Markov‐Switching Three‐Pass Regression Filter Staff working paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C23, C5, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
December 6, 2018 Year-End Economic Progress Report: Financial Vulnerabilities in Focus Remarks Stephen S. Poloz CFA Toronto Toronto, Ontario Governor Poloz talks about how household debt levels and housing markets played a role in the latest interest-rate decision. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial stability, Monetary policy, Economic models, Economy/Economic growth, Inflation targeting framework
August 23, 2004 The Evolution of Liquidity in the Market for Government of Canada Bonds Bank of Canada Review - Summer 2004 Stacey Anderson, Stéphane Lavoie Using turnover ratios, Anderson and Lavoie describe the recent evolution of liquidity in various secondary government bond markets, focusing specifically on the market for Government of Canada securities. They attribute much of the recent variation in liquidity to such cyclical factors as changes in the interest rate environment and investors' appetite for risk, as well as developments in equity markets in the late 1990s. They also examine longer-term structural and policy-related trends, including the rate of adoption of financial and technological innovations and the level of government borrowing and debt-management initiatives. Content Type(s): Publications, Bank of Canada Review articles
November 10, 1996 The market for futures contracts on Canadian bankers' acceptances Bank of Canada Review - Autumn 1996 Nancy Harvey The Montreal Exchange introduced futures contracts on 3-month Canadian bankers' acceptances, known as BAX, in 1988. In this article, the author explains the nature of this new instrument, which is bought and sold on the floor of the Exchange, and its role in hedging, speculation, and arbitrage. She briefly reviews the technical aspects of the market and explains the difference between BAX contracts and forward rate agreements. She also examines the market's rapid growth and its relationship to the market for treasury bills. Content Type(s): Publications, Bank of Canada Review articles
May 13, 2014 The Art and Science of Forecasting the Real Price of Oil Bank of Canada Review - Spring 2014 Christiane Baumeister Forecasts of the price of crude oil play a significant role in the conduct of monetary policy, especially for commodity producers such as Canada. This article presents a range of recently developed forecasting models that, when pooled together, can generate, on average, more accurate forecasts of the price of oil than the oil futures curve. It also illustrates how policy-makers can evaluate the risks associated with the baseline oil price forecast and how they can determine the causes of past oil price fluctuations. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
March 10, 2004 Adjusting to Global Economic Change Remarks David Dodge Brazil-Canada Chamber of Commerce São Paulo, Brazil Today, I want to focus my remarks on Canada's adjustment to changes in the global economy. I will talk about our efforts to adjust to longer-term economic forces and about the challenges that these forces present. Some of our experiences may be relevant to other economies that are making similar adjustments in the face of similar economic circumstances. Content Type(s): Press, Speeches and appearances, Remarks
February 4, 2010 The Coming Thaw Remarks Mark Carney Winnipeg Chamber of Commerce Winnipeg, Manitoba It is a pleasure to be here in Winnipeg. Today, I intend to elaborate on elements of the Bank of Canada's economic outlook. Content Type(s): Press, Speeches and appearances, Remarks
Bank Runs, Bank Competition and Opacity Staff working paper 2021-30 Toni Ahnert, David Martinez-Miera How is the stability of the financial sector affected by competition in the deposit market and by decisions banks make about transparency? We find that policies that aim to increase bank competition lead to higher bank deposit rates, increasing both withdrawal incentives and instability. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G2, G21 Research Theme(s): Financial markets and funds management, Market structure, Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Financial system regulation and oversight
Central Bank Digital Currencies: A Framework for Assessing Why and How Staff discussion paper 2016-22 Ben Fung, Hanna Halaburda Digital currencies have attracted strong interest in recent years and have the potential to become widely adopted for use in making payments. Public authorities and central banks around the world are closely monitoring developments in digital currencies and studying their implications for the economy, the financial system and central banks. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E4, E41, E42 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Resolving Failed Banks: Uncertainty, Multiple Bidding & Auction Design Staff working paper 2019-30 Jason Allen, Robert Clark, Brent Hickman, Eric Richert Bank resolution is costly. In the United States, the Federal Deposit Insurance Corporation (FDIC) typically resolves failing banks by auction. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C57, D, D4, D44, G, G2, G21 Research Theme(s): Financial markets and funds management, Market structure, Financial system, Financial stability and systemic risk, Financial system regulation and oversight