Interest rates

• December 13, 1999

  Feedback Rules for Inflation Control: An Overview of Recent Literature

  Bank of Canada Review - Winter 1999–2000 Agathe Côté, Jamie Armour

  Feedback rules are rules aimed at guiding policy-makers as they face the problem of keeping inflation close to a desired path without causing variability elsewhere in the economy. These rules link short-term interest rates, controlled by the central bank, to the rate of inflation and/or its deviation from a target rate. The authors describe the most popular types of feedback rules and review some simulation results.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Interest rates

• The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada

  Staff Working Paper 1999-20 Ron Lange

  This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […]

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates JEL Code(s): E, E4, E43

• Estimating One-Factor Models of Short-Term Interest Rates

  Staff Working Paper 1999-18 Des Mc Manus, David Watt

  There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10

• The Information Content of Interest Rate Futures Options

  Staff Working Paper 1999-15 Des Mc Manus

  Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): G, G1, G14

• Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets

  Staff Working Paper 1999-6 Ben Fung, Scott Mitnick, Eli Remolona

  Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Inflation and prices, Interest rates, International topics JEL Code(s): E, E4, E43, G, G1, G12, G15