Find Bank of Canada publications by keyword, author, content type, JEL code, topic or publication date.
1406
result(s)
August 16, 2012
Measurement Bias in the Canadian Consumer Price Index: An Update
The consumer price index (CPI) is the most commonly used measure to track changes in the overall level of prices. Since it departs from a true cost-of-living index, the CPI is subject to four types of measurement bias—commodity substitution, outlet substitution, new goods and quality adjustment. The author updates previous Bank of Canada estimates of measurement bias in the Canadian CPI by examining these four sources of potential bias. He finds the total measurement bias over the 2005–11 period to be about 0.5 percentage point per year, consistent with the Bank’s earlier findings. Slightly more than half of this bias is caused by the fixed nature of the CPI basket of goods and services.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
E,
E3,
E31,
E5,
E52
August 16, 2012
Global Risk Premiums and the Transmission of Monetary Policy
An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Asset pricing,
Financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
August 16, 2012
An Analysis of Indicators of Balance-Sheet Risks at Canadian Financial Institutions
This article examines four indicators of balance-sheet risks—leverage, capital, asset liquidity and funding—among different types of financial institutions in Canada over the past three decades. It also discusses relevant developments in the banking sector that could have contributed to the observed dynamics. The authors find that the various risk indicators decreased during the period for most of the non-Big Six financial institutions, but remained relatively unchanged for the Big Six banks. In addition, the balance-sheet risk indicators became more heterogeneous across financial institutions. The observed overall decline and increased heterogeneity follow certain regulatory changes, such as the introduction of the liquidity guidelines on funding in 1995 and the implementation of bank-specific leverage requirements in 2000. Given that these regulations required more balance-sheet risk management, they have likely contributed to the increased resilience of the banking sector.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28
August 16, 2012
This issue features three articles that present research and analysis by Bank of Canada staff. The first updates previous Bank estimates of measurement bias in the Canadian consumer price index; the second uses a new term-structure model to analyze the relationship between the short-term policy rate and long-term interest rates; and the third examines indicators of balance-sheet risks at financial institutions in Canada.
Bank of Canada Review - Summer 2012
Content Type(s):
Publications,
Bank of Canada Review
August 10, 2012
Weekly Financial Statistics - 10 August 2012
Content Type(s):
Publications,
Historical: Weekly Financial Statistics
August 3, 2012
Weekly Financial Statistics - 3 August 2012
Content Type(s):
Publications,
Historical: Weekly Financial Statistics
July 27, 2012
Weekly Financial Statistics - 27 July 2012
Content Type(s):
Publications,
Historical: Weekly Financial Statistics
July 26, 2012
Banking and Financial Statistics - 26 July 2012
Content Type(s):
Publications,
Historical: Banking and Financial Statistics
July 20, 2012
Weekly Financial Statistics - 20 July 2012
Content Type(s):
Publications,
Historical: Weekly Financial Statistics