(Optimal) Monetary Policy with and without Debt Staff Working Paper 2021-5 Boris Chafwehé, Rigas Oikonomou, Romanos Priftis, Lukas Vogel How should policy be designed at high debt levels, when fiscal authorities have little room to adjust taxes? Assigning the monetary authority a role in achieving debt sustainability makes it less effective in stabilizing inflation and output. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Monetary policy, Monetary policy framework JEL Code(s): C, C1, C11, E, E3, E31, E5, E52, E58, E6, E62
December 23, 2006 Global Savings, Investment, and World Real Interest Rates Bank of Canada Review - Winter 2006-2007 Brigitte Desroches, Michael Francis Over the past 25 years, world long-term interest rates have declined to levels not seen since the 1960s. This decline has been accompanied by falling world investment and savings rates. The authors explore global saving and investment outcomes that have led to the fall in the world real interest rate. The results show that the key factors explaining movements in savings and investment are variables that evolve relatively slowly over time, such as labour force growth and the age structure of the world economy. The conclusions suggest that, over the coming years, it is unlikely that these slowly changing variables will be a source of significant changes in world real interest rates. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, International topics
Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators, Monetary policy and uncertainty JEL Code(s): E, E4
Perceived versus Calibrated Income Risks in Heterogeneous-Agent Consumption Models Staff Working Paper 2023-59 Tao Wang Perceived income risks reported in a survey of consumer expectations are more heterogeneous and, on average, lower than indirectly calibrated risks based on panel data. They prove to be one explanation for why a large fraction of households hold very little liquid savings and why accumulated wealth is widely unequal across households. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy, Monetary policy and uncertainty JEL Code(s): D, D1, D14, E, E2, E21, E7, E71, G, G5, G51
December 10, 2013 Financial System Review - December 2013 There have been positive developments in the global financial system since the June Financial System Review, in part reflecting some encouraging signs about the global economy. At the same time, significant vulnerabilities remain. The Governing Council judges that the overall risk to the stability of Canada’s financial system has decreased from “high” to “elevated” over the past six months. Content Type(s): Publications, Financial Stability Report
October 16, 2017 Backgrounder on the Business Outlook Survey Question on Future Sales Indicators Since the 2016 summer survey, the results from a question on future sales indicators (FSI) have been included in the Business Outlook Survey (BOS). This backgrounder briefly describes the question and presents the correlations between the responses and various measures of business activity. Content Type(s): Background materials
December 23, 2002 Financial System Review - December 2002 The financial system, which consists of financial institutions, financial markets, and clearing and settlement systems, lays an important role in a nation’s economy. Sound and efficientfinancial systems can make a significant contribution to economic growth. Content Type(s): Publications, Financial Stability Report
Labor Market Participation, Unemployment and Monetary Policy Staff Working Paper 2014-9 Alessia Campolmi, Stefano Gnocchi We incorporate a participation decision in a standard New Keynesian model with matching frictions and show that treating the labor force as constant leads to incorrect evaluation of alternative policies. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets, Monetary policy transmission JEL Code(s): E, E2, E24, E3, E32, E5, E52
Towards a HANK Model for Canada: Estimating a Canadian Income Process Staff Discussion Paper 2020-13 Iskander Karibzhanov How might one simulate a million realistic income paths and compute their statistical moments in under a second? Using CUDA-based methods to estimate the Canadian earnings process, I find that the distribution of labour income growth is sharply peaked with heavy tails—similar to that in the United States. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Labour markets JEL Code(s): D, D3, D31, E, E2, E24, J, J3, J31
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns Staff Working Paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C2, C22, C5, C52, C53, F, F3, F31