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3046 Results

December 15, 2023

The path to price stability

Remarks Tiff Macklem Canadian Club Toronto Toronto, Ontario
Governor Tiff Macklem discusses how the economy will continue to adjust to higher interest rates in the year ahead, and outlines what Canadians can expect from the Bank of Canada.

A Financial Conditions Index for the United States

Staff Discussion Paper 2009-11 Kimberly Beaton, René Lalonde, Corinne Luu
The financial crisis of 2007–09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes (FCIs) that measure the contribution to quarterly (annualized) GDP growth from financial conditions.
May 17, 2001

Reforming the International Financial System

This article examines the efforts of the major advanced countries to strengthen the international financial system in order to avoid financial crises such as those that occurred in emerging-market economies in the 1990s. These efforts have focused on crisis prevention and crisis management. The prevention of such crises has necessitated the formation of new international groups that include emerging markets in their membership. Measures have also been taken to reduce the vulnerability of countries to such crises. These measures have centered on the need for appropriate macroeconomic policies, including the need for sustainable exchange rate regimes, sound domestic financial systems, and prudent risk management. In the area of crisis management, the International Monetary Fund (IMF) has been given access to additional resources for lending to countries that experience financial crises. The IMF has also established new lending facilities for use in such circumstances. It has also been agreed that the private sector will need to play a greater role in the management of such crises in the future.

Les sources des fluctuations des taux de change en Europe et leurs implications pour l'union monétaire

Technical Report No. 66 Alain DeSerres, René Lalonde
The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as […]
Content Type(s): Staff research, Technical reports Research Topic(s): Exchange rates JEL Code(s): F, F1, F15, F3, F31

The Impact of Government Debt Supply on Bond Market Liquidity: An Empirical Analysis of the Canadian Market

Staff Working Paper 2018-35 Jeffrey Gao, Jianjian Jin, Jacob Thompson
This paper finds that Government of Canada benchmark bonds tend to be more illiquid over the subsequent month when there is a large increase in government debt supply. The result is both statistically and economically significant, stronger for the long-term than the short-term sector, and is robust when other macro factors are controlled for.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Debt management, Financial markets JEL Code(s): D, D5, D53, G, G1, G12, G18, G2, G3, G32

Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

Staff Working Paper 2015-24 Pierre Guérin, Danilo Leiva-Leon
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.

Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

Staff Working Paper 2013-16 Sermin Gungor, Richard Luger
We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.
November 13, 2000

Seminar Summary: Price Stability and the Long-Run Target for Monetary Policy

On 8 and 9 June 2000, the Bank held a seminar to examine some key issues affecting the upcoming decision on Canada's inflation-control target for the period after 2001. The main issues covered at the seminar were the extent of downward nominal-wage rigidity and its implications for employment as well as the relative merits of price-level targeting versus inflation targeting. Another critical question that was discussed was how to balance the evidence on all the relevant issues in order to develop an overall view on the appropriate long-run target. The author gives a brief overview of the seminar followed by detailed summaries of individual papers.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation targets
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