February 1, 2012 Managing Operational Risk in Clearing and Settlement Systems Financial System Review - June 2003 Kim McPhail Content Type(s): Publications, Financial System Review articles
Monetary Policy, Trends in Real Interest Rates and Depressed Demand Staff working paper 2021-27 Paul Beaudry, Césaire Meh Over the last few decades, real interest rates have trended downward. The most common explanation is that this reflects depressed demand due to demographic, technological and other real factors. We explore the claim that these trends may have been amplified by certain features of monetary policy. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E4, E43, E44, E5, E52, E6, E62, E63, H, H3, H6, H63 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting
February 1, 2012 The Syndicated Loan Market: Developments in the North American Context Financial System Review - June 2003 Jim Armstrong Content Type(s): Publications, Financial System Review articles
June 13, 2013 The Basel III Liquidity Standards: An Update Financial System Review - June 2013 Carolyn A. Wilkins, Tamara Gomes Content Type(s): Publications, Financial System Review articles
Assessing the US and Canadian neutral rates: 2024 update Staff analytical note 2024-9 Frida Adjalala, Felipe Alves, Hélène Desgagnés, Wei Dong, Dmitry Matveev, Laure Simon We assess both the US and Canadian nominal neutral rates to be in the range of 2.25% to 3.25%, somewhat higher than the range of 2.0% to 3.0% in 2023. The assessed range is back to the level it was at in April 2019. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, Demographics and labour supply
Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada Staff discussion paper 2024-9 Bruno Feunou, Zabi Tarshi We present two models for long-term inflation expectations and inflation risk premiums for Canada. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C58, E, E4, E43, E47, G, G1, G12 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada? Staff discussion paper 2023-13 Marc-André Gosselin, Temel Taskin We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C1, C3, E, E3, E5 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
On the Tail Risk Premium in the Oil Market Staff working paper 2017-46 Reinhard Ellwanger This paper shows that changes in market participants’ fear of rare events implied by crude oil options contribute to oil price volatility and oil return predictability. Using 25 years of historical data, we document economically large tail risk premia that vary substantially over time and significantly forecast crude oil futures and spot returns. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, C58, D, D8, D84, E, E4, E44, G, G1, G12, G13, Q, Q4, Q43 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Monetary policy, Inflation dynamics and pressures, Structural challenges, International trade, finance and competitiveness
A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth Staff discussion paper 2017-8 Tony Chernis, Gabriella Velasco, Calista Cheung This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months). Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C53, E, E3, E32, E37, R, R1, R11 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
June 8, 2017 Canada’s International Investment Position: Benefits and Potential Vulnerabilities Financial System Review - June 2017 Gabriel Bruneau, Maxime Leboeuf, Guillaume Nolin While greater global financial integration is beneficial, the authors discuss how foreign capital inflows can also facilitate the buildup of domestic vulnerabilities and potentially lead to destabilizing reversals. Canada’s current international investment position is typical of advanced economies and will likely continue to act as an economic stabilizer. However, the growth and composition of Canada’s international investment position warrant continued monitoring. Content Type(s): Publications, Financial System Review articles JEL Code(s): F, F2, F21, F3, F32, F34, F36, F4, F6