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452 Results

An update on the Canadian money market mutual fund sector

Staff Analytical Note 2025-25 Jabir Sandhu, Sofia Tchamova, Rishi Vala
We examine the Canadian money market fund (MMF) sector and find that it has grown rapidly, holding a large share of treasury bills and commercial paper. Unlike in some other jurisdictions where investor outflows likely amplified stresses, Canadian MMFs experienced inflows during the March 2020 market turmoil.

The increasing role of hedge funds in Government of Canada bond auctions

Staff Analytical Note 2025-22 Adam Epp, Jeffrey Gao
We find that the rise in Government of Canada debt issuance correlates to growing participation of hedge funds in bond auctions since 2020. This increased participation supports the cost-effective distribution of Canada’s debt, but it also represents a potential vulnerability because hedge funds have a greater flight risk than other investor types.
September 23, 2025

Global trade, capital flows and Canada’s prosperity

Remarks Tiff Macklem Saskatchewan Trade and Export Partnership and the Greater Saskatoon Chamber of Commerce Saskatoon, Saskatchewan
Governor Tiff Macklem discusses four megatrends that are transforming the global economic and financial landscape. He outlines how US tariffs are affecting the Canadian economy and what structural changes are needed to ensure Canada’s prosperity.
September 23, 2025

Time to roll up our sleeves

Speech summary Tiff Macklem Saskatchewan Trade and Export Partnership and the Greater Saskatoon Chamber of Commerce Saskatoon, Saskatchewan
Governor Tiff Macklem outlines four megatrends that are transforming the global economic and financial landscape. He also talks about the structural reform needed to ensure Canada’s long-term prosperity.

Financial Shocks and the Output Growth Distribution

This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product.

Firm Heterogeneity and Adverse Selection in External Finance: Micro Evidence and Macro Implications

Staff Working Paper 2025-20 Xing Guo, Pablo Ottonello, Thomas Winberry, Toni Whited
We develop a heterogeneous firm macro model with private information and quantify the aggregate relevance of asymmetric information. We find that a spike in private information account for 40% of the decline in aggregate investment during the 2007-2009 financial crisis and made monetary stimulus significantly less effective.

On-the-run Premia, Settlement Fails, and Central Bank Access

Staff Working Paper 2025-19 Fabienne Schneider
The premium on “on-the-run” Treasuries is an anomaly. I explain it using a model in which primary dealers hold inventories of Treasuries. I use the model to analyze the effects of granting access to central bank facilities.

The Dynamic Canadian Debt Strategy Model

Technical Report No. 127 Nicolas Audet, Joe Ning, Adam Epp, Jeffrey Gao
We present a dynamic debt strategy model framework designed to assist sovereign debt portfolio managers in choosing an optimal debt issuance strategy. The main innovation of this framework is the introduction of dynamic issuance strategies, which allow issuance decisions to vary over time based on the model’s simulated state variables.

The impact of trading flows on Government of Canada bond prices

Staff Analytical Note 2025-20 Andreas Uthemann, Rishi Vala, Jun Yang
Trading flows affect Government of Canada bond prices. Our estimates suggest a sale of 1% of the available supply of bonds typically lowers bond prices by 0.2%. From 2000 to 2025, demand from institutional investors, such as Canadian pension funds and foreign investors, explains 69% of quarterly price variation, with the remainder explained by changes in the supply of bonds.

The Optimum Quantity of Central Bank Reserves

Staff Working Paper 2025-15 Jonathan Witmer
This paper analyzes the optimal quantity of central bank reserves in an economy where reserves and other financial assets provide liquidity benefits. Using a static model, I derive a constrained Friedman rule that characterizes the socially optimal level of reserves, demonstrating that this quantity is neither necessarily large nor small but depends on the marginal benefits of reserves relative to alternative safe assets.
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