A Stochastic Simulation Framework for the Government of Canada's Debt Strategy Staff Working Paper 2003-10 David Bolder Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63
Nowcasting BRIC+M in Real Time Staff Working Paper 2015-38 Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C3, C33, C5, C53, E, E3, E37
Vertical Specialization and Gains from Trade Staff Working Paper 2017-17 Patrick Alexander Multi-stage production is widely recognized as an important feature of the modern global economy. This feature has been incorporated into many state-of-the-art quantitative trade models, and has been shown to deliver significant additional gains from international trade. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, International topics, Trade integration JEL Code(s): F, F1, F11, F14, F6, F60
The Future Prospects for National Financial Markets and Trading Centres Staff Working Paper 2001-10 Charles Gaa, Stephen Lumpkin, Robert Ogrodnick, Peter Thurlow This paper investigates the effects of the continuation of globalization and technological developments on the future of national-level financial markets and trading centres, particularly in smaller countries such as Canada. We foresee the development of a single global market in the most-liquid assets based on equity-market linkages. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G10
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions? Staff Analytical Note 2018-14 Guillaume Ouellet Leblanc, Rohan Arora When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23
The Impact of Macroprudential Housing Finance Tools in Canada: 2005–10 Staff Working Paper 2016-41 Jason Allen, Timothy Grieder, Brian Peterson, Tom Roberts This paper combines loan-level administrative data with household-level survey data to analyze the impact of recent macroprudential policy changes in Canada using a microsimulation model of mortgage demand of first-time homebuyers. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial system regulation and policies JEL Code(s): C, C6, C63, D, D1, D14, G, G2, G28
October 26, 2018 Staff economic projections These forecasts are provided to Governing Council in preparation for monetary policy decisions. They are released once a year with a five-year lag.
December 23, 2002 Financial Structure and Economic Growth: A Non-Technical Survey Financial System Review - December 2002 Veronika Dolar, Césaire Meh Content Type(s): Publications, Financial System Review articles
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk Staff Working Paper 2008-16 Fousseni Chabi-Yo, Eric Ghysels, Eric Renault The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C5, C52, D, D5, D58, G, G1, G11, G12
A Further Analysis of Exchange Rate Targeting in Canada Staff Working Paper 1994-2 Robert Amano, Tony S. Wirjanto In a recent paper Mercenier and Sekkat (1988) conclude that the Bank of Canada has followed a policy of exchange rate targeting using the money supply. We re-examine their results using a different estimation approach and with different assumptions about the forcing process of the exogenous variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates