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3029 Results

A Practical Guide to Swap Curve Construction

Staff Working Paper 2000-17 Uri Ron
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International financial markets JEL Code(s): G, G1, G12, G15

Monetary Policy, Uncertainty and the Presumption of Linearity

Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow
This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […]

Monetary Policy Transmission, Bank Market Power, and Wholesale Funding Reliance

Staff Working Paper 2023-35 Amina Enkhbold
I study how banking market concentration and reliance on wholesale funding affect monetary policy transmission to mortgage rates. I find that this transmission is imperfect and dampens the response of consumption, output, and housing prices.

Speculative Behaviour, Regime-Switching and Stock Market Crashes

Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12

The Impacts of Monetary Policy Statements

Staff Analytical Note 2017-22 Bruno Feunou, Corey Garriott, James Kyeong, Raisa Leiderman
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.

Benchmarks for assessing labour market health

Staff Analytical Note 2022-2 Erik Ens, Corinne Luu, Kurt See, Shu Lin Wee
We propose a range of benchmarks for assessing labour market strength for monetary policy. This work builds on a previous framework that considers how diverse and segmented the labour market is. We apply these benchmarks to the Canadian labour market and find that it has more than recovered from the COVID-19 shock.

A Comparison of Twelve Macroeconomic Models of the Canadian Economy

In this report, the authors examine and compare twelve private and public sector models of the Canadian economy with respect to their paradigm, structure, and dynamic properties. These open-economy models can be grouped into two economic paradigms.
Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Monetary policy and uncertainty JEL Code(s): C, C5, E, E5, E52, E58

The Carry Trade, Portfolio Diversification, and the Adjustment of the Japanese Yen

Staff Discussion Paper 2008-2 Corinne Luu
In this paper, the author considers whether fundamentals or other factors can explain the yen's ongoing weakness. In particular, the importance of capital outflows due to the carry trade and longer-term portfolio investment outflows, which may be delaying the adjustment of the yen, are investigated. A simple portfolio model is developed, composed of a speculative […]
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