Shorter analysis of markets and policy, written for practitioners and policy-makers and published through the Bank of Canada or practitioner-oriented journals.
Crisis and interventionsTop ↑
- Will Asset Managers Dash for Cash? Implications for Central BanksThe closing chapter of a COVID trilogy: asset managers’ demand for liquidity could outrun dealers’ capacity, and central banks may need new tools ready before it does.Plain-language summary
- COVID-19 Crisis: Lessons Learned for Future Policy ResearchA year on from March 2020, a review of what happened in Canadian fixed-income markets — and an agenda of the questions the episode left open.
- COVID-19 and Bond Market Liquidity: Alert, Isolation and RecoveryThree phases in the spring of 2020: dealers absorbed the first wave of selling, then pulled back as conditions deteriorated sharply, then steadied once the Bank of Canada intervened.
- Improving the Resilience of Core Funding MarketsWritten just after 2008: core funding markets have no substitutes, so a seizure spreads — hence central clearing in repo, and tools settled in advance.
Bond marketTop ↑
- How Much Risk in U.S. Government Bond Markets Is Transmitted to Their Canadian Counterparts?Tail dependence in practice: when the U.S. premium jumped in December 2024, the dependence between the two markets shifted sharply.
- The Boundaries of Bank Funding: The Case of Canadian Cash ETFsBank regulation pushes asset managers out of bank deposits — after OSFI’s 2023 clarification, banks cut the yields they offered and the ETFs moved into money-market securities.
- Will Exchange-Traded Funds Shape the Future of Bond Dealing?Dealers used to hold bonds in inventory until a client wanted them; the ETF offers a warehouse to draw on instead — which could reshape how bond markets work.
- Relative Value of Government of Canada BondsBonds promising almost the same payoff trade at different prices — the ones traded more, and rented out more richly in repo, cost more, and those advantages can vanish fast.
- What Drives Episodes of Settlement Fails in the Government of Canada Bond Market?Settlement fails cluster rather than occur at random: after surprise announcements, in heavily borrowed bonds, when rates are low — pointing to the borrowing market as the place to fix.
- Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?Simple proxies like bid-ask spreads track the richer liquidity measures well for benchmark bonds and short maturities — useful, since most Canadian bonds trade too rarely for anything better.
- Foreign Flows and Their Effects on Government of Canada YieldsForeign buying took roughly 100 basis points off the Canadian 10-year yield between 2009 and 2012, and worked through risk premiums rather than expected policy rates.
- Access, Competition and Risk in Centrally Cleared MarketsCentral clearing can widen access and sharpen competition, but dealers prefer the gates kept narrow — limited liability spares them the default costs, so access rules need watching.
Repo marketTop ↑
- A Buoy on Funding Tides: How Client Repo Demand and Dealer Constraints Lifted CORRAIn the fall of 2025, an imbalance between repo borrowers and lenders pushed CORRA above target — proof that dealer balance-sheet constraints can strain funding even when settlement balances look sufficient.
- The Dealer-to-Client Repo Market: A Buoy on a Swaying SeaIn 2024, a $30-billion jump in hedge-fund borrowing piled onto dealer balance sheets — dealers responded by raising rates, and market power, not shrinking settlement balances, increasingly drove CORRA’s rise above target.
- Price Caps in Canadian Bond Borrowing MarketsCanadian bond-borrowing markets carry an implicit price cap — traders won’t pay more than the overnight rate to borrow a bond — so shortages, like 1970s gasoline lines, grow likelier when rates are very low.
- Repo Market Functioning when the Interest Rate Is Low or NegativeGeneral collateral repo keeps functioning even at low or negative rates, the evidence suggests — but persistent settlement fails become likely when low rates, large short positions and a policy surprise all coincide.
- Securities Financing and Bond Market LiquidityAs Basel III and central clearing reshape incentives, securities financing — funding dealer inventories, sourcing scarce bonds, enabling reuse — keeps bond markets liquid, but rising settlement fails suggest that support may be fraying.
Interest rates and monetary policyTop ↑
- Macro News in Market Moves: Classifying News through Asset Co-movements
- The Secular Decline of Forecasted Interest Rates
- Unconventional Monetary Policy: The Perspective of a Small Open Economy
Exchange ratesTop ↑
- Monetary Policy, Interest Rates and the Canadian Dollar
- Real Exchange Rate Decompositions
- The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
- The Share of Systematic Variations in the Canadian Dollar — Part III
- The Share of Systematic Variations in the Canadian Dollar — Part II
- The Share of Systematic Variations in the Canadian Dollar — Part I
Equity marketsTop ↑
- It Takes a Panel to Predict the Future: What the Stock Market Says about Future Economic Growth in Canada
- What Cured the TSX Equity Index after COVID-19?
- Canadian Stock Market since COVID-19: Why a V-Shaped Price Recovery?