A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil Staff working paper 2016-18 Christiane Baumeister, Lutz Kilian Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, D, D8, D84, G, G1, G14, Q, Q4, Q43 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
June 23, 2003 Financial System Review - June 2003 This section of the Financial System Review examines the recent performance of the Canadian financial system and the factors, both domestic and international, that are influencing it. Content Type(s): Publications, Financial Stability Report
May 19, 2011 Bank of Canada Review - Spring 2011 This special issue of the Review, “Lessons from the Financial Crisis,” examines the recent research on the role of liquidity in the financial system and on the public policy responses that aimed to restore stability to the financial system during the crisis and to foster economic recovery. Content Type(s): Publications, Bank of Canada Review
July 19, 2010 Historical Assets Eligible as Collateral under the Bank of Canada’s Standing Liquidity Facility – July 19, 2010 to December 12, 2013 The Bank of Canada, through its Standing Liquidity Facility (SLF), provides access to liquidity to those institutions that participate directly in the Large Value Transfer System (LVTS). Content Type(s): Collateral Policy Source(s): Standing Liquidity Facility
June 13, 2013 Financial System Review - June 2013 The Governing Council judges that the risks to the Canadian financial system have decreased somewhat relative to the December FSR, but that the overall level of risk remains high. The key risks are similar to those highlighted in December, and emanate primarily from the external environment. Content Type(s): Publications, Financial Stability Report
September 25, 2008 Reflections on Recent International Economic Developments Remarks Mark Carney Canadian Club of Montreal Montréal, Quebec The events of the past few weeks in global financial markets have been dramatic. Money and credit markets seized up. There was a massive flight to the safety of the highest quality of government debt. Content Type(s): Press, Speeches and appearances, Remarks
February 2, 2010 Historical Assets Eligible as Collateral under the Bank of Canada’s Standing Liquidity Facility – February 2, 2010 to July 18, 2010 The Bank of Canada, through its Standing Liquidity Facility (SLF), provides access to liquidity to those institutions that participate directly in the Large Value Transfer System (LVTS). Content Type(s): Collateral Policy Source(s): Standing Liquidity Facility
DeFi Lending: Returns, Leverage, and Liquidation Risk Staff analytical paper 2026-13 Jonathan Chiu, Furkan Danisman DeFi lending with proper governance is operationally viable, but it also faces constraints related to capital efficiency, liquidation risk, and systemic fragility within the crypto ecosystem. Content Type(s): Staff research, Staff analytical paper JEL Code(s): E, E5, E50, E58 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
March 13, 2008 Addressing Financial Market Turbulence Remarks Mark Carney Toronto Board of Trade Toronto, Ontario Since last summer, many of us here today have been preoccupied with the ongoing dislocations in financial markets. What began in securities linked to U.S. subprime mortgages has spread to a broad range of structured assets, conventional credit markets, and, to a lesser extent, equities. Content Type(s): Press, Speeches and appearances, Remarks
February 17, 2011 Adverse Selection and Financial Crises Bank of Canada Review - Winter 2010-2011 Koralai Kirabaeva The recent financial crisis has highlighted the importance of adverse selection as a contributing factor to financial market instability. Content Type(s): Publications, Bank of Canada Review articles