Staff research

• October 30, 2013

  Research Update - October 2013

  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.

  Content Type(s): Staff research, Research newsletters

• Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

  Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou

  We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators, Monetary policy and uncertainty JEL Code(s): E, E4

• ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model

  Technical Report No. 100 José Dorich, Michael K. Johnston, Rhys R. Mendes, Stephen Murchison, Yang Zhang

  This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41

• Public/Private Transitions and Firm Financing

  Staff Working Paper 2013-36 Kim Huynh, Teodora Paligorova, Robert Petrunia

  A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial markets JEL Code(s): G, G3, G30, L, L1, L11

• The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada

  Staff Working Paper 2013-35 Mikael Khan, Louis Morel, Patrick Sabourin

  In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy framework JEL Code(s): C, C1, E, E3, E31, E32, E5, E52, E58

• The Safety of Government Debt

  Staff Working Paper 2013-34 Kartik Anand, Prasanna Gai

  We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial stability, International financial markets JEL Code(s): D, D8, D81, E, E4, E44, F, F0, F02, F4, F41, G, G1, G15