Inflation Changes, Yield Spreads, and Threshold Effects Staff Working Paper 2002-40 Greg Tkacz Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Interest rates JEL Code(s): C, C5, C51, E, E3, E31
November 1, 2006 Renewal of the Inflation-Control Target (November 2006) Commentary and technical data relating to the 2006 target renewal. Content Type(s): Background materials Research Topic(s): Inflation and prices, Monetary policy
Risk Perceptions and Attitudes Staff Working Paper 2005-17 Miroslav Misina Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuations in financial markets, as well as in accounts of "irrational exuberance." Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): D, D8, D81, D84, G, G1, G12
Dynamic Factor Analysis for Measuring Money Staff Working Paper 2003-21 Paul Gilbert, Lise Pichette Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary aggregates, Monetary and financial indicators JEL Code(s): C, C4, C43, C8, C82, E, E5, E51
Central Bank Liquidity Facilities and Market Making Staff Working Paper 2022-9 David Cimon, Adrian Walton We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Economic models, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G2, G20, L, L1, L10
A Policy Framework for E-Money: A Report on Bank of Canada Research Staff Discussion Paper 2018-5 Mohammad Davoodalhosseini, Francisco Rivadeneyra We present a policy framework for electronic money and payments. The framework poses a set of positive questions related to the areas of responsibility of central banks: payments systems, monetary policy and financial stability. The questions are posed to four broad forms of e-money: privately or publicly issued, and with centralized or decentralized verification of transactions. This framework is intended to help evaluate the trade-offs that central banks face in the decision to issue new forms of e-money. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digital currencies and fintech, Monetary policy, Payment clearing and settlement systems JEL Code(s): E, E4, E41, E5, E51, E52, E58
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
Price Level Targeting: What Is the Right Price? Staff Working Paper 2010-8 Malik Shukayev, Alexander Ueberfeldt Various papers have suggested that Price-Level targeting is a welfare improving policy relative to Inflation targeting. From a practical standpoint, this raises an important yet unanswered question: What is the optimal price index to target? Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52
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
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach Staff Working Paper 2003-8 Andrew Rennison The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C1, C15, E, E3, E32