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2380
result(s)
Asset Allocation Using Extreme Value Theory
Staff Working Paper 2002-2
Younes Bensalah
This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C0,
C4,
C5,
G,
G1
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
December 18, 2001
The Resolution of International Financial Crises: Private Finance and Public Funds
Over the past year and a half, authors Andy Haldane of the Bank of England and Mark Kruger of the Bank of Canada have been developing a framework for the resolution of international financial crises that aligns incentives for all parties in a way that deals with the crisis and preserves the integrity of the international financial system. The framework is built on principles, not rules. It attempts to be clear about the respective roles and responsibilities of the public and private sectors. A central element in shaping private sector expectations is knowledge that the official sector will behave predictably. Constraints on lending by the International Monetary Fund are a key step in that direction. They ensure that private sector involvement is a crucial part of crisis resolution, and they help encourage debtors and creditors to seek co-operative solutions to a crisis. Characterized by constraints, clarity, and orderliness, the framework has the potential to reduce the incidence and cost of financial crises.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
International topics
December 17, 2001
The Canadian Fixed-Income Market: Recent Developments and Outlook
The Canadian fixed-income market is in the midst of a structural transformation similar to those occurring in other national financial markets around the world. The authors examine recent developments and trends in the market and discuss their possible effects. The simultaneous shrinking of the federal government's financial requirements and steady rise in issues of corporate securities have significantly altered the composition of Canada's fixed-income market. Government of Canada securities constitute a predominant portion of outstanding fixed-income securities and play a pivotal role, serving as benchmarks for the valuation of other traded securities and as a hedging vehicle for market participants trying to control their exposure to risk. The reduced issuance of federal government securities has contributed to a decline in the liquidity of the benchmark market. This raises broader issues regarding the future of the Canadian fixed-income market, since the corporate market is still fairly underdeveloped and illiquid compared with that for Government of Canada issues. There are thus currently few benchmark and hedging alternatives. The federal government is, however, committed to preserving the integrity of the market for benchmark issues and is adopting initiatives to enhance market liquidity and alleviate some of the pressures on the effective supply of these securities. Another evolving trend in the market is the emergence of electronic trading platforms. These platforms have the potential to facilitate the price-discovery mechanism, increase cost efficiency, and improve the liquidity and transparency of the market.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Debt management,
Financial markets
December 16, 2001
Risk Management in the Exchange Fund Account
In this article, author Michel Rochette of the Bank's Risk-Management Unit briefly describes the initiatives undertaken to identify, analyze, model, and manage the principal risks inherent in the transactions of the Exchange Fund Account (EFA), where the international reserves of the federal government are held. The author focuses on five types of risk: credit risk, market risk, liquidity risk, operational risk, and legal risk. In addition, the author presents the risk-management principles underlying the activities of the EFA and the governance structure of the Account.
Content Type(s):
Publications,
Bank of Canada Review articles
The Monetary Transmission Mechanism at the Sectoral Level
Staff Working Paper 2001-27
Jean Farès,
Gabriel Srour
This paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E5,
E52
An Estimated Canadian DSGE Model with Nominal and Real Rigidities
Staff Working Paper 2001-26
Ali Dib
This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E32
New Phillips Curve with Alternative Marginal Cost Measures for Canada, the United States, and the Euro Area
Staff Working Paper 2001-25
Edith Gagnon,
Hashmat Khan
Recent research on the new Phillips curve (NPC) (e.g., Galí, Gertler, and López-Salido 2001a) gives marginal cost an important role in capturing pressures on inflation. In this paper we assess the case for using alternative measures of marginal cost to improve the empirical fit of the NPC.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Inflation and prices
JEL Code(s):
E,
E3,
E31
Price-Level versus Inflation Targeting in a Small Open Economy
Staff Working Paper 2001-24
Gabriel Srour
This paper compares two types of monetary policy: price-level targeting and inflation targeting. It reviews recent arguments that favour price-level targeting, and examines how certain factors, such as the nature of the shocks affecting the economy and the degree to which agents are forward-looking, bear upon the arguments.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E5,
E52