Regulatory Requirements of Banks and Arbitrage in the Post-Crisis Federal Funds Market Staff working paper 2022-48 Rodney J. Garratt, Sofia Priazhkina This paper explains the nature of interest rates in the U.S. federal funds market after the 2007-09 financial crisis. We build a model of the over-the-counter lending market that incorporates new aspects of the financial system: abundance of liquidity, different regulatory standards for banks, and arbitrage opportunities created by limited access to the facility granting interest on excess reserves. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E42, E5, E58, G, G2, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial system regulation and oversight, Models and tools, Economic models, Monetary policy, Monetary policy tools and implementation
Global Demand and Supply Sentiment: Evidence from Earnings Calls Staff working paper 2023-37 Temel Taskin, Franz Ulrich Ruch This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, G, G1, G10 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
April 4, 2019 Annual Report 2018 The Annual Report outlines the Bank’s activities and achievements in 2018. It includes the financial statements and a message from Governor Stephen S. Poloz. Content Type(s): Publications, Annual Report
January 18, 2012 Monetary Policy Report – January 2012 The Canadian economy is estimated to have grown by 2.4 per cent in 2011, and is projected to grow by 2.0 per cent in 2012, and 2.8 per cent in 2013, returning to full capacity by the third quarter of 2013. Total CPI inflation is expected to return to the 2 per cent target by the 3rd quarter of 2013. Content Type(s): Publications, Monetary Policy Report
A Market-Based Approach to Reverse Stress Testing the Financial System Staff working paper 2025-32 Javier Ojea Ferreiro This article examines what market conditions lead to extreme losses in global financial systems. Using a reverse stress testing approach, it introduces two measures of systemic risk by starting from the tail losses and working backward to identify the events most closely associated with them. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C02, C3, C32, C5, C58, G, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
December 23, 2005 Financial System Review - December 2005 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report
Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data Staff working paper 2023-4 Lorenzo Pozzi, Barbara Sadaba Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C23, E, E2, E21 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
November 9, 2020 Quarterly Financial Report - Third Quarter 2020 Quarterly Financial Report - Third Quarter 2020 - For the period ended September 30, 2020 Content Type(s): Publications, Quarterly Financial Report
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
May 21, 2020 Quarterly Financial Report - First Quarter 2020 Quarterly Financial Report - First Quarter 2020 - For the period ended March 31, 2020 Content Type(s): Publications, Quarterly Financial Report