June 21, 2006 Using the Contingent Claims Approach to Assess Credit Risk in the Canadian Business Sector Financial System Review - June 2006 Michal Kozak, Meyer Aaron, Céline Gauthier Content Type(s): Publications, Financial System Review articles
November 14, 2013 Assessing Financial System Vulnerabilities: An Early Warning Approach Bank of Canada Review - Autumn 2013 Gurnain Pasricha, Tom Roberts, Ian Christensen, Brad Howell This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E6, E66, G, G0, G01
January 23, 2004 Bank of Canada Review - Winter 2003-2004 Cover page Brass Cash Register, 1910 The register is part of the National Currency Collection, Bank of Canada. Photographed by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
February 17, 2011 Conference Summary: Financial Globalization and Financial Instability Bank of Canada Review - Winter 2010-2011 Scott Hendry The Bank of Canada’s annual conference, held in October 2010, brought together leading researchers from universities and central banks around the world. Content Type(s): Publications, Bank of Canada Review articles
Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays Staff working paper 2018-16 Michael Brolley, David Cimon Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G18 Research Theme(s): Financial markets and funds management, Market functioning, Market structure
A Dynamic Factor Model for Nowcasting Canadian GDP Growth Staff working paper 2017-2 Tony Chernis, Rodrigo Sekkel This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C38, C5, C53, E, E3, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19 Staff working paper 2021-2 James Chapman, Ajit Desai We use retail payment data in conjunction with machine learning techniques to predict the effects of COVID-19 on the Canadian economy in near-real time. Our model yields a significant increase in macroeconomic prediction accuracy over a linear benchmark model. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, C55, E, E3, E37, E4, E42, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting, Money and payments, Retail payments
September 10, 2020 Economic progress report: a very uneven recovery Remarks (delivered virtually) Tiff Macklem The Canadian Chamber of Commerce Ottawa, Ontario Governor Tiff Macklem discusses the Bank’s latest interest rate announcement and explains the uneven impact that the COVID-19 pandemic is having on different sectors and people. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Financial system, Financial stability, Monetary policy, Economy/Economic growth, Inflation, Inflation targeting framework
November 16, 2016 Follow the Money: A Canadian Perspective on Financial Globalization Remarks Timothy Lane Centre for International Governance Innovation (CIGI) Waterloo, Ontario Deputy Governor Timothy Lane discusses the benefits and challenges of international capital mobility. Content Type(s): Press, Speeches and appearances, Remarks Subject(s): Currency, Digital currency, Financial system, Financial markets, Financial stability, Monetary policy, Economy/Economic growth