August 18, 2010 Strengthening International Capital and Liquidity Standards: A Macroeconomic Impact Assessment for Canada G-20 leaders have agreed on comprehensive financial sector reforms to reduce the risk of future crises and to strengthen banking systems. Raising the amount and quality of capital and liquidity that financial institutions must carry is a central component of the reforms. The G-20 is developing a set of proposals for agreement by leaders at […]
Occasionally Binding Constraints in Large Models: A Review of Solution Methods Staff Discussion Paper 2021-5 Jonathan Swarbrick Solving macroeconomic models is difficult. One challenge is the occasionally binding constraint of the zero lower bound on nominal interest rates. This paper reviews various ways to solve models that include this feature. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C6
Multivariate Realized Stock Market Volatility Staff Working Paper 2007-20 Gregory Bauer, Keith Vorkink We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C3, C32, C5, C53, G, G1, G14
May 21, 2003 Conference Summary: Price Adjustment and Monetary Policy Bank of Canada Review - Spring 2003 Robert Amano, Donald Coletti The 2002 Bank of Canada Conference focused on price adjustment, a critically important issue for monetary policy. Given the acceptance throughout the 1990s and 2000s of the existence of price stickiness in goods or labour markets, or both, and of the important role that monetary policy can play in an economy, the time was right for a conference that would focus on current developments in this area of research, particularly within a Canadian context. Conference papers covering both theoretical and empirical studies explored such themes as sources of the persistence of inflation, forward-looking models of inflation, models of inflation in open economies, the macroeconomic effects of technology shocks, and models of the interaction between wages, prices, and real economic outcomes. Content Type(s): Publications, Bank of Canada Review articles
Central Bank Digital Currency: Motivations and Implications Staff Discussion Paper 2017-16 Walter Engert, Ben Fung The emergence of digital currencies such as Bitcoin and the underlying blockchain and distribution ledger technology have attracted significant attention. These developments have raised the possibility of considerable impacts on the financial system and perhaps the wider economy. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Digital currencies and fintech, Financial services, Payment clearing and settlement systems JEL Code(s): E, E4, E41, E42, E5
High-Frequency Cross-Sectional Identification of Military News Shocks Staff Working Paper 2025-27 Francesco Amodeo, Edoardo Briganti We identify and quantify fiscal news shocks, compiling events (2001–2023) that altered the expected path of U.S. defense expenditure. For each event, we estimate market-implied shifts in expected spending. A shift-share analysis yields a two-year, metropolitan statistical area–level GDP multiplier of approximately 1 for U.S. military build-ups. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Fiscal policy JEL Code(s): E, E2, E20, E3, E30, E32, E6, E60, E62, E65
The Information Content of Interest Rate Futures Options Staff Working Paper 1999-15 Des Mc Manus Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): G, G1, G14
The Exchange Rate Regime and Canada's Monetary Order Staff Working Paper 1999-7 David Laidler It is a mistake to debate the merits of alternative exchange rate regimes for Canada independently of other features of the monetary order. A coherent order requires a well-defined goal for monetary policy, one that the authorities are capable of achieving, and that anchors private sector expectations. For it to be liberal, the relevant authorities […] Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Monetary policy framework JEL Code(s): E, E5, E52, F, F3, F31
June 22, 2011 Emerging from the Shadows: Market-Based Financing in Canada Financial System Review - June 2011 James Chapman, Lawrence L. Schembri, Stéphane Lavoie Content Type(s): Publications, Financial System Review articles
The Role of Expenditure Switching in the Global Imbalance Adjustment Staff Working Paper 2010-16 Wei Dong In theory, nominal exchange rate movements can lead to “expenditure switching” when they generate changes in the relative prices of goods across countries. This paper explores whether the expenditure-switching role of exchange rates has changed in the current episode of significant global imbalances. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, International topics JEL Code(s): F, F3, F4