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
August 22, 2009 Some Considerations on Using Monetary Policy to Stabilize Economic Activity Remarks Mark Carney symposium sponsored by the Federal Reserve Bank of Kansas City Jackson Hole, Wyoming Walsh's paper highlights many useful lessons that can be learned from the conventional framework and its various extensions. However, the financial crisis provides a stark and costly reminder of just how incomplete the standard model is. Content Type(s): Press, Speeches and appearances, Remarks
Are Counterparty Arrangements in Reinsurance a Threat to Financial Stability? Staff Working Paper 2016-39 Matt Davison, Darrell Leadbetter, Bin Lu, Jane Voll Interconnectedness among insurers and reinsurers at a global level is not well understood and may pose a significant risk to the sector, with implications for the macroeconomy. Models of the complex interactions among reinsurers and with other participants in the financial system and the real economy are at a very early stage of development. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Financial stability, Financial system regulation and policies JEL Code(s): C, C6, C63, G, G1, G10, G15, G18, G2, G22, G28
Digitalization: Prices of Goods and Services Staff Discussion Paper 2023-27 Vivian Chu, Tatjana Dahlhaus, Christopher Hajzler This paper outlines and assesses the various channels through which digitalization can affect prices of goods and services. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digitalization, Inflation and prices, Market structure and pricing, Monetary policy JEL Code(s): D, D2, E, E3, E31, E5, E52, L, L1, L11
International Spillovers of Large-Scale Asset Purchases Staff Working Paper 2015-2 Sami Alpanda, Serdar Kabaca This paper evaluates the international spillover effects of large-scale asset purchases (LSAPs) using a two-country dynamic stochastic general-equilibrium model with nominal and real rigidities, and portfolio balance effects. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, International topics, Monetary policy transmission JEL Code(s): E, E5, E52, F, F4, F41
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
August 19, 2002 Models in Policy-Making Bank of Canada Review - Summer 2002 Donald Coletti, Stephen Murchison This article examines another strategy in the Bank's approach to dealing with an uncertain world: the use of carefully articulated models to produce economic forecasts and to examine the implications of the various risks to those forecasts. Economic models are deliberate simplifications of a complex world that allow economists to make predictions that are reasonably accurate and that can be easily understood and communicated. By using several models, based on competing paradigms, the Bank minimizes policy errors that could result from relying on one view of the world and one philosophy of model design. The authors review some of the models currently used at the Bank, as well as the role of judgment in the projection process. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Economic models
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
The Empirical Performance of Alternative Monetary and Liquidity Aggregates Staff Working Paper 1995-12 Joseph Atta-Mensah This paper examines the empirical performance of alternatives to the monetary aggregates currently published by the Bank of Canada. The results show that real M1 and real M1a perform about equally well in providing leading information about real output at short horizons. However, on theoretical grounds, M1a is a more attractive aggregate, since it excludes […] Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators
Broker Routing Decisions in Limit Order Markets Staff Working Paper 2016-50 David Cimon The primary focus of this paper is to study conflict of interest in the brokerage market. Brokers face a conflict of interest when the commissions they receive from investors differ from the costs imposed by different trading venues. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G2, G24, G28