An Optimized Monetary Policy Rule for ToTEM Staff Working Paper 2006-41 Jean-Philippe Cayen, Amy Corbett, Patrick Perrier The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E52
Estimating One-Factor Models of Short-Term Interest Rates Staff Working Paper 1999-18 Des Mc Manus, David Watt There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4
January 25, 2012 Bank of Canada Oversight Activities during 2006 under the Payment Clearing and Settlement Act Financial System Review - June 2007 Clyde Goodlet Content Type(s): Publications, Financial System Review articles
Benchmark Index of Risk Appetite Staff Working Paper 2006-16 Miroslav Misina Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12
Lines of Credit and Consumption Smoothing: The Choice between Credit Cards and Home Equity Lines of Credit Staff Working Paper 2005-18 Shubhasis Dey The author models the choice between credit cards and home equity lines of credit (HELOCs) within a framework where consumers hold lines of credit as instruments of consumption smoothing across state and time. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates JEL Code(s): D, D1, D8, D81
Stability versus Flexibility: The Role of Temporary Employment in Labour Adjustment Staff Working Paper 2010-27 Shutao Cao, Danny Leung In Canada, temporary workers account for 14 per cent of jobs in the non-farm business sector, are present in a range of industries, and account for 40 per cent of the total job reallocation. Yet most models of job reallocation abstract from temporary workers. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Productivity JEL Code(s): D, D2, D24, J, J3, J32
Money in the Bank (of Canada) Technical Report No. 93 David Longworth With the demise of monetary targeting over the past 20 years in many major countries, the question has arisen as to whether central banks should look at money at all when formulating and conducting monetary policy. Content Type(s): Staff research, Technical reports Research Topic(s): Monetary aggregates, Monetary policy transmission JEL Code(s): E, E5, E50, E51, E52
Real-financial Linkages through Loan Default and Bank Capital Staff Working Paper 2013-3 Tamon Takamura Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies, Interest rates JEL Code(s): E, E3, E32, E4, E44, E6, E69
The Canadian Phillips Curve and Regime Shifting Staff Working Paper 2003-32 Frédérick Demers Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31