E4 - Money and Interest Rates

• What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

  Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin

  This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44
• May 16, 2016

  Estimating Canada’s Effective Lower Bound

  Bank of Canada Review - Spring 2016 Jonathan Witmer, Jing Yang

  Recently, the Bank of Canada has estimated the effective lower bound (ELB) on its policy interest rate to be about -50 basis points. This article outlines the analysis that underpins that estimate by quantifying the costs of storing and using cash in Canada. It also explores how some international markets have adapted to negative interest rates, issues surrounding their implementation, as well as their transmission to other interest rates in the economy. Finally, it discusses theoretical ideas on how the ELB could be reduced further.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Monetary policy framework, Monetary policy implementation, Monetary policy transmission JEL Code(s): D, D5, D53, E, E4, E43, E5, E52, E58
• May 16, 2016

  The Micro and Macro of Downward Nominal Wage Rigidity

  Bank of Canada Review - Spring 2016 Robert Amano, Dany Brouillette, Stefano Gnocchi, Natalia Kyui

  The article examines the extent of downward nominal wage rigidity in Canada and its implications for monetary policy. The authors ask whether its existence is a sufficient argument for a higher inflation target if concerns about the effective lower bound are adequately addressed.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Inflation and prices, Inflation targets, Labour markets, Monetary policy framework JEL Code(s): E, E3, E4, E5, J, J2, J23, J3, J30