Posts

• December 17, 2000

  Dynamic General-Equilibrium Models and Why the Bank of Canada is Interested in Them

  Bank of Canada Review - Winter 2000-2001 Kevin Moran

  Dynamic general-equilibrium models (DGEMs) are being increasingly used in macroeconomic research. In this article, the author describes the main features of these models and outlines their contribution to economic research performed at the Bank of Canada. He notes that the basic principle of DGEMs is that the modelling of economic activity, even on a scale as large as the economy of a country, should start with a series of microeconomic problems (at the scale of individuals), which, once resolved, are aggregated to represent the macroeconomic reality described by the model.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Economic models
• December 16, 2000

  The Bank of Canada's Management of Foreign Currency Reserves

  Bank of Canada Review - Winter 2000-2001 Jacobo De Leon

  This article describes the Bank's management of the liquid foreign currency portion of the government's official reserves. It broadly outlines the operations of the Exchange Fund Account (EFA), the main account in which Canada's reserves are held. It then briefly reviews the evolution of the objectives and management of the EFA over the past 25 years, particularly in light of the changing level of reserves and developments in financial markets. The EFA is funded by Canada's foreign currency borrowings in capital markets. The article focuses on the comprehensive portfolio framework used to manage the Account, which matches assets and liabilities. Under this framework, funds are invested in assets that match, as closely as possible, the characteristics of foreign currency liabilities issued, helping to immunize the portfolio against currency and interest rate risks.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets, Interest rates
• December 15, 2000

  The Federal Government's Use of Interest Rate Swaps and Currency Swaps

  Bank of Canada Review - Winter 2000-2001 John Kiff, Uri Ron, Shafiq K. Ebrahim

  Interest rate swaps and currency swaps are contracts in which counterparties agree to exchange cash flows according to a pre-arranged formula over a period of time. Since 1985, the federal government has been using such swaps to manage its liabilities in a cost-effective and flexible manner. The authors outline the characteristics of swap agreements and the ways in which the government uses them. They show that the swap program has been cost-effective, estimating that past and projected savings exceed $500 million. The authors also discuss the methods that the government uses to monitor the counterparty credit risk associated with these transactions.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Interest rates

• The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables

  Staff Working Paper 2000-23 Nikola Gradojevic, Jing Yang

  Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): C, C4, C45, F, F3, F31
• December 5, 2000

  Bank of Canada keeps Bank Rate at 6 per cent

  Media Relations Ottawa, Ontario

  The Bank of Canada today announced that it is maintaining the Bank Rate at 6 per cent. The operating band for the overnight rate is unchanged, and the Bank’s target for the overnight rate remains at 5 3/4 per cent.

  Content Type(s): Press, Press releases
• December 4, 2000

  Bank of Canada Governor concludes that a floating exchange rate regime continues to make sense for Canada

  Media Relations Montréal, Quebec

  In a speech to the Chambre de commerce du Montréal métropolitain, Bank of Canada Governor Gordon Thiessen reviewed the different sides of the argument with respect to a floating exchange rate regime, and concluded that a floating currency continues to make sense for Canada.

  Content Type(s): Press, Press releases
• December 4, 2000

  Why a Floating Exchange Rate Regime Makes Sense for Canada

  Remarks Gordon Thiessen Chambre de commerce du Montréal métropolitain Montréal, Quebec

  One of the issues that has often surfaced over the years is the exchange rate for the Canadian dollar. Indeed, over the past couple of years, it has been a topic of considerable public discussion.

  Content Type(s): Press, Speeches and appearances, Remarks
• December 1, 2000

  Market Views Sought on Issues Relating to the Design and Operation of Government Debt Programs over 2001-02

  A consultation document on issues relating to the design and operation of government debt programs over 2001-2002, prepared jointly by the Department of Finance and the Bank of Canada, is being made public today.

  Content Type(s): Press, Market notices
• December 1, 2000

  Debt Strategy Consultations 2001—02

  Overview The purpose of the consultations is to obtain market views on issues relating to the design and operation of government debt programs over 2001—02, with a focus on the Treasury bill program. The following provides a brief description of the issues to be covered: Context The objectives of debt strategy are to provide stable, […]
• December 1, 2000

  Background Note on the Treasury Bill Program

  1. Introduction This year, the average outstanding stock of treasury bills has been about $85 billion, about half of where it was (almost $165 billion) five years ago. The turnover ratio (the trading volume to the outstanding stock of bills) has declined by even more, to less than half the rate of five years ago. As part […]