A Framework in Search of an Optimal Margining Policy for Official Institutions: The Canadian Experience Staff discussion paper 2016-9 Tomo Nakashima, Mihai Cosma, Boran Plong One of the main outcomes of the global financial crisis has been a series of new regulations imposed on the financial system and specifically on banks. Content Type(s): Staff research, Staff discussion papers JEL Code(s): G, G3, G32 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial stability and systemic risk, Money and payments, Payment and financial market infrastructures
June 30, 2015 Research Update - June 2015 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
January 30, 2014 Research Update - January 2014 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
October 24, 2001 The Canadian Economy: Current and Future Challenges Remarks David Dodge Greater Moncton Chamber of Commerce and the Conseil économique du Nouveau-Brunswick Moncton, New Brunswick All of us at the Bank of Canada share a deep sorrow at the loss of so many lives in the 11 September terrorist attacks in the United States. Among those who died were innocent citizens of many nationalities, including Canadians. To their families, friends, and colleagues we extend our heartfelt sympathy. Content Type(s): Press, Speeches and appearances, Remarks
June 10, 2010 The G-20’s Core Agenda to Reduce Systemic Risk Remarks Mark Carney International Organization of Securities Commissions (IOSCO) Montréal, Quebec Given this failure, the G-20’s agenda to reshape the global financial system is comprehensive and radical. The coming weeks and months will be pivotal to its success. The time for debate and discussion is drawing to a close. Policymakers now need to decide and to implement. Content Type(s): Press, Speeches and appearances, Remarks
June 27, 2014 A Dual Vision for the Canadian Payments System Remarks Lawrence L. Schembri Canadian Payments Association Charlottetown, Prince Edward Island Deputy Governor Lawrence Schembri calls for a collaborative approach to achieving a payments system that is innovative, safe, and efficient. Content Type(s): Press, Speeches and appearances, Remarks
Challenges in Implementing Worst-Case Analysis Staff working paper 2018-47 Jon Danielsson, Lerby Ergun, Casper G. de Vries Worst-case analysis is used among financial regulators in the wake of the recent financial crisis to gauge the tail risk. We provide insight into worst-case analysis and provide guidance on how to estimate it. We derive the bias for the non-parametric heavy-tailed order statistics and contrast it with the semi-parametric extreme value theory (EVT) approach. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C0, C01, C1, C14, C5, C58 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Earnings Dynamics and Intergenerational Transmission of Skill Staff working paper 2020-46 Lance Lochner, Youngmin Park How are your past, current and future earnings related to those of your parents? We explore this by using 37 years of Canadian tax data on two generations. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, J, J2, J24, J6, J62 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Structural challenges, Demographics and labour supply
Volatility Risk and Economic Welfare Staff working paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E3 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Real economy and forecasting
December 9, 1996 The Canadian market for zero-coupon bonds Bank of Canada Review - Winter 1996-1997 Miles Whittingham A conventional bond is a debt instrument consisting of a series of periodic coupon payments plus the repayment of the principal at maturity. As the name suggests, a zero-coupon bond has no coupon payments. It has only a single payment consisting of the repayment of the principal at maturity. The zero-coupon bond is sold at a discount and then redeemed for its face value at maturity. The return to the investor is the difference between the face value of the bond and its discounted purchase price. In this article, the author examines the investment characteristics of zero-coupon bonds. In particular, a type of zero-coupon bond known as a strip bond is discussed. A strip bond is created by stripping coupon payments from conventional bonds. The strip bond market in Canada has grown substantially since the late 1980s and is now an integral part of Canadian fixed-income markets. As well, the opportunity to trade in the strip bond market improves the liquidity and efficiency of Canadian fixed-income markets, thus helping to reduce the overall cost of borrowing to the government. Content Type(s): Publications, Bank of Canada Review articles