Monetary Commitment and the Level of Public Debt Staff Working Paper 2016-3 Stefano Gnocchi, Luisa Lambertini We analyze the interaction between committed monetary policy and discretionary fiscal policy in a model with public debt, endogenous government expenditures, distortive taxation and nominal rigidities. Content Type(s): Staff research, Staff working papers Research Topic(s): Credibility, Fiscal policy, Inflation targets, Monetary policy framework JEL Code(s): E, E2, E24, E3, E32, E5, E52
Centralizing Over-the-Counter Markets? Staff Working Paper 2021-39 Jason Allen, Milena Wittwer Would a shift in trading in fixed-income markets—from over the counter (bilateral trading) to a centralized electronic platform—improve welfare? We use trade-level data on the secondary market for Government of Canada debt to answer this question. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Market structure and pricing JEL Code(s): D, D4, D40, D47, G, G1, G10, G2, G20, L, L1, L10
Estimation of the Default Risk of Publicly Traded Canadian Companies Staff Working Paper 2006-28 Georges Dionne, Sadok Laajimi, Sofiane Mejri, Madalina Petrescu Two models of default risk are prominent in the financial literature: Merton's structural model and Altman's non-structural model. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Debt management, Econometric and statistical methods, Financial markets, Recent economic and financial developments JEL Code(s): G, G2, G21, G24, G28, G3, G33
November 17, 2001 Predictability of Average Inflation over Long Time Horizons Bank of Canada Review - Autumn 2001 Allan Crawford Uncertainty about the level of future inflation adversely affects the economy because it distorts the savings and investment decisions of households and businesses. Since these decisions typically involve planning horizons of many years, the adverse effects from inflation uncertainty can be reduced by adopting a policy framework that makes future inflation more predictable over long time horizons. When the inflation-control target was renewed in May 2001, the agreement affirmed that monetary policy will be directed at moving inflation to the 2 per cent midpoint of the target range over a six-to-eight-quarter horizon. The author describes how this policy commitment increases the predictability of average inflation over periods longer than one year. This relationship is illustrated using the Canadian experience from the inflation-targeting period. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation targets
March 26, 2011 The Paradigm Shifts: Global Imbalances, Policy, and Latin America Remarks Mark Carney Inter-American Development Bank Calgary, Alberta Globalization is the opportunity and the challenge of our age. It has the potential to lift billions out of poverty, vastly expand economic prospects, and develop a more diverse and resilient global economy. Content Type(s): Press, Speeches and appearances, Remarks
Real-Financial Linkages in the Canadian Economy: An Input-Output Approach Staff Working Paper 2011-14 Danny Leung, Oana Secrieru The purpose of this paper is twofold. First, we provide a detailed social accounting matrix (SAM), which incorporates the income and financial flows into the standard input-output matrix, for the Canadian economy for 2004. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Sectoral balance sheet JEL Code(s): C, C6, C67, D, D5, D57
2018 Merchant Acceptance Survey Staff Analytical Note 2019-31 Kim Huynh, Gradon Nicholls, Mitchell Nicholson In 2015, the Bank of Canada surveyed merchants and found that cash was nearly universally accepted (Fung, Huynh and Kosse 2017). Since 2015, retail payments in Canada have become increasingly digitalized, as many Canadians have adopted digital payment innovations like contactless cards and Interac e-Transfer. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C8, D, D2, D22, E, E4, L, L2
Covariates Hiding in the Tails Staff Working Paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C1, C14, C5, C58
Lessons from International Central Counterparties: Benchmarking and Analysis Staff Discussion Paper 2011-4 Alexandre Lazarow Since the financial crisis, attention has focused on central counterparties (CCPs) as a solution to systemic risk for a variety of financial markets, ranging from repurchase agreements and options to swaps. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Financial stability, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): G, G0, G01, G1, G14, G18, G2, G28, G3, G38
Are Wealth Effects Important for Canada? Staff Working Paper 2003-30 Lise Pichette, Dominique Tremblay The authors examine the link between consumption and disaggregate wealth in Canada. They use a vector-error-correction model in which permanent and transitory shocks are identified using the restrictions implied by cointegration proposed by King, Plosser, Stock, and Watson (1991) and Gonzalo and Granger (1995). Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): C, C3, C32, E, E2, E21