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1901
result(s)
Tractable Term Structure Models
Staff Working Paper 2015-46
Bruno Feunou,
Jean-Sébastien Fontaine,
Anh Le,
Christian Lundblad
We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Interest rates,
International financial markets,
International topics,
Monetary policy and uncertainty,
Monetary policy transmission
JEL Code(s):
G,
G1,
G12
Estimating Canada’s Effective Lower Bound
Staff Analytical Note 2015-2
Jonathan Witmer,
Jing Yang
In 2009, the Bank of Canada set its effective lower bound (ELB) at 25 basis points (bps). Given the recent experience of Sweden, Denmark, Switzerland and the euro area with negative interest rates, we examine the economics of negative interest rates and suggest that cash storage costs are the source of a negative lower bound on interest rates.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
D,
D5,
D53,
E,
E4,
E41,
E43,
E5,
E58
Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries
Staff Working Paper 2015-45
Gabriel Bruneau,
Kevin Moran
We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rate regimes,
Exchange rates,
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
F,
F1,
F14,
F16,
F3,
F31,
F4,
F41,
J,
J2,
J23
Emergency Liquidity Facilities, Signalling and Funding Costs
Staff Working Paper 2015-44
Céline Gauthier,
Alfred Lehar,
Héctor Pérez Saiz,
Moez Souissi
In the months preceding the failure of Lehman Brothers in September 2008, banks were willing to pay a premium over the Federal Reserve’s discount window (DW) rate to participate in the much less flexible Term Auction Facility (TAF). We empirically test the predictions of a new signalling model that offers a rationale for offering two different liquidity facilities.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability,
Lender of last resort
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G28
On the Essentiality of E-Money
Staff Working Paper 2015-43
Jonathan Chiu,
Tsz-Nga Wong
Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E42,
E5,
E58,
L,
L5,
L51
Speculators, Prices and Market Volatility
Staff Working Paper 2015-42
Celso Brunetti,
Bahattin Buyuksahin,
Jeffrey H. Harris
We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
C,
C3,
G,
G1
Forward Guidance at the Effective Lower Bound: International Experience
Staff Discussion Paper 2015-15
Karyne B. Charbonneau,
Lori Rennison
Forward guidance is one of the policy tools that a central bank can implement if it seeks to provide additional monetary stimulus when it is operating at the effective lower bound (ELB) on interest rates. It became more widely used during and after the global financial crisis.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Monetary policy and uncertainty,
Monetary policy communications,
Monetary policy framework,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58,
E6
Quantitative Easing as a Policy Tool Under the Effective Lower Bound
Staff Discussion Paper 2015-14
Abeer Reza,
Eric Santor,
Lena Suchanek
This paper summarizes the international evidence on the performance of quantitative easing (QE) as a monetary policy tool when conventional policy rates are constrained by the effective lower bound (ELB). A large body of evidence suggests that expanding the central bank’s balance sheet through large-scale asset purchases can provide effective stimulus under the ELB.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
International topics,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E61,
E65,
N,
N1,
N10
Foreign Flows and Their Effects on Government of Canada Yields
Staff Analytical Note 2015-1
Bruno Feunou,
Jean-Sébastien Fontaine,
James Kyeong,
Jesus Sierra
Foreign investment flows into Government of Canada (GoC) bonds have surged since the financial crisis. Our empirical analysis suggests that foreign flows of $150 billion lowered the 10-year GoC bond yield by 100 basis points between 2009 and 2012.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International financial markets,
International topics,
Monetary policy transmission
JEL Code(s):
F,
F3,
F32