Predicting Changes in Canadian Housing Markets with Machine Learning Staff discussion paper 2023-21 Johan Brannlund, Helen Lao, Maureen MacIsaac, Jing Yang We apply two machine learning algorithms to forecast monthly growth of house prices and existing homes sales in Canada. Although the algorithms can sometimes outperform a linear model, the improvement in forecast accuracy is not always statistically significant. Content Type(s): Staff research, Staff discussion papers JEL Code(s): A, C, C4, C45, C5, C53, D, D2, R, R2, R3 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Bitcoin Adoption and Beliefs in Canada Staff working paper 2021-60 Daniela Balutel, Christopher Henry, Jorge Vásquez, Marcel Voia Using an economic model as well as survey data from the Bank of Canada, we study what factors influence the adoption of Bitcoin in Canada. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D83, O, O3, O33 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Money and payments, Digital assets and fintech
What Explains Month-End Funding Pressure in Canada? Staff discussion paper 2017-9 Christopher S. Sutherland The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E4, E41, E43, E5, E52, E58, F, F3, F36, G, G1, G14, G15, G2, G21 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Monetary policy tools and implementation, Money and payments, Payment and financial market infrastructures
The increasing role of hedge funds in Government of Canada bond auctions Staff analytical note 2025-22 Adam Epp, Jeffrey Gao We find that the rise in Government of Canada debt issuance correlates to growing participation of hedge funds in bond auctions since 2020. This increased participation supports the cost-effective distribution of Canada’s debt, but it also represents a potential vulnerability because hedge funds have a greater flight risk than other investor types. Content Type(s): Staff research, Staff analytical notes JEL Code(s): D, D4, D44, G, G1, G12, G2, G23, H, H6, H63 Research Theme(s): Financial markets and funds management, Funds management, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
Understanding Trend Inflation Through the Lens of the Goods and Services Sectors Staff working paper 2020-45 Yunjong Eo, Luis Uzeda, Benjamin Wong The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach Technical report No. 115 Rohan Arora, Guillaume Bédard-Pagé, Guillaume Ouellet Leblanc, Ryan Shotlander This report provides a detailed technical description of a stress test model for investment funds called Ceto. Content Type(s): Staff research, Technical reports JEL Code(s): G, G1, G12, G14, G2, G20, G23 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial institutions and intermediation, Financial stability and systemic risk
June 23, 2003 CDSX: Canada’s New Clearing and Settlement System for Securities Financial System Review - June 2003 Darcey McVanel Content Type(s): Publications, Financial System Review articles
The (Un)Demand for Money in Canada Staff working paper 2018-20 Casey Jones, Geoffrey R. Dunbar A novel dataset from the Bank of Canada is used to estimate the deposit functions for banknotes in Canada for three denominations: $1,000, $100 and $50. The broad flavour of the empirical findings is that denominations are different monies, and the structural estimates identify the underlying sources of the non-neutrality. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C31, C36, E, E4, E41 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
November 19, 2015 Recent Enhancements to the Management of Canada’s Foreign Exchange Reserves Bank of Canada Review - Autumn 2015 Mervin Merkowsky, Eric Wolfe As the size and complexity of the foreign exchange reserves have grown over the years, enhancements to the management framework needed to keep pace. This is a common theme for most reserve managers around the world. In Canada, the enhancements focused on governance, portfolio management, risk measurement and risk management. This article briefly describes these enhancements, why they were implemented and some of the lessons learned along the way. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E5, E58, F, F3, F31, G, G1
May 15, 2023 Financial System Survey highlights—2023 This article presents the key results from the 2023 Bank of Canada Financial System Survey, conducted between February 21 and March 10. The survey included a special section on margining practices for non-centrally cleared derivatives. Content Type(s): Publications, Financial System Survey