Ben Fung - Latest

• Taylor Rules in the Quarterly Projection Model

  Staff Working Paper 2002-1 Ben Fung, Dinah Maclean, Jamie Armour

  In recent years, there has been a lot of interest in Taylor-type rules. Evidence in the literature suggests that Taylor-type rules are optimal in a number of models and are fairly robust across different models.

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

• Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets

  Staff Working Paper 1999-6 Ben Fung, Scott Mitnick, Eli Remolona

  Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Inflation and prices, Interest rates, International topics JEL Code(s): E, E4, E43, G, G1, G12, G15

• Monetary Shocks in the G-6 Countries: Is There a Puzzle?

  Staff Working Paper 1997-7 Ben Fung, Marcel Kasumovich

  This paper attempts to reduce the uncertainty about the dynamics of the monetary transmission mechanism. Central to this attempt is the identification of monetary policy shocks. Recently, VAR approaches that use over-identifying restrictions have shown success in isolating such shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, International topics, Monetary policy transmission JEL Code(s): E, E5, E52, E58

• Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions

  Staff Working Paper 1996-4 Walter Engert, Ben Fung, Jamie Armour

  The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary and financial indicators JEL Code(s): E, E5, E52

• Searching for the Liquidity Effect in Canada

  Staff Working Paper 1994-12 Ben Fung, Rohit Gupta

  This paper examines the empirical evidence of the liquidity effect in Canada. In the presence of the liquidity effect, the initial impact of an unanticipated expansionary monetary policy is to lower nominal and real interest rates for a short period of time.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates