The Impact of Globalization and Digitalization on the Phillips Curve Staff Working Paper 2022-7 Christian Friedrich, Peter Selcuk Globalization is in retreat, yet digitalization is on the rise. How will these trends impact inflation? Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, International topics, Labour markets, Recent economic and financial developments, Trade integration JEL Code(s): E, E3, E31, E32, F, F6
Asset Allocation Using Extreme Value Theory Staff Working Paper 2002-2 Younes Bensalah This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1
June 21, 2008 Financial Market Turmoil and Central Bank Intervention Financial System Review - June 2008 Walter Engert, Jack Selody, Carolyn A. Wilkins In this article, we consider central bank intervention to address financial market turmoil with a focus on the questions of why, when, and how a central bank might intervene. We set out a policy framework and identify appropriate central bank instruments to respond to extraordinary financial market turmoil, consistent with central bank policy goals and functions. Content Type(s): Publications, Financial System Review articles
U.S. Macroeconomic News and Low-Frequency Changes in Small Open Economies’ Bond Yields Staff Working Paper 2024-12 Bingxin Ann Xing, Bruno Feunou, Morvan Nongni-Donfack, Rodrigo Sekkel Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods JEL Code(s): E, E4, E43, E44, E47, G, G1, G14
May 16, 2016 A New Era of Central Banking: Unconventional Monetary Policies Bank of Canada Review - Spring 2016 Eric Santor, Lena Suchanek Central banks can implement unconventional monetary policy measures to provide additional easing when policy interest rates come close to their lower limit. To date, the international experience with tools such as quantitative easing and negative interest rates has been largely positive. Central banks may also use several such measures simultaneously, with often mutually reinforcing effects. Yet, unconventional tools are also subject to potential limits, and the costs associated with these measures could rise with extensive and prolonged use. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, International topics, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E61, E65
The Mode is the Message: Using Predata as Exclusion Restrictions to Evaluate Survey Design Staff Working Paper 2017-43 Heng Chen, Geoffrey R. Dunbar, Rallye Shen Changes in survey mode (e.g., online, offline) may influence the values of survey responses, and may be particularly problematic when comparing repeated cross-sectional surveys. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C8
Potential output and the neutral rate in Canada: 2021 update Staff Analytical Note 2021-6 Dany Brouillette, Guyllaume Faucher, Martin Kuncl, Austin McWhirter, Youngmin Park We expect potential output growth to be higher than in the October 2020 reassessment. By 2024, growth will be slightly above its average growth from 2010 to 2019. We assess that the Canadian nominal neutral rate continues to lie in the range of 1.75 to 2.75 percent. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Economic models, Interest rates, Labour markets, Monetary policy, Potential output, Productivity JEL Code(s): E, E2, E23, E24, E3, E37, E4, E43, E5, E52
June 11, 2015 Canadian Open-End Mutual Funds: An Assessment of Potential Vulnerabilities Financial System Review - June 2015 Sandra Ramirez, Jesus Sierra, Jonathan Witmer The authors examine the liquidity and leverage characteristics of Canadian long-term, open-end mutual funds in terms of their potential systemic effects on the Canadian mutual fund sector and on the Canadian financial system more broadly. In their overall assessment of this sector, they consider the regulation, market size and ownership structure of mutual funds in Canada and provide observations about the industry globally. Content Type(s): Publications, Financial System Review articles Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G2, G23, G28
Measuring Systemic Risk Across Financial Market Infrastructures Staff Working Paper 2016-10 Fuchun Li, Héctor Pérez Saiz We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23
Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined? Technical Report No. 76 John Murray, Simon van Norden, Robert Vigfusson Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system. Content Type(s): Staff research, Technical reports Research Topic(s): Exchange rates JEL Code(s): C, C4, C40, F, F3, F31