August 19, 2010
Staff research, Publications
-
-
August 19, 2010
Bank of Canada Review - Summer 2010
Examination of how, when the policy interest rate is at or near zero, different monetary policy frameworks might help to lower the risk and economic cost of such a scenario; review of the findings of recent Bank of Canada research on the relative merits of inflation targeting and price-level targeting (PLT) for a small open economy; examination of monetary policy being used to counteract financial imbalances; conference summary: new frontiers in monetary policy design. -
Identifying Asymmetric Comovements of International Stock Market Returns
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. -
Asset-Liability Management: An Overview
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). -
Inventories in ToTEM
ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods. -
Inventories, Stockouts, and ToTEM
Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance. -
An Assessment of the Bank of Canada's Term PRA Facility
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. -
July 28, 2010
Due Diligence: A Report on the Bank of Canada's Handling of Foreign Gold during World War II
Report commissioned by the Bank, written by Professor Duncan McDowall of Carleton University and released in November 1997. The Bank also released a search aid for related files in its archives and for Department of Finance documents. -
July 27, 2010
Planning an Evolution: The Story of the Canadian Payments Association, 1980-2002
by James F. Dingle. Outlines the history of the Association and its role in moving Canada's payments system from paper to electronic media. -
A Model of Housing Stock for Canada
Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces.