E - Macroeconomics and Monetary Economics

• The Zero Bound on Nominal Interest Rates: How Important Is It?

  Staff Working Paper 2001-6 David Amirault, Brian O'Reilly

  This paper surveys the literature on the zero bound on the nominal interest rate. It addresses questions ranging from the conditions under which the zero bound on the nominal interest rate might occur to policy options to avoid or use to exit from such a situation. We discuss literature that examines historical and country evidence, and literature that uses models to generate evidence on this question.

  Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Inflation targets, Monetary policy transmission JEL Code(s): E, E3, E31, E5, E52, E58, E6, E61

• Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency

  Staff Working Paper 2001-5 Toni Gravelle, Richhild Moessner

  In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We find that Canadian interest rates react very little to Canadian macroeconomic news and are significantly affected by U.S. macroeconomic news, which indicates that international influences on the Canadian fixed-income markets are important.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Monetary policy implementation JEL Code(s): E, E0, E4, E5

• On the Nature and the Stability of the Canadian Phillips Curve

  Staff Working Paper 2001-4 Maral Kichian

  This paper empirically determines why, during the 1990s, inflation in Canada was consistently more stable than predicted by the fixed-coefficients Phillips curve. A time-varying-coefficient model, where all the parameters adjust simultaneously, shows that the behaviour of expectations was probably a major contributing factor.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E37

• On Commodity-Sensitive Currencies and Inflation Targeting

  Staff Working Paper 2001-3 Kevin Clinton

  Two aspects of the recent monetary history of Canada, Australia, and New Zealand stand out: the sensitivity of their dollars to prices of resource-based commodities, and inflation targeting. This paper explores various aspects of these phenomena.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation targets, International topics, Monetary policy implementation JEL Code(s): E, E3, E31, E5, E52, F, F3, F31, F4, F42

• The Elements of the Global Network for Large-Value Funds Transfers

  Staff Working Paper 2001-1 James Dingle

  The author describes the various elements of the global payment network for large-value funds transfers (G-LVTN) in order to provide a convenient reference document intended for readers in the academic, legal, and financial communities.

  Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E40, E6, E61

• Core Inflation

  Technical Report No. 89 Seamus Hogan, Marianne Johnson, Thérèse Laflèche

  The Bank of Canada uses core CPI inflation, the year-over-year rate of change of the consumer price index excluding food, energy, and the effects of changes in indirect taxes, as the operational guide for monetary policy.

  Content Type(s): Staff research, Technical reports Topic(s): Inflation and prices JEL Code(s): E, E3, E31

• Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis

  Staff Working Paper 2000-18 Brian O'Reilly, Mylène Levac

  This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E5, E6

• Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis

  Staff Working Paper 2000-12 Hashmat Khan

  The sticky-price model of aggregate fluctuations implies that countries with high trend inflation rates should exhibit less-persistent output fluctuations than countries with low trend inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E31, E32

• Fractional Cointegration and the Demand for M1

  Staff Working Paper 2000-13 Greg Tkacz

  Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C1, C13, E, E4, E41

• Identifying Policy-makers' Objectives: An Application to the Bank of Canada

  Staff Working Paper 2000-11 Nicholas Rowe, James Yetman

  In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets JEL Code(s): E, E5, E52, E6, E61