Quantitative Easing and Long‐Term Yields in Small Open Economies Staff Working Paper 2017-26 Antonio Diez de los Rios, Maral Shamloo We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, E58, G, G1, G12
Canadian City Housing Prices and Urban Market Segmentation Staff Working Paper 2006-49 Jason Allen, Robert Amano, David Byrne, Allan Gregory The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to 2005 as well as idiosyncratic relations between city prices and city-specific variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Regional economic developments JEL Code(s): C, C2, C22, C3, C32, R, R2
Implementation of Monetary Policy in a Regime with Zero Reserve Requirements Staff Working Paper 1997-8 Kevin Clinton Monetary policy can be implemented effectively without reserve requirements as long as cost incentives ensure a predictable demand for settlement balances. A central bank can then achieve the level of short-term interest rates that it desires, using market-oriented instruments only. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy implementation JEL Code(s): E, E5, E52
August 19, 2010 Monetary Policy and the Zero Bound on Nominal Interest Rates Bank of Canada Review - Summer 2010 Robert Amano, Malik Shukayev The recent financial crisis and global economic slowdown have renewed interest in monetary policy options when the policy interest rate is at or near zero. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation targets, Monetary policy framework
Consumer Attitudes and the Epidemiology of Inflation Expectations Staff Working Paper 2014-28 Michael Ehrmann, Damjan Pfajfar, Emiliano Santoro This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or education, other characteristics such as the households’ financial situation and their purchasing attitudes also matter. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): C, C5, C53, D, D8, D84, E, E3, E31
Default Dependence: The Equity Default Relationship Staff Working Paper 2008-1 Stuart Turnbull, Jun Yang The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): G, G1, G12, G13
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach Staff Working Paper 1996-1 Robert Vigfusson Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12
May 16, 2013 Explaining Canada’s Regional Migration Patterns Bank of Canada Review - Spring 2013 David Amirault, Daniel de Munnik, Sarah Miller Understanding the factors that determine the migration of labour between regions is crucial for assessing the economy’s response to macroeconomic shocks and identifying policies that will encourage an efficient reallocation of labour. By examining the determinants of migration within Canada from 1991 to 2006, this article provides evidence that regional differences in employment rates and household incomes tend to increase labour migration, and that provincial borders and language differences are barriers to migration. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Econometric and statistical methods, Labour markets, Regional economic developments JEL Code(s): J, J6, J61, R, R2, R23
May 13, 2014 Bank of Canada Review - Spring 2014 The five articles in this issue present research and analysis by Bank staff covering a variety of topics: the growth of Canadian-dollar-denominated assets in official foreign reserves; the emergence of platform-based digital currencies; methods of forecasting the real price of oil; measures of uncertainty in monetary policy; and the recent performance of the labour market in Canada and the United States. Content Type(s): Publications, Bank of Canada Review
What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates Staff Working Paper 2010-5 Jean-Philippe Cayen, Donald Coletti, René Lalonde, Philipp Maier We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): J, J3, J31