that potential output in Canada will grow by 2.3% and 2.5% in 2023 and 2024, respectively, and average slightly below 1.7% by 2027 as population growth moderates. Relative to the April 2023 assessment, growth is revised up in 2024, with a larger contribution from trend labour input due to higher-than-anticipated population growth. We revise down our estimates of growth over 2025–26. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E3, E4, E5 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply, Digitalization and productivity
Assessing global potential output growth: April 2024 Staff analytical note 2024-10 Amor Aniss Benmoussa, Raheeb Dastagir, Eshini Ekanayake, Justin-Damien Guénette, Helen Lao, Jenna Rolland-Mills, Aidan Spencer, Lin Xiang This note presents the annual update of Bank of Canada staff estimates for growth in global potential output. These estimates serve as key inputs to the analysis supporting the April 2024 Monetary Policy Report. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E1, E2, F, F0, O, O4 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply, Digitalization and productivity
Assessing the US and Canadian neutral rates: 2024 update Staff analytical note 2024-9 Frida Adjalala, Felipe Alves, Hélène Desgagnés, Wei Dong, Dmitry Matveev, Laure Simon We assess both the US and Canadian nominal neutral rates to be in the range of 2.25% to 3.25%, somewhat higher than the range of 2.0% to 3.0% in 2023. The assessed range is back to the level it was at in April 2019. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, Demographics and labour supply
Benchmarks for assessing labour market health: 2024 update Staff analytical note 2024-8 Erik Ens, Alexander Lam, Kurt See, Gabriela Galassi We assess the health of the Canadian labour market. We find that it has seen gradual but material easing since 2023, amid some signs of structural changes. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, J, J2, J3, J6 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, Demographics and labour supply
Liquidity risks at Canadian life insurance companies Staff analytical note 2024-7 Patrick Aldridge, Stephane Gignac, Rishi Vala, Adrian Walton We examine how life insurers manage liquidity risks created by their business model. We find that Canadian life insurers did not face significant liquidity draws and continued their usual investment behaviour during the COVID-19 crisis and as interest rates increased in 2022. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G14, G2, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk