E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit

• A Simple Test of Simple Rules: Can They Improve How Monetary Policy is Implemented with Inflation Targets?

  Staff Working Paper 2003-31 Nicholas Rowe, David Tulk

  The authors evaluate whether an assortment of simple rules could improve how the Bank of Canada implements its inflation-targeting monetary policy. They focus on measuring the correlation between the deviations of inflation from the target and the lagged deviations of rule recommendations from the actual policy interest rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Monetary policy implementation JEL Code(s): E, E5

• Monetary Policy in Estimated Models of Small Open and Closed Economies

  Staff Working Paper 2003-27 Ali Dib

  The author develops and estimates a quantitative dynamic-optimizing model of a small open economy (SOE) with domestic and import price stickiness and capital-adjustment costs. A monetary policy rule allows the central bank to systematically manage the short-term nominal interest rate in response to deviations of inflation, output, and money growth from their steadystate levels.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Exchange rates, Monetary policy transmission JEL Code(s): E, E3, E31, E5, E52, F, F2, F3

• The Construction of Continuity-Adjusted Monetary Aggregate Components

  Staff Working Paper 2003-22 Jeannie Kottaras

  Changes in the financial industry result in new data that are inconsistent with the former presentation, and therefore adjustments are required to "adjust" or smooth out these breaks to establish continuity.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E5, E51

• Dynamic Factor Analysis for Measuring Money

  Staff Working Paper 2003-21 Paul Gilbert, Lise Pichette

  Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary aggregates, Monetary and financial indicators JEL Code(s): C, C4, C43, C8, C82, E, E5, E51

• Some Notes on Monetary Policy Rules with Uncertainty

  Staff Working Paper 2003-16 Gabriel Srour

  The author explores the role that Taylor-type rules can play in monetary policy, given the degree of uncertainty in the economy. The optimal rule is derived from a simple infinite-horizon model of the monetary transmission mechanism, with only additive uncertainty.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52

• An Index of Financial Stress for Canada

  Staff Working Paper 2003-14 Mark Illing, Ying Liu

  The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets JEL Code(s): E, E5, G, G1, G10

• Collateral and Credit Supply

  Staff Working Paper 2003-11 Joseph Atta-Mensah

  The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Economic models JEL Code(s): E, E5, E51, G, G1, G11, G12, G13

• Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy

  Staff Working Paper 2003-9 Joseph Atta-Mensah, Ali Dib

  The authors use a dynamic general-equilibrium model to study the role financial frictions play as a transmission mechanism of Canadian monetary policy, and to evaluate the real effects of exogenous credit shocks. Financial frictions, which are modelled as spreads between deposit and loan interest rates, are assumed to depend on economic activity as well as on credit shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E32, E4, E5, E51

• A Comparison of Twelve Macroeconomic Models of the Canadian Economy

  Technical Report No. 94 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant

  In this report, the authors examine and compare twelve private and public sector models of the Canadian economy with respect to their paradigm, structure, and dynamic properties. These open-economy models can be grouped into two economic paradigms.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy and uncertainty JEL Code(s): C, C5, E, E5, E52, E58

• Money in the Bank (of Canada)

  Technical Report No. 93 David Longworth

  With the demise of monetary targeting over the past 20 years in many major countries, the question has arisen as to whether central banks should look at money at all when formulating and conducting monetary policy.

  Content Type(s): Staff research, Technical reports Topic(s): Monetary aggregates, Monetary policy transmission JEL Code(s): E, E5, E50, E51, E52