Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada Staff Working Paper 2002-29 David Bolder, Scott Gusba This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
November 26, 2024 Sticking the landing: Keeping inflation at 2% Remarks Rhys R. Mendes Greater Charlottetown Area Chamber of Commerce Charlottetown, Prince Edward Island Deputy Governor Rhys Mendes discusses how monetary policy worked to bring inflation back down to target and why the Bank wants inflation to stay close to 2%. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Credibility, Expectations, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy communications, Price stability
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
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
Bank Market Power and Central Bank Digital Currency: Theory and Quantitative Assessment Staff Working Paper 2019-20 Jonathan Chiu, Mohammad Davoodalhosseini, Janet Hua Jiang, Yu Zhu We show that issuing a deposit-like central bank digital currency (CBDC) with a proper interest rate would encourage banks to pay higher interest to keep their customers. Banks would then attract more deposits and offer more loans. Hence, a CBDC would not necessarily crowd out private banking. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Market structure and pricing, Monetary policy, Monetary policy framework JEL Code(s): E, E5, E50, E58
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
May 19, 2011 Unconventional Monetary Policy: The International Experience with Central Bank Asset Purchases Bank of Canada Review - Spring 2011 Sharon Kozicki, Lena Suchanek, Eric Santor As part of their policy response to the financial crisis of 2007–09, central banks introduced numerous unprecedented monetary policy measures to provide monetary easing. This article defines and documents these measures, focusing on central bank asset purchases and their impact on central bank balance sheets. It then discusses the challenges of identifying the effects of these measures and explores possible exit strategies. The potential costs of these policies are also analyzed, as well as the broader implications for monetary policy frameworks. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Financial markets, International topics, Monetary policy framework
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables Staff Working Paper 2000-23 Nikola Gradojevic, Jing Yang Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C4, C45, F, F3, F31
Exploring the potential benefits of inflation overshooting Staff Analytical Note 2021-16 Robert Amano, Marc-André Gosselin, Kurt See After a period with the interest rate at the effective lower bound, temporarily overshooting inflation may offer important economic benefits. This may be especially true for vulnerable segments of the population, such as workers with low attachment to the labour force and the long-term unemployed. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Inflation targets, Labour markets, Monetary policy, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52, J, J2, J20
Improving Public Equity Markets? No Pain, No Gain Staff Working Paper 2014-41 Katya Kartashova This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Financial institutions, Financial markets JEL Code(s): E, E4, E44, G, G1, G11, O, O1, O11, O16