Covariates Hiding in the Tails Staff working paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C01, C1, C14, C5, C58 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
September 28, 2021 Debt Management Strategy Consultations – 2022-23 The Department of Finance and the Bank of Canada are seeking the views of government securities distributors, institutional investors, and other interested parties on issues related to the design and operation of the Government of Canada’s domestic debt program for 2022-23 and beyond. Content Type(s): Press, Market notices
September 27, 2021 CARR Meeting (September 27, 2021) Content Type(s): Meetings Source(s): Canadian Alternative Reference Rate Working Group
September 24, 2021 Monitoring payment deferrals during the COVID-19 pandemic—update, July 2021 Geneviève Vallée In the initial stages of the COVID-19 pandemic, Canada’s financial institutions allowed households to defer payments on a range of loans. With nearly all of these deferrals having expired, we provide a final update of how these loans have performed through to July 2021. Content Type(s): Publications, Financial System Hub articles
A Q-Theory of Banks Staff working paper 2021-44 Juliane Beganau, Saki Bigio, Jeremy Majerovitz, Matías Vieyra Using stock market data on banks, we show that the book value of loans recognizes losses with a delay. This delayed accounting is important for regulation because the requirements regulators impose are based on book values. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, G, G2, G21, G3, G32, G33 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
September 23, 2021 Sharpening our insights Effective, evidence-based policy decisions require insights deepened by understanding. We will listen to Canadians’ diverse perceptions and concerns. At the same time, we will work hard to clearly explain the intent and relevance of the Bank’s objectives, and what is needed to achieve them. More than ever, we are focused on turning insights into actions that inspire confidence.