November 7, 2011 Renewal of the Inflation-Control Target (November 2011) Commentary and technical data relating to the 2011 target renewal. Content Type(s): Background materials Research Topic(s): Inflation and prices, Monetary policy
Does Exchange Rate Policy Matter for Growth? Staff Working Paper 2002-17 Jeannine Bailliu, Robert Lafrance, Jean-François Perrault Previous studies on whether the nature of the exchange rate regime influences a country's medium-term growth performance have been based on a tripartite classification scheme that distinguishes between pegged, intermediate, and flexible exchange rate regimes. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, Exchange rates, Monetary policy framework JEL Code(s): F, F3, F31, F33, F4, F43, O, O4, O40
Could a Higher Inflation Target Enhance Macroeconomic Stability? Staff Working Paper 2018-17 José Dorich, Nicholas Labelle, Vadym Lepetyuk, Rhys R. Mendes Recent international experience with the effective lower bound on nominal interest rates has rekindled interest in the benefits of inflation targets above 2 per cent. We evaluate whether an increase in the inflation target to 3 or 4 per cent could improve macroeconomic stability in the Canadian economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation targets, Monetary policy framework JEL Code(s): E, E3, E32, E37, E4, E43, E5, E52
Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico Staff Working Paper 2003-17 Jeannine Bailliu, Daniel Garcés, Mark Kruger, Miguel Messmacher The authors apply existing inflation models that have worked well in industrialized countries to Mexico, an emerging market that has recently moved to adopt an inflation-targeting framework for monetary policy. They compare the performance of these models with a mark-up model that has been used extensively to analyze inflation in Mexico. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31, E37
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40
High-Frequency Trading around Macroeconomic News Announcements: Evidence from the U.S. Treasury Market Staff Working Paper 2014-56 George Jiang, Ingrid Lo, Giorgio Valente This paper investigates high-frequency (HF) market and limit orders in the U.S. Treasury market around major macroeconomic news announcements. BrokerTec introduced i- Cross at the end of 2007 and we use this exogenous event as an instrument to analyze the impact of HF activities on liquidity and price efficiency. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G12, G14
Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures Staff Working Paper 1996-3 Simon van Norden, Robert Vigfusson This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C6, C63
Towards a More Complete Debt Strategy Simulation Framework Staff Working Paper 2002-13 David Bolder An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Interest rates JEL Code(s): C, C0, C5, G, G0
Monetary and Fiscal Policies in Canada: Some Interesting Principles for EMU? Staff Working Paper 2004-28 Virginie Traclet Choosing a well-designed framework for fiscal and monetary policies is a challenge for economic authorities. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, Monetary policy framework JEL Code(s): E, E5, E58, E6, E61, E63
April 13, 2007 The Large-Value Payments System: Insights from Selected Bank of Canada Research Bank of Canada Review - Spring 2007 Neville Arjani, Walter Engert Given the Bank of Canada's strong interest in the safe and efficient operation of major clearing and settlement systems, the Bank maintains a rigorous research agenda as a means of informing payments system policy and oversight. In this article, Arjani and Engert review recent research undertaken by Bank staff concerning the risk and efficiency of the Large Value Transfer System (LVTS). Based on the findings from this research, the authors conclude that the design of the LVTS strikes an effective balance between risk and efficiency. The article also demonstrates the increased use of simulation analysis as a tool for conducting payments system research. A brief summary of the Bank's oversight strategy for systemically important payments systems is also provided. Goals for future research are noted as well, including modelling of participant behaviour and continued external collaboration with other researchers. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial institutions, Payment clearing and settlement systems