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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...

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...

On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity

Various business interactions of banks create a network of hidden relationships, which cannot be directly inferred from the correlation of bank stock returns. Without causality, it remains unclear how policy interventions change the network. Thus, this paper aims to find the causal network as anticipated by investors.

Research Update - September 2020

This monthly 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.

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.

Interbank Asset-Liability Networks with Fire Sale Management

Raising liquidity when funding is stressed creates pressure on the financial market. Liquidating large quantities of assets depresses their prices and may amplify funding shocks. How do banks weathering a funding crisis contribute to contagion risk?

Forward Guidance and Expectation Formation: A Narrative Approach

How exactly does forward guidance influence interest rate expectations?

The New Benchmark for Forecasts of the Real Price of Crude Oil

How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought.

Cyclicality of Schooling: New Evidence from Unobserved Components Models

What is the time-varying impact of economic cycles on decisions to invest in human capital?

Predicting Payment Migration in Canada

Developments are underway to replace Canada’s two core payment systems with three new systems. We use a discrete choice model to predict migration patterns of end-users and financial institutions for future systems and discuss their policy implications.

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