November 9, 1994 Bank of Canada Review - Autumn 1994 Cover page Roman Republic: Denarius, 108–107 BC To the left of the figure is the name of the moneyer M. Herenni (Marcus Herennius), and to the right is the control mark, a horizontal P and dot. About the size of a 10-cent piece, this denarius is part of the National Currency Collection, Bank of Canada. Photography by James Zagon. Content Type(s): Publications, Bank of Canada Review
Financial Stress, Monetary Policy, and Economic Activity Staff Working Paper 2010-12 Fuchun Li, Pierre St-Amant This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Monetary policy and uncertainty JEL Code(s): C, C0, C01, E, E5, E50, G, G0, G01
Idiosyncratic Coskewness and Equity Return Anomalies Staff Working Paper 2010-11 Fousseni Chabi-Yo, Jun Yang In this paper, we show that in a model where investors have heterogeneous preferences, the expected return of risky assets depends on the idiosyncratic coskewness beta, which measures the co-movement of the individual stock variance and the market return. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G11, G12, G14, G3, G33
Time Variation in Okun's Law: A Canada and U.S. Comparison Staff Working Paper 2010-7 Kimberly Beaton This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998). Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, J, J0, J00
Assembling a Real-Financial Micro-Dataset for Canadian Households Staff Working Paper 2010-6 Umar Faruqui The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending. Content Type(s): Staff research, Staff working papers Topic(s): Sectoral balance sheet JEL Code(s): C, C8, C81, D, D1, D10
Le pouvoir de prévision des indices PMI Staff Discussion Paper 2010-3 Claudia Godbout, Jocelyn Jacob The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, E37, F, F4, F47
April 12, 2010 Results of the 12 April 2010 Term PRA Transaction The results of today's term PRA operations. Content Type(s): Press, Market notices
April 9, 2010 Spring 2010 Debt Management Strategy Consultations - Views Sought on Issues Relating to the Government's Domestic Debt Program The Department of Finance and the Bank of Canada are seeking the views of government securities distributors, institutional investors, and other interested parties on issues relating to the management of the cash flow profile of Government of Canada securities over the medium term, and demand for long term bonds (nominal and Real Return). Content Type(s): Press, Market notices
March 15, 2010 Results of the 15 March 2010 Term PRA Transaction The results of today's term PRA operations. Content Type(s): Press, Market notices
March 12, 2010 Bank of Canada Announces Details of its Term PRA Operation In accordance with the schedule of term purchase and resale agreement (PRA) auctions announced on 19 January (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation. Content Type(s): Press, Market notices