Uncategorized

• Bond Liquidity Premia

  Staff Working Paper 2009-28 Jean-Sébastien Fontaine, René Garcia

  Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E4, E43, H, H1, H12

• Risk Premium Shocks and the Zero Bound on Nominal Interest Rates

  Staff Working Paper 2009-27 Robert Amano, Malik Shukayev

  There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52

• Consumption, Housing Collateral, and the Canadian Business Cycle

  Staff Working Paper 2009-26 Ian Christensen, Paul Corrigan, Caterina Mendicino, Shin-Ichi Nishiyama

  Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E4, E44, E5, E52, R, R2, R21
• October 15, 2009

  Results for the 15 October 2009 Term Loan Facility

  The results of today's TLF operation are as follows.

  Content Type(s): Press, Market notices
• October 14, 2009

  Results of the 14 October 2009 Term PRA Transaction for Private Sector Instruments

  Results of today's term PRA operations.

  Content Type(s): Press, Market notices
• October 13, 2009

  Results of the 13 October 2009 Term PRA Transaction

  The results of today's term PRA operations are as follows.

  Content Type(s): Press, Market notices
• October 9, 2009

  Bank of Canada Announces Details of its Term Loan Facility Operation

  In accordance with the schedule of Term Loan Facility (TLF) auctions announced on 21 July (see schedule), the Bank of Canada announced today that it will conduct a TLF operation as follows.

  Content Type(s): Press, Market notices
• October 9, 2009

  Bank of Canada Announces Details of its Term PRA for Private Sector Instruments Operation

  In accordance with the schedule of term purchase and resale agreement (PRA) auctions for private sector instruments announced on 21 July (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation for private sector instruments as follows.

  Content Type(s): Press, Market notices
• October 9, 2009

  Bank of Canada Announces Details of its Term PRA Operation

  In accordance with the schedule of term purchase and resale agreement (PRA) auctions announced on 21 July (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation as follows.

  Content Type(s): Press, Market notices
• October 9, 2009

  Business Outlook Survey - Autumn 2009

  Responses to the autumn survey suggest that the Canadian economy is recovering, as all indicators of business activity have increased since the summer survey. However, because firms continue to expect activity to pick up only gradually, they remain cautious regarding investment.

  Content Type(s): Publications, Business Outlook Survey