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2360
result(s)
International House Price Cycles, Monetary Policy and Risk Premiums
Staff Working Paper 2014-54
Gregory Bauer
Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Housing
JEL Code(s):
C,
C2,
E,
E4,
E43,
R,
R2,
R21
December 10, 2014
Exchange-Traded Funds: Evolution of Benefits, Vulnerabilities and Risks
Ian Foucher and Kyle Gray explain the different types of exchange-traded funds (ETFs), which present both benefits and risks for investors. They discuss ways in which the risk characteristics of certain ETF products could have broader implications for the financial system, and describe the evolution of ETF market structure and regulation in different jurisdictions as authorities try to mitigate risks related to ETFs.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G18,
G2,
G20
December 10, 2014
Cyber Security: Protecting the Resilience of Canada’s Financial System
Harold Gallagher, Wade McMahon and Ron Morrow examine the various sources of cyber attacks and their potential for systemic risk. Against this background, the report highlights efforts being made to protect against cyber-security threats, including individual and collective actions by financial institutions and financial market infrastructures, as well as initiatives by international organizations, regulatory authorities and governments. The authors then describe the coordination, under the Joint Operational Resilience Management program, of private and public sector actions in Canada for managing and testing capabilities during severe operational events such as cyber attacks.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial stability,
Financial system regulation and policies,
Payment clearing and settlement systems
JEL Code(s):
G,
G2,
G20,
G23,
G28
The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies
Staff Working Paper 2014-53
Tatjana Dahlhaus,
Garima Vasishtha
The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C32,
E,
E5,
E52,
F,
F3,
F33,
F4,
F42
Targeting Inflation from Below - How Do Inflation Expectations Behave?
Staff Working Paper 2014-52
Michael Ehrmann
Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
C,
C5,
C53,
E,
E3,
E31,
E5,
E52,
E58
Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings
Staff Working Paper 2014-51
Sermin Gungor,
Richard Luger
We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C12,
C14,
C15,
G,
G1,
G12
The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets
Staff Working Paper 2014-50
Vikram Rai,
Lena Suchanek
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International financial markets,
International topics,
Monetary policy transmission
JEL Code(s):
C,
C3,
C33,
E,
E5,
E58,
F,
F3,
F32,
G,
G1,
G14
November 13, 2014
Recent Developments in Experimental Macroeconomics
This article describes experimental economics, in general, and new developments in experimental macroeconomics, in particular. The approach has a clear niche in providing evidence on economic phenomena that cannot be observed directly or that are difficult to measure. Experimental work conducted by Bank of Canada economists has shed light on a number of issues important to monetary policy, such as the relative efficacy between price-level and inflation targeting, and the nature of inflation expectations formation.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
Monetary policy framework
JEL Code(s):
C,
C9,
E,
E3,
E31,
E5,
E52
November 13, 2014
Should Forward Guidance Be Backward-Looking?
When constrained by the zero lower bound, some central banks have communicated a threshold that must be met before short-term interest rates would be permitted to rise. Simulation results for Canada show that forward guidance that is conditional on achieving a price-level threshold can theoretically raise demand and inflation expectations by significantly more than unemployment thresholds. This superior performance is attributable to the fact that the price-level threshold depends on past inflation outcomes. In practice, however, history-dependent thresholds such as this might be more challenging for central banks to communicate.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Business fluctuations and cycles,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58