June 9, 2016 Large Canadian Public Pension Funds: A Financial System Perspective Financial System Review - June 2016 Guillaume Bédard-Pagé, Annick Demers, Eric Tuer, Miville Tremblay The authors review the eight largest public pension funds in Canada. These funds are an important source of retirement income for Canadians. They are also significant investors, with net assets under management of over $1 trillion. The authors outline the investment strategies of the funds and how they interact with financial institutions and participate in financial markets. They also discuss the ways in which the funds’ risk-management frameworks could contribute to financial system stability and how they minimize potential vulnerabilities. Content Type(s): Publications, Financial System Review articles Topic(s): Financial institutions, Financial stability, International financial markets JEL Code(s): G, G1, G11, G2, G23
April 5, 2016 China’s Great Transition: What It Means for Canada Remarks Carolyn A. Wilkins Greater Vancouver Board of Trade Vancouver, British Columbia Senior Deputy Governor Carolyn Wilkins discusses the risks and opportunities for Canada of China’s economic transition. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Financial stability, International financial markets, International topics, Monetary policy, Monetary policy and uncertainty, Trade integration
The Dynamics of Capital Flow Episodes Staff Working Paper 2016-9 Christian Friedrich, Pierre Guérin This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International financial markets, International topics, Monetary policy and uncertainty JEL Code(s): F, F2, F21, F3, F32, G, G1, G11
Limits to Arbitrage and Deviations from Covered Interest Rate Parity Staff Discussion Paper 2016-4 James Pinnington, Maral Shamloo We document an increase in deviations from short-term covered interest rate parity (CIP) in the first half of 2015. Since the Swiss National Bank’s (SNB) decision to abandon its minimum exchange rate policy, both the magnitude and volatility of deviations from CIP have increased across several currency pairs. The effect is particularly pronounced for pairs involving the Swiss franc. Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates, International financial markets JEL Code(s): F, F3, F31, G, G1, G15
January 7, 2016 Life After Liftoff: Divergence and U.S. Monetary Policy Normalization Remarks Stephen S. Poloz The Mayor’s Breakfast Series Ottawa, Ontario Governor Poloz talks about the global commodity price shock and how it is leading to economic and financial divergence. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Domestic demand and components, Exchange rates, Inflation targets, Interest rates, International financial markets, Monetary policy
Tractable Term Structure Models Staff Working Paper 2015-46 Bruno Feunou, Jean-Sébastien Fontaine, Anh Le, Christian Lundblad We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Interest rates, International financial markets, International topics, Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): G, G1, G12
Foreign Flows and Their Effects on Government of Canada Yields Staff Analytical Note 2015-1 Bruno Feunou, Jean-Sébastien Fontaine, James Kyeong, Jesus Sierra Foreign investment flows into Government of Canada (GoC) bonds have surged since the financial crisis. Our empirical analysis suggests that foreign flows of $150 billion lowered the 10-year GoC bond yield by 100 basis points between 2009 and 2012. Content Type(s): Staff research, Staff analytical notes Topic(s): International financial markets, International topics, Monetary policy transmission JEL Code(s): F, F3, F32
Domestic and Multilateral Effects of Capital Controls in Emerging Markets Staff Working Paper 2015-37 Gurnain Pasricha, Matteo Falagiarda, Martin Bijsterbosch, Joshua Aizenman Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial system regulation and policies, International financial markets, International topics, Monetary policy framework JEL Code(s): F, F3, F32, F4, F41, F42, G, G1, G15
June 25, 2015 Building Trust, Not Walls: The Case for Cross-Border Financial Integration Remarks Lawrence L. Schembri Windsor–Essex Regional Chamber of Commerce Windsor, Ontario Deputy Governor Lawrence Schembri discusses the need to address cross-border obstacles to greater financial integration. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Financial institutions, Financial markets, Financial stability, Financial system regulation and policies, International financial markets, International topics
June 8, 2015 Panel remarks for round table discussion at the 21st Conference of Montréal Remarks Carolyn A. Wilkins 21st Conference of Montréal: International Economic Forum of the Americas Montréal, Quebec Introduction Thank you for the invitation to be here today. I’m honoured to be part of this panel. It’s been more than seven years since the global financial crisis began, and we’re still coping with its aftermath. One of the consequences of the crisis has been a disruption of financial globalization. Global capital flows—to give […] Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Credit risk management, Financial markets, Financial stability, Financial system regulation and policies, International financial markets, International topics