Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. The risk-free government zero-coupon term structure is, however, not directly observable and needs to be generated from...

Financial market expectations regarding future policy actions by the Bank of Canada are an important input into the Bank's decision-making process, and they can be measured using a variety of sources. The author develops a simple expectations-based model to focus on measuring interest rate...

This paper examines the behaviour of the Canadian dollar from 1997 to 1999 to see if there is any evidence of excess volatility or significant overshooting. A small econometric model of the exchange rate, based on market fundamentals, is presented and used to make tentative judgments about the...

Canada's foreign exchange reserves are owned by the federal government, but jointly managed under a relatively unique framework that is based on a partnership between the government and the central bank. This partnership is supported by a well-defined governance structure that ensures that the...

The economic lockdowns that began in March 2020 in response to the COVID-19 pandemic led to an unparalleled level of financial market disruption. Investors sought liquidity by selling financial assets and drawing down loans and credit lines. The speed, scale and one-way nature of these...

This paper summarizes the literature on the performance of various extended monetary policy tools when conventional policy rates are constrained by the effective lower bound. We highlight issues that may arise when these tools are used by central banks of small open economies. Tools that have...