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3035 Results

August 4, 2010

Governor's Award

Annual research grants for a term of up to two years.

Price-Level Targeting

Staff Discussion Paper 2007-8 Agathe Côté
In November 2006, the Bank of Canada announced its intention to lead a concerted research program over the next few years on the type of monetary policy framework that would best contribute to the economic well-being of Canadians in the decades ahead. The research will focus on two broad questions: whether economic welfare might be […]
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Monetary policy framework JEL Code(s): E, E5, E52, E58

The Private Equity Premium Puzzle Revisited

Staff Working Paper 2011-6 Katya Kartashova
In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar.

Monetary Policy Uncertainty: A Tale of Two Tails

Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.

We Didn’t Start the Fire: Effects of a Natural Disaster on Consumers’ Financial Distress

We use detailed consumer credit data to investigate the impact of the 2016 Fort McMurray wildfire, the costliest wildfire disaster in Canadian history, on consumers’ financial stress. We focus on the arrears of insured mortgages because of their important implications for financial institutions and insurers’ business risk and relevant management practices.

An Empirical Analysis of Bill Payment Choices

Staff Working Paper 2021-23 Anneke Kosse
How do Canadians pay their bills? 2019 survey data collected from over 4,000 Canadian consumers show how people’s bill payment choices vary with consumer characteristics and types of bills. The data also reveal that many consumers feel limited in their choices, which suggests that preferences of billers might play an important role as well.

What do high-frequency expenditure network data reveal about spending and inflation during COVID‑19?

Staff Analytical Note 2020-20 Kim Huynh, Helen Lao, Patrick Sabourin, Angelika Welte
The official consumer price index (CPI) inflation measure, based on a fixed basket set before the COVID 19 pandemic, may not fully reflect what consumers are currently experiencing. We partnered with Statistics Canada to construct a more representative index for the pandemic with weights based on real-time transaction and survey data.

Network Analysis and Canada's Large Value Transfer System

Staff Discussion Paper 2009-13 Lana Embree, Tom Roberts
Analysis of the characteristics and structure of a network of financial institutions can provide insight into the complex relationships and interdependencies that exist in a payment, clearing, and settlement system (PCSS), and allow an intuitive understanding of the PCSS's efficiency, stability, and resiliency.

Quantitative Easing in a Small Open Economy: An International Portfolio Balancing Approach

Staff Working Paper 2016-55 Serdar Kabaca
This paper studies the effects of quantitative easing (QE) in a small open economy dynamic stochastic general-equilibrium model with international portfolio balancing. Portfolios are classified as imperfectly substitutable short-term and long-term subportfolios, each including domestic and foreign bonds.
Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Monetary policy transmission JEL Code(s): E, E5, E52, F, F4, F41
August 16, 2012

Global Risk Premiums and the Transmission of Monetary Policy

An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.
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