Posts
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A Wake-Up-Call Theory of Contagion
We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals. -
Monetary Policy Under Uncertainty: Practice Versus Theory
For central banks, conducting policy in an environment of uncertainty is a daily fact of life. This uncertainty can take many forms, ranging from incomplete knowledge of the correct economic model and data to future economic and geopolitical events whose precise magnitudes and effects cannot be known with certainty. -
Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. -
Central Bank Communication or the Media’s Interpretation: What Moves Markets?
The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. -
February 21, 2013
The G-20 Framework for Strong, Sustainable and Balanced Growth: Macroeconomic Coordination Since the Crisis
Since 2009, the G-20 Framework for Strong, Sustainable and Balanced Growth has provided a mechanism for international macroeconomic policy coordination. The Framework has had some successes, including agreement on objectives for fiscal consolidation. However, post-crisis global growth has been neither strong nor balanced. Progress has also been slow in developing credible fiscal consolidation plans in some advanced countries and in increasing exchange rate flexibility in certain emerging economies. A stronger peer review process and enhanced analysis of international spillovers would increase the Framework’s influence on member policies. -
October 30, 2017
Government of Canada direct securities and loans: Holdings of general public classified by remaining term to maturity (formerly G7)
Month-end data on general public held unmatured direct securities (excluding retail instruments and perpetuals) and non-marketable securities by remaining term to maturity. -
September 8, 2006
Dynamic Models Useful for Policy Making
Conference held on 8 and 9 September 2006 (papers in unedited, electronic format only) -
April 5, 2017
Market Structure Workshop
Workshop held on 5 April 2017 (papers in unedited, electronic format only) -
May 11, 1998
The use of forward rate agreements in Canada
In this article, the authors identify forward rate agreements, or FRAs, as short-term interest rate guarantee instruments negotiated by two parties, one of which is typically a bank. In outlining the main features of FRAs, the authors contrast them with BAX contracts (futures contracts on bankers' acceptances that are negotiated through the Montreal Exchange). The article then describes how market participants use FRAs to cover short-term interest rate risk. The final section deals with the way the Bank of Canada uses information from the FRA market as an indicator of interest rate expectations. Econometric models used to retrieve information from FRA rates, as well as the underlying assumptions, are discussed in an appendix.