Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting Staff Working Paper 2012-16 Donald Coletti, René Lalonde, Paul Masson, Dirk Muir, Stephen Snudden We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, International topics, Monetary policy framework JEL Code(s): E, E1, E17, E3, E31, E37, E5, E52, F, F4, F41, Q, Q4, Q43
Endogenous Time Variation in Vector Autoregressions Staff Working Paper 2020-16 Danilo Leiva-Leon, Luis Uzeda We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52
The Transmission of Shocks to the Chinese Economy in a Global Context: A Model-Based Approach Staff Working Paper 2010-17 Jeannine Bailliu, Patrick Blagrave To better understand the dynamics of the Chinese economy and its interaction with the global economy, the authors incorporate China into an existing model for the G-3 economies (i.e., the United States, the euro area, and Japan), paying particular attention to modelling the exchange rate and monetary policy in China. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rate regimes, International topics JEL Code(s): E, E3, E32, E5, E52, F, F4, F41
Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions Staff Discussion Paper 2012-7 David Xiao Chen, H. Evren Damar, Hani Soubra, Yaz Terajima The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance‐sheet management. Particular attention is given to the observations by different types of banks, including small banks that historically received less attention. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
Should Bank Capital Regulation Be Risk Sensitive? Staff Working Paper 2018-48 Toni Ahnert, James Chapman, Carolyn A. Wilkins We present a simple model to study the risk sensitivity of capital regulation. A banker funds investment with uninsured deposits and costly capital, where capital resolves a moral hazard problem in the banker’s choice of risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
How to Improve Inflation Targeting at the Bank of Canada Staff Working Paper 2002-23 Nicholas Rowe This paper shows that if the Bank of Canada is optimally adjusting its monetary policy instrument in response to inflation indicators to target 2 per cent inflation at a two-year horizon, then deviations of inflation from 2 per cent represent the Bank's forecast errors, and should be uncorrelated with its information set, which includes two-year lagged values of the instrument and the indicators. Positive or negative correlations are evidence of systematic errors in monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary and financial indicators, Monetary policy implementation JEL Code(s): E, E5
The Canadian Neutral Rate of Interest through the Lens of an Overlapping-Generations Model Staff Discussion Paper 2023-5 Martin Kuncl, Dmitry Matveev We use a small open economy model with overlapping generations to evaluate secular dynamics of the neutral rate in Canada from 1980 to 2018. We find that changes in both foreign and domestic factors resulted in a protracted decline in the neutral rate. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E2, E21, E22, E4, E43, E5, E50, E52, E58, F, F4, F41
Do Peer Group Members Outperform Individual Borrowers? A Test of Peer Group Lending Using Canadian Micro-Credit Data Staff Working Paper 2003-33 Rafael Gomez, Eric Santor Microfinance institutions now serve over 10 million poor households in the developing and developed world, and much of their success has been attributed to their innovative use of peer group lending. There is very little empirical evidence, however, to suggest that group lending schemes offer a superior institutional design over lending programs that serve individual borrowers. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics JEL Code(s): E, J, J2, J23, O, O1, O17
The Heterogeneous Effects of COVID-19 on Canadian Household Consumption, Debt and Savings Staff Working Paper 2020-51 James (Jim) C. MacGee, Thomas Michael Pugh, Kurt See The impact of COVID-19 on Canadian households’ debt and unplanned savings varies by household income. Low-income and high-income households accrued unplanned savings, while middle-income households tended to accumulate more debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Financial stability JEL Code(s): E, E2, E21, E24, G, G5, G51
An Application of Shapley Value Cost Allocation to Liquidity Savings Mechanisms Staff Working Paper 2019-26 Rodney J. Garratt Liquidity demands in real-time gross settlement payment systems can be enormous. To reduce the liquidity requirement, central banks around the world have implemented liquidity savings mechanisms (LSMs). Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): C, C7, C72, E, E5, E58