Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects Staff Working Paper 2015-21 Sharon Kozicki, Lena Suchanek, Eric Santor Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve’s large-scale asset purchase (LSAP) programs. Content Type(s): Staff working papers Topic(s): International topics JEL Code(s): E, E5, E58, G, G1, G14, Q, Q0, Q00
June 11, 2009 Bank of Canada Review - Summer 2009 Examining the incentives for banks to hold various assets on their balance sheets for use as collateral when the opportunity cost of doing so can be high; an outline of the complexity inherent in any modern risk-management system and review of possible strategies to improve the performance of risk management; causes and consequences of the changing pace of labour reallocation in Canada; description of the structure and functioning of BoC-GEM— an adaptation of the Global Economy Model— with examples of its recent application. Content Type(s): Publications, Bank of Canada Review
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. Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Monetary policy and uncertainty, Potential output JEL Code(s): E, E3, E5
Price Level Targeting in a Small Open Economy with Financial Frictions: Welfare Analysis Staff Working Paper 2008-40 Ali Dib, Caterina Mendicino, Yahong Zhang How important are the benefits of low price-level uncertainty? This paper explores the desirability of price-level path targeting in an estimated DSGE model fit to Canadian data. The policy implications are based on social welfare evaluations. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52
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 Topic(s): Financial markets JEL Code(s): G, G1, G10, G12, G14
The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada Staff Working Paper 2013-35 Mikael Khan, Louis Morel, Patrick Sabourin In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy framework JEL Code(s): C, C1, E, E3, E31, E32, E5, E52, E58
What Matters in Determining Capital Surcharges for Systemically Important Financial Institutions? Staff Discussion Paper 2011-9 Céline Gauthier, Toni Gravelle, Xuezhi Liu, Moez Souissi One way of internalizing the externalities that each individual bank imposes on the rest of the financial system is to impose capital surcharges on them in line with their systemic importance. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21
Sovereign Default and State-Contingent Debt Staff Discussion Paper 2013-3 Martin Brooke, Rhys R. Mendes, Alex Pienkowski, Eric Santor The Latin American debt crises in the 1980s and the Asian crisis in the late 1990s both provided impetus for reforming the framework for restructuring sovereign debt. In the late 1980s, the Brady plan established the importance of substantive debt relief in addressing some crises. Content Type(s): Staff research, Staff discussion papers Topic(s): International financial markets, International topics JEL Code(s): F, F3, F34
Inflation and Relative Price Dispersion in Canada: An Empirical Assessment Staff Working Paper 2005-28 André Binette, Sylvain Martel The authors investigate empirically the relationship between different aspects of inflation and relative price dispersion in Canada using a Markov regime-switching Phillips curve. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31
On the Believable Benefits of Low Inflation Staff Working Paper 1998-15 Christopher Ragan This paper reviews the existing theoretical and empirical literature addressing the benefits of low inflation. The ultimate goal is to arrive at a set of benefits in which a monetary authority can have genuine confidence. I argue that the current state of economic research—both empirical and theoretical—provides little basis for believing in significant observable benefits […] Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E3, E31