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2360
result(s)
Monetary Policy and Financial Stability: Cross-Country Evidence
Staff Working Paper 2015-41
Christian Friedrich,
Kristina Hess,
Rose Cunningham
Central banks may face challenges in achieving their price stability goals when financial stability risks are present. There is, however, considerable heterogeneity among central banks with respect to how they manage these potential trade-offs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
International topics,
Monetary policy framework
JEL Code(s):
E,
E4,
E5,
G,
G0,
G01
Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?
Staff Working Paper 2015-40
John Muellbauer,
Pierre St-Amant,
David Williams
There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components,
Economic models,
Financial institutions,
Financial stability,
Financial system regulation and policies,
Housing,
Monetary policy transmission
JEL Code(s):
E,
E0,
E02,
E2,
E21,
E4,
E44,
G,
G2,
G21,
R,
R2,
R21,
R3,
R31
The International Experience with Negative Policy Rates
Staff Discussion Paper 2015-13
Harriet Jackson
A key issue in the renewal of the inflation-control agreement is the question of the appropriate level of the inflation target. Many observers have raised concerns that with the reduction in the neutral rate, and the experience of the recent financial crisis, the effective lower bound (ELB) is more likely to be binding in the future if inflation targets remain at 2 per cent.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Financial markets,
International topics,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E65
Option Valuation with Observable Volatility and Jump Dynamics
Staff Working Paper 2015-39
Peter Christoffersen,
Bruno Feunou,
Yoontae Jeon
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12
Nowcasting BRIC+M in Real Time
Staff Working Paper 2015-38
Tatjana Dahlhaus,
Justin-Damien Guénette,
Garima Vasishtha
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C3,
C33,
C5,
C53,
E,
E3,
E37
A Comprehensive Evaluation of Measures of Core Inflation for Canada
Staff Discussion Paper 2015-12
Mikael Khan,
Louis Morel,
Patrick Sabourin
This paper evaluates the usefulness of various measures of core inflation for the conduct of monetary policy. Traditional exclusion-based measures of core inflation are found to perform relatively poorly across a range of evaluation criteria, in part due to their inability to filter unanticipated transitory shocks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation and prices,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E5,
E52
Domestic and Multilateral Effects of Capital Controls in Emerging Markets
Staff Working Paper 2015-37
Gurnain Pasricha,
Matteo Falagiarda,
Martin Bijsterbosch,
Joshua Aizenman
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial system regulation and policies,
International financial markets,
International topics,
Monetary policy framework
JEL Code(s):
F,
F3,
F32,
F4,
F41,
F42,
G,
G1,
G15
Trends in Firm Entry and New Entrepreneurship in Canada
Staff Discussion Paper 2015-11
Shutao Cao,
Mohanad Salameh,
Mai Seki,
Pierre St-Amant
Recently released data show downward trends for both the firm entry rate and the rate of new entrepreneurship since the early 1980s in Canada. This paper documents these trends and discusses potential explanations.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Firm dynamics,
Market structure and pricing,
Productivity
JEL Code(s):
L,
L1,
L11,
M,
M1,
M13
Downside Variance Risk Premium
Staff Working Paper 2015-36
Bruno Feunou,
Mohammad R. Jahan-Parvar,
Cédric Okou
We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12