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3035 Results

Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model

Staff Working Paper 2001-23 Ying Liu
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C2, C22, C4, C49, E, E4, E47

Assessment of the Effects of Macroprudential Tightening in Canada

Staff Analytical Note 2016-12 Martin Kuncl
During the period of 2008 to 2012, the rules for government-backed mortgage insurance were tightened on four occasions. In this note, we estimate the effects through a simple econometric exercise using a vector error-correction model (VECM).

Does Financial Structure Matter for the Information Content of Financial Indicators?

Staff Working Paper 2005-33 Ramdane Djoudad, Jack Selody, Carolyn A. Wilkins
Of particular concern to monetary policy-makers is the considerable unreliability of financial variables for predicting GDP growth and inflation.
December 13, 1999

Feedback Rules for Inflation Control: An Overview of Recent Literature

Feedback rules are rules aimed at guiding policy-makers as they face the problem of keeping inflation close to a desired path without causing variability elsewhere in the economy. These rules link short-term interest rates, controlled by the central bank, to the rate of inflation and/or its deviation from a target rate. The authors describe the most popular types of feedback rules and review some simulation results.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates

Addressing Household Indebtedness: Monetary, Fiscal or Macroprudential Policy?

Staff Working Paper 2014-58 Sami Alpanda, Sarah Zubairy
In this paper, we build a dynamic stochastic general-equilibrium model with housing and household debt, and compare the effectiveness of monetary policy, housing-related fiscal policy, and macroprudential regulations in reducing household indebtedness.

Inventories and Real Rigidities in New Keynesian Business Cycle Models

Staff Working Paper 2009-9 Oleksiy Kryvtsov, Virgiliu Midrigan
Kryvtsov and Midrigan (2008) study the behavior of inventories in an economy with menu costs, fixed ordering costs and the possibility of stock-outs. This paper extends their analysis to a richer setting that is capable of more closely accounting for the dynamics of the US business cycle.

Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework

Staff Working Paper 2004-9 Jean-Paul Lam, Greg Tkacz
In an era when the primary policy instrument is the level of the short-term interest rate, a comparison of that rate with some equilibrium rate can be a useful guide for policy and a convenient method to measure the stance of monetary policy.
Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates JEL Code(s): C, C3, C32, E, E3, E37
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