Credit and credit aggregates, Lender of last resort, Monetary and financial indicators, Financial institutions, Financial markets, International financial markets, Monetary policy implementation, Financial system regulation and policies, Financial services, Financial stability, Market structure and pricing, Payment clearing and settlement systems
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Announcing the Bankers’ Acceptance Purchase Facility: a COVID‑19 event study
The Bank of Canada launched the Bankers’ Acceptance Purchase Facility (BAPF) to ensure that the bankers’ acceptance (BA) market could continue to function well during the financial crisis induced by the COVID‑19 pandemic. We review the impact that the announcement of this facility had on BA yields in the secondary market. We find that BA yield spreads declined by 15 basis points on the day of the announcement and by up to 70 basis points over a longer period. Using an econometric framework, we quantify the effect of the announcement and confirm early assertions presented in the Bank’s 2020 Financial System Review. -
Canadian stock market since COVID‑19: Why a V-shaped price recovery?
Between February 19 and March 23, 2020, the Canadian stock market plunged due to the severe economic impact of COVID-19. By the end of the summer, the stock market had already recovered a significant portion of its losses, leaving many asking if investors see the economy through rose-coloured glasses. Despite these concerns, we find that current market valuations for companies on the Toronto Stock Exchange align well, on average, with the declines in earning forecasts observed since the start of the year. We also find these market valuations are consistent with the discount rate returning to its pre-pandemic level. -
On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity
Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors. -
October 8, 2020
COVID‑19 and the financial system
Governor Tiff Macklem discusses financial risks from the COVID-19 pandemic that are affecting our economy and that could shape how well it recovers. He also talks about financial risks from climate change. -
October 8, 2020
From COVID to climate—the importance of risk management
Governor Tiff Macklem discusses the importance of financial risk management as Canada recovers from the pandemic, and as it deals with issues like climate change. -
Security and convenience of a central bank digital currency
An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions.