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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.

Over this period, there has been a fundamental transformation in the way monetary policy is conducted in Canada and in most other industrial countries. While globalization and technological change have played an important role in this area, as in so many others, they have not, to my mind, been the principal driving force behind this transformation. Far more important has been the interaction of experience and economic theory.

This paper studies the use of information for incentives and risk sharing in agency problems. When the principal is risk neutral or the outcome is contractible, risk sharing is unnecessary or completely taken care of by a contract on the outcome.

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.

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.

Many studies have documented that daily realized volatility estimates based on intraday returns provide volatility forecasts that are superior to forecasts constructed from daily returns only. We investigate whether these forecasting improvements translate into economic value added.

Indeed, the global financial crisis of the past two years has presented unique, stressful challenges that have forced us all to assess what has worked well and what needs to change. Today, I would like to review some of the critical thinking around these issues, primarily from the perspective of our work at the Bank of Canada.

In the year and a half leading up to mid-2003, both employment and labour force participation increased at an unusually rapid pace compared to domestic economic activity. Gains in employment were unusually large, relative to output growth, compared to gains in total hours worked. This is explained by a faster rate of increase in the participation rate of the 55 and older age group, many of whom opted for part-time employment. This shift in the composition of employment contributed to a reduction in the length of the average workweek in 2002. As a result, labour input progressed at a rate that was markedly slower than for employment and more in line with its historical relationship to output growth. The authors anticipate that the 55 and older age group will continue to participate strongly in the labour force, but that as the economy rebounds and uncertainty diminishes, the cyclical component in the growth of part-time work should diminish and that of full-time employment increase. Employment growth should moderate in relation to output growth and there may be a cyclical rebound in labour productivity as total hours worked increases during the initial recovery in output growth.

Firms that grow rapidly have the potential to usher in new innovations, products or processes (Kogan et al. 2017), become superstar firms (Haltiwanger et al. 2013) and impact the aggregate labour share (Autor et al. 2020; De Loecker et al. 2020). We explore the use of supervised machine learning techniques to identify a population of nascent high-growth firms using Canadian administrative firm-level data.

We examine the impact of the CCyB on foreign lending activities of Canadian banks. We show that the announcement of a tightening in another country’s CCyB leads to a decrease in the growth rate of cross-border lending between Canadian banks and borrowers in that other country.