November 20, 1997 Monetary Policy Report – November 1997 In the last half-year, the economic expansion in Canada has become well established, supported by low inflation, highly stimulative monetary conditions, and a strong U.S. economy. Content Type(s): Publications, Monetary Policy Report
December 16, 2001 Risk Management in the Exchange Fund Account Bank of Canada Review - Winter 2001–2002 Michel Rochette In this article, author Michel Rochette of the Bank's Risk-Management Unit briefly describes the initiatives undertaken to identify, analyze, model, and manage the principal risks inherent in the transactions of the Exchange Fund Account (EFA), where the international reserves of the federal government are held. The author focuses on five types of risk: credit risk, market risk, liquidity risk, operational risk, and legal risk. In addition, the author presents the risk-management principles underlying the activities of the EFA and the governance structure of the Account. Content Type(s): Publications, Bank of Canada Review articles
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence Staff Working Paper 2006-38 Fousseni Chabi-Yo The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G12, G13
June 7, 2018 Financial System Review - June 2018 This issue of the Financial System Review reflects the Bank’s judgment that high household indebtedness and housing market imbalances remain the most important vulnerabilities. While these vulnerabilities remain elevated, policy measures continue to improve the resilience of the financial system. A third vulnerability highlighted in the FSR concerns cyber threats to an interconnected financial system. Content Type(s): Publications, Financial Stability Report
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 Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C3, C31, C36, E, E4, E41
The International Exposure of the Canadian Banking System Staff Working Paper 2025-1 Christian Friedrich, Hanno Friedrich, Nick Lawrence, Javier Cortes Orihuela, Phoebe Tian In 2023, the share of Canadian banks’ foreign assets and liabilities amounted to around 50%. While Canadian banks engage domestically mostly with households and non-financial corporations, their most common counterparties abroad are non-bank financial institutions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, International financial markets, International topics JEL Code(s): F, F2, F21, F23, F3, F31, F32, G, G2, G21, G23, G3
Regime Switches in the Risk-Return Trade-Off Staff Working Paper 2013-51 Eric Ghysels, Pierre Guérin, Massimiliano Marcellino This paper deals with the estimation of the risk-return trade-off. We use a MIDAS model for the conditional variance and allow for possible switches in the risk-return relation through a Markov-switching specification. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): G, G1, G10, G12
Financial Spillovers Across Countries: The Case of Canada and the United States Staff Discussion Paper 2011-1 Kimberly Beaton, Brigitte Desroches The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Economic models, Financial stability, International topics JEL Code(s): E, E2, E27, E3, E32, F, F3, F36, F4, F40
Liquidation Mechanisms and Price Impacts in DeFi Staff Working Paper 2025-12 Phoebe Tian, Yu Zhu This paper theoretically and empirically examines the price impacts of liquidations in DeFi and how different liquidation mechanisms affect the price impacts. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech JEL Code(s): D, D4, D44, D47, G, G2, G20, G3, G33
February 21, 2025 Tariffs, structural change and monetary policy Remarks Tiff Macklem Mississauga Board of Trade-Oakville Chamber of Commerce Mississauga, Ontario Governor Tiff Macklem discusses the potential impact of a trade conflict with the United States. He also launches the review of the Bank’s monetary policy framework. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Economic models, Housing, Inflation targets, International topics, Monetary policy and uncertainty, Monetary policy framework, Potential output, Productivity, Recent economic and financial developments, Trade integration