The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables Staff Working Paper 2000-23 Nikola Gradojevic, Jing Yang Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C4, C45, F, F3, F31
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff Working Paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates JEL Code(s): E, E5, G, G0
June 14, 2007 Bank of Canada Review - Summer 2007 Cover page Decimalization in Great Britain The Victorian florin on the cover is part of the National Currency Collection of the Bank of Canada. Content Type(s): Publications, Bank of Canada Review
BoC–BoE Sovereign Default Database: Appendix and References Technical Report No. 125 David Beers, Obiageri Ndukwe, Alex Charron Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15
November 6, 2007 North America in Today's Global Economic Setting Remarks Paul Jenkins Canadian Association of New York New York, New York In recent months, much has been said, and written, about developments in financial markets. The turbulence in global credit markets, which had its roots in developments in the market for subprime mortgages here in the United States, has been a focal point of attention for market participants and policy-makers around the world. Content Type(s): Press, Speeches and appearances, Remarks
Perceived Unemployment Risks over Business Cycles Staff Working Paper 2025-23 William Du, Adrian Monninger, Xincheng Qiu, Tao Wang Aggregate consumption impacts of heightened job risks during recessions can arise either from ex-ante responses to the fear of unemployment or from ex-post consumption declines due to realized income losses. We use survey-based perceptions of job risk and actual labor market transitions to quantify the relative contributions of these two channels. We further show that belief stickiness limits the extent of ex-ante insurance against job risks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets, Monetary policy and uncertainty JEL Code(s): D, D1, D14, E, E2, E21, E7, E71, G, G5, G51
Strategic Complementarities and Money Market Fund Liquidity Management Staff Working Paper 2017-14 Jonathan Witmer Following the financial crisis, there has been increased regulatory focus on the management of liquidity in mutual funds and, specifically, whether funds hold enough liquidity to guard against the potential for investor runs. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
Behavioral Learning Equilibria in New Keynesian Models Staff Working Paper 2022-42 Cars Hommes, Kostas Mavromatis, Tolga Özden, Mei Zhu We introduce behavioral learning equilibria (BLE) into DSGE models with boundedly rational agents using simple but optimal first order autoregressive forecasting rules. The Smets-Wouters DSGE model with BLE is estimated and fits well with inflation survey expectations. As a policy application, we show that learning requires a lower degree of interest rate smoothing. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Monetary policy JEL Code(s): C, C1, C11, D, D8, D83, D84, E, E3, E6, E62
July 13, 2022 Monetary Policy Report – July 2022 The Canadian economy is now clearly in excess demand, and inflation is high and broadening. The Bank is projecting inflation to decline to about 3% by the end of 2023, and to return to the 2% target by the end of 2024. Content Type(s): Publications, Monetary Policy Report
June 23, 2004 Financial System Review - June 2004 This section of the Financial System Review examines the recent performance of the Canadian financial system and the factors, both domestic and international, that are influencing it. In each issue, one or more subjects of particular interest are discussed as highlighted topics. Content Type(s): Publications, Financial Stability Report