Search

Content Types

Subjects

Authors

Research Themes

JEL Codes

Sources

Published After

Published Before

2095 Results

Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature

Staff discussion paper 2022-9 Matteo Cacciatore, Dmitry Matveev, Rodrigo Sekkel
Central banks face considerable uncertainty when conducting monetary policy. The COVID-19 pandemic brought this issue back to the forefront of policy discussions. We draw from academic literature to review key sources of uncertainty and how they affect the conduct of monetary policy.
August 18, 2011

Mortgage Debt and Procyclicality in the Housing Market

This article focuses on the role that loans backed by housing collateral play in amplifying housing booms and, more generally, procyclicality in the housing market. The author uses a model developed to include borrower and lender households, as well as a housing market, to examine the impact that altering the loan-to-value ratio (either permanently or countercyclically) might have on the volatility of house prices and mortgage debt.
April 9, 2009

Next Steps for Canadian Monetary Policy

In 2006, the Bank initiated a research program exploring two alternatives to the current inflation-targeting framework: (i) lowering the inflation target and (ii) shifting to a price-level target. This article discusses progress to date, places the Bank's findings in the context of a broader literature, and identifies avenues for future research.
November 14, 2013

Assessing Financial System Vulnerabilities: An Early Warning Approach

This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.
Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): E, E6, E66, G, G0, G01

CBDC and Monetary Policy

Staff analytical note 2020-4 Mohammad Davoodalhosseini, Francisco Rivadeneyra, Yu Zhu
Improving the conduct of monetary policy is unlikely to be the main motivation for central banks to issue a central bank digital currency (CBDC). While some argue that a CBDC could allow more complex transfer schemes or the ability to break below the zero lower bound, we find these benefits might be small or difficult to realize in practice.

A Dynamic Factor Model for Nowcasting Canadian GDP Growth

Staff working paper 2017-2 Tony Chernis, Rodrigo Sekkel
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.

Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19

Staff working paper 2021-2 James Chapman, Ajit Desai
We use retail payment data in conjunction with machine learning techniques to predict the effects of COVID-19 on the Canadian economy in near-real time. Our model yields a significant increase in macroeconomic prediction accuracy over a linear benchmark model.

Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays

Staff working paper 2018-16 Michael Brolley, David Cimon
Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders.
Go To Page