September 30, 2023 Access to Information and Privacy (ATIP) The Bank of Canada is subject to the Access to Information Act and the Privacy Act.
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September 30, 2023 Quarterly Research Update – 2023 Q3 This newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
September 30, 2023 Annual Reports, Info Source and Completed Requests Access ATIP annual reports, Information about Programs and Information Holdings and completed ATIP requests.
Predicting Changes in Canadian Housing Markets with Machine Learning Staff discussion paper 2023-21 Johan Brannlund, Helen Lao, Maureen MacIsaac, Jing Yang We apply two machine learning algorithms to forecast monthly growth of house prices and existing homes sales in Canada. Although the algorithms can sometimes outperform a linear model, the improvement in forecast accuracy is not always statistically significant. Content Type(s): Staff research, Staff discussion papers JEL Code(s): A, C, C4, C45, C5, C53, D, D2, R, R2, R3 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Anonymous Credentials: Secret-Free and Quantum-Safe Staff working paper 2023-50 Raza Ali Kazmi, Cyrus Minwalla An anonymous credential mechanism is a set of protocols that allows users to obtain credentials from an organization and demonstrate ownership of these credentials without compromising users’ privacy. In this work, we construct the first secret-free and quantum-safe credential mechanism. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E42, G, G2, G21, O, O3, O31 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Should Banks Be Worried About Dividend Restrictions? Staff working paper 2023-49 Josef Schroth A regulator would want to restrict dividends to force banks to rebuild capital during a crisis. But such a policy is not time-consistent. A time-consistent policy would let banks gradually rebuild capital and pay dividends even when their equity remains below pre-crisis levels. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E1, E13, E3, E32, E4, E44 Research Theme(s): Financial system, Financial stability and systemic risk, Financial system regulation and oversight
Tattle-tails: Gauging downside risks using option prices Staff analytical note 2023-13 Greg Adams, Maksym Tupis Options markets offer unique insights into the changing risks different assets face, which helps us better understand the broader risks to the Canadian economy. We show how option prices help reveal that investors did not anticipate large downside risks to either major Canadian banks or economic growth during the March 2023 financial sector system stress, a period when policy-makers and investors were unsure of what the future held for Canada’s economy. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E44, E5, E52 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Household and business credit
September 25, 2023 CARR Meeting (September 25, 2023) Content Type(s): Meetings Source(s): Canadian Alternative Reference Rate Working Group
September 25, 2023 Bank of Canada settlement account access policy for the Real-Time Rail This policy establishes the requirements that the applicant must meet for the Bank of Canada to consider granting a settlement account for the Real-Time Rail.