Financial markets

• May 20, 2020

  Decisive actions in difficult times

  Timothy Lane CFA Society Winnipeg and the Manitoba Association for Business Economics Winnipeg, Manitoba

  Deputy Governor Timothy Lane talks about the Bank’s decisive actions in response to COVID-19, and how these will help Canadians now and in the future.

  Content Type(s): Press, Speeches Topic(s): Credit and credit aggregates, Credit risk management, Domestic demand and components, Financial institutions, Financial markets, Financial services, Financial stability, Fiscal policy, Housing, Inflation and prices, Inflation targets, Interest rates, International financial markets, Labour markets, Lender of last resort, Market structure and pricing, Monetary policy, Monetary policy implementation, Productivity, Recent economic and financial developments, Service sector, Trade integration, Transmission of monetary policy, Uncertainty and monetary policy
• May 20, 2020

  Policies for the Great Global Shutdown and Beyond

  Remarks Timothy Lane CFA Society Winnipeg and Manitoba Association for Business Economics Winnipeg, Manitoba

  Deputy Governor Timothy Lane explains how the Bank is helping Canadian households and businesses weather the COVID-19 crisis, and how our actions today are laying a solid foundation for our future economic recovery.

  Content Type(s): Press, Speeches Topic(s): Credit and credit aggregates, Credit risk management, Domestic demand and components, Financial institutions, Financial markets, Financial services, Financial stability, Fiscal policy, Housing, Inflation and prices, Inflation targets, Interest rates, International financial markets, Labour markets, Lender of last resort, Market structure and pricing, Monetary policy, Monetary policy implementation, Productivity, Recent economic and financial developments, Service sector, Trade integration, Transmission of monetary policy, Uncertainty and monetary policy
• May 14, 2020

  Release of the Financial System Review

  Opening Statement Stephen S. Poloz Ottawa, Ontario

  Press conference following the release of the Financial System Review.

  Content Type(s): Press, Speeches Topic(s): Credit and credit aggregates, Financial markets, Financial stability, Financial system regulation and policies, Recent economic and financial developments
• May 4, 2020

  Bridge to Recovery: The Bank’s COVID-19 Pandemic Response

  Remarks Carolyn A. Wilkins C.D. Howe Institute Toronto, Ontario

  Senior Deputy Governor Carolyn A. Wilkins discusses measures the Bank has taken to address the COVID-19 pandemic and set the stage for recovery.

  Content Type(s): Press, Speeches Topic(s): Business fluctuations and cycles, Financial institutions, Financial markets, Recent economic and financial developments, Transmission of monetary policy, Uncertainty and monetary policy

• A Simple Method for Extracting the Probability of Default from American Put Option Prices

  Staff Working Paper 2020-15 Bo Young Chang, Greg Orosi

  A put option is a financial contract that gives the holder the right to sell an asset at a specific price by (or at) a specific date. A put option can therefore provide its holder insurance against a large drop in the stock price. This makes the prices of put options an ideal source of information for a market-based measure of the probability of a firm’s default.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset pricing, Financial markets, Market structure and pricing JEL Code(s): G, G1, G13, G3, G33

• Learning, Equilibrium Trend, Cycle, and Spread in Bond Yields

  Staff Working Paper 2020-14 Guihai Zhao

  Given that the stochastic discount factor (SDF) from any equilibrium model has direct implications for yield curves, the historical dynamics of the US Treasury yield curve should tell us what a good SDF should look like from a historical perspective.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12

• Optimal Taxation in Asset Markets with Adverse Selection

  Staff Working Paper 2020-11 Mohammad Davoodalhosseini

  Consider markets for assets traded over the counter such as mortgage-backed securities and corporate bonds. Sellers in these markets may have more information on the value of their assets and their liquidity needs than buyers do. Also, sellers and buyers must search for trade partners, which is time-consuming and costly.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): D, D8, D82, D83, E, E2, E24, G, G1, G10, J, J3, J31, J6, J64

• The Effect of Oil Price Shocks on Asset Markets: Evidence from Oil Inventory News

  Staff Working Paper 2020-8 Ron Alquist, Reinhard Ellwanger, Jianjian Jin

  We quantify the reaction of U.S. equity, bond futures, and exchange rate returns to oil price shocks driven by oil inventory news.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Recent economic and financial developments JEL Code(s): D, D8, D83, E, E4, E44, G, G1, G14, G15, Q, Q4, Q41, Q43

• Contagion in Dealer Networks

  Staff Working Paper 2020-1 Jean-Sébastien Fontaine, Adrian Walton

  Dealers connect investors who want to buy or sell securities in financial markets. Over time, dealers and investors form trading networks to save time and resources. An emerging field of research investigates how networks form.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): E, E4, G, G1, G2, G21, L, L1, L14

• Creations and Redemptions in Fixed-Income Exchange-Traded Funds: A Shift from Bonds to Cash

  Staff Analytical Note 2019-34 Rohan Arora, Sébastien Betermier, Guillaume Ouellet Leblanc, Adriano Palumbo, Ryan Shotlander

  The creation and redemption activity of fixed-income exchange-traded funds listed in the United States has shifted. Funds of established issuers have traditionally exchanged their shares for baskets of bonds. In contrast, young funds managed by new issuers tend to create and redeem their shares almost exclusively in cash. Cash transactions imply that new funds are taking on exposure to liquidity risk. This has implications for financial stability.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23