June 21, 2006 Using the Contingent Claims Approach to Assess Credit Risk in the Canadian Business Sector Financial System Review - June 2006 Michal Kozak, Meyer Aaron, Céline Gauthier Content Type(s): Publications, Financial System Review articles
Following the Money: Evidence for the Portfolio Balance Channel of Quantitative Easing Staff Working Paper 2018-33 Itay Goldstein, Jonathan Witmer, Jing Yang Recent research suggests that quantitative easing (QE) may affect a broad range of asset prices through a portfolio balance channel. Using novel security-level holding data of individual US mutual funds, we establish evidence that portfolio rebalancing occurred both within and across funds. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E5, E58, G, G2, G23
March 11, 1999 Then and now: the change in views on the role of monetary policy since the Porter Commission Lecture Gordon Thiessen C.D. Howe Institute Toronto, Ontario Tony Hampson made a number of outstanding contributions to Canadian public life as well as having a successful business career. Many in this audience will be familiar with the fact that for a number of years he was Chairman of the C.D. Howe Institute's Policy Analysis Committee. Content Type(s): Press, Speeches and appearances, Lectures
The Usefulness of Consumer Confidence Indexes in the United States Staff Working Paper 2002-22 Brigitte Desroches, Marc-André Gosselin This paper assesses the usefulness of consumer confidence indexes in forecasting aggregate consumer spending in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Economic models, International topics JEL Code(s): D, D1, D12, E, E2, E21, E27
Taylor Rules in the Quarterly Projection Model Staff Working Paper 2002-1 Ben Fung, Dinah Maclean, Jamie Armour In recent years, there has been a lot of interest in Taylor-type rules. Evidence in the literature suggests that Taylor-type rules are optimal in a number of models and are fairly robust across different models. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary policy and uncertainty, Monetary policy framework JEL Code(s): E, E5, E52
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 Research Topic(s): Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31
What Does the Risk-Appetite Index Measure? Staff Working Paper 2003-23 Miroslav Misina Explanations of changes in asset prices as being due to exogenous changes in risk appetite, although arguably controversial, have been popular in the financial community and have also received some attention in attempts to account for recent financial crises. Operational versions of these explanations are based on the assumption that changes in asset prices can be decomposed into a part that can be attributed to changes in riskiness and a part attributable to changes in risk aversion, and that some quantitative measure can capture these effects in isolation. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12
Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, E, E4, E41
The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States Staff Working Paper 2006-11 René Lalonde, Nicolas Parent In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary policy framework, Monetary policy implementation JEL Code(s): C, C2, C22, C5, C52, E, E5, E52
February 17, 2011 Adverse Selection and Financial Crises Bank of Canada Review - Winter 2010-2011 Koralai Kirabaeva The recent financial crisis has highlighted the importance of adverse selection as a contributing factor to financial market instability. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial stability, Financial system regulation and policies, Market structure and pricing