November 19, 2009 The Evolution of the International Monetary System Remarks Mark Carney Foreign Policy Association, New York City New York, New York In response to the worst financial crisis since the 1930s, policy-makers around the globe are providing unprecedented stimulus to support economic recovery and are pursuing a radical set of reforms to build a more resilient financial system. Content Type(s): Press, Speeches and appearances, Remarks
Losses from Simulated Defaults in Canada's Large Value Transfer System Staff Discussion Paper 2010-14 Nellie Zhang, Tom Hossfeld The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However, the situation may not hold if the indirect effects of the defaults are taken into consideration, or if two participants default during the same payment cycle. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial stability, Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21
Limits to Arbitrage and Deviations from Covered Interest Rate Parity Staff Discussion Paper 2016-4 James Pinnington, Maral Shamloo We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Exchange rates, International financial markets JEL Code(s): F, F3, F31, G, G1, G15
Privacy-Preserving Post-Quantum Credentials for Digital Payments Staff Working Paper 2023-33 Raza Ali Kazmi, Duc-Phong Le, Cyrus Minwalla Digital payments and decentralized systems enable the creation of new financial products and services for users. One core challenge in digital payments is the need to protect users from fraud and abuse while retaining privacy in individual transactions. We propose a pseudonymous credential scheme for use in payment systems to tackle this problem. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, G, G2, G21, O, O3, O31
Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning Staff Working Paper 2020-33 Diego Rojas, Juan Estrada, Kim Huynh, David T. Jacho-Chávez Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C52, C6, C65, C8, C81, E, E4, E42, E5, E51
A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data Staff Working Paper 2001-21 Fuchun Li, Greg Tkacz This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C15, E, E3, E37
Wage Growth in Canada and the United States: Factors Behind Recent Weakness Staff Analytical Note 2017-8 Dany Brouillette, James Ketcheson, Olena Kostyshyna, Jonathan Lachaine This note examines the relatively subdued pace of wage growth in Canada since the commodity price decline in 2014 and assesses whether the weakness is attributable to cyclical (e.g., labour market slack) or structural factors (e.g., resource reallocation and demographic change). Content Type(s): Staff research, Staff analytical notes Research Topic(s): Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E24, J, J3, J30
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings Staff Working Paper 2014-51 Sermin Gungor, Richard Luger We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12
February 7, 2014 Flexible Inflation Targeting and “Good” and “Bad” Disinflation Remarks Tiff Macklem John Molson School of Business Concordia University Montréal, Quebec Senior Deputy Governor Tiff Macklem discusses flexible inflation targeting and “good” and “bad” disinflation. Content Type(s): Press, Speeches and appearances, Remarks
Do Survey Expectations of Stock Returns Reflect Risk Adjustments? Staff Working Paper 2019-11 Klaus Adam, Dmitry Matveev, Stefan Nagel Motivated by the observation that survey expectations of stock returns are inconsistent with rational return expectations under real-world probabilities, we investigate whether alternative expectations hypotheses entertained in the literature on asset pricing are consistent with the survey evidence. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models, Financial markets JEL Code(s): G, G1, G10, G12