August 18, 2002 The Role of Simple Rules in the Conduct of Canadian Monetary Policy Bank of Canada Review - Summer 2002 Denise Côté, Jean-Paul Lam, Ying Liu, Pierre St-Amant The third strategy employed by the Bank when dealing with uncertainty is the consideration of appropriate simple reaction functions or "rules" for the setting of the policy interest rate. Since John Taylor's presentation of his much-discussed rule, research on simple policy rules has exploded. Simple rules have several advantages. In particular, they are easy to construct and communicate and are believed by some to be robust, in the sense of generating good results in a variety of economic models. This article provides an overview of the recent research regarding the usefulness and robustness of simple monetary policy rules, particularly in models of the Canadian economy. It also describes and explains the role of simple rules in the conduct of monetary policy in Canada. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Monetary policy and uncertainty
Financial Conditions Indexes for Canada Staff Working Paper 2004-22 Céline Gauthier, Christopher Graham, Ying Liu The authors construct three financial conditions indexes (FCIs) for Canada based on three approaches: an IS-curve-based model, generalized impulse-response functions, and factor analysis. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators, Monetary conditions index JEL Code(s): E, E4, E44, E5, E52
Evaluating the portfolio balance effects of the Government of Canada Bond Purchase Program on the Canadian yield curve Staff Analytical Note 2024-22 Antonio Diez de los Rios The Bank of Canada’s Government of Canada Bond Purchase Program, launched in response to the COVID-19 pandemic, lowered the weighted average maturity of the Government of Canada’s debt by approximately 1.4 years. This in turn reduced Canadian 10-year and 5-year zero-coupon yields by 84 and 52 basis points, respectively. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Central bank research, Coronavirus disease (COVID-19), Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, G, G1, G12, H, H6, H63
Extreme Downside Risk in Asset Returns Staff Working Paper 2019-46 Lerby Ergun Financial markets can experience sudden and extreme downward movements. Investors are highly concerned about the performance of their assets in such scenarios. Some assets perform badly in a downturn in the market; others have milder reactions. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C1, C14, G, G1, G11, G12
Price Caps in Canadian Bond Borrowing Markets Staff Analytical Note 2019-2 Léanne Berger-Soucy, Jean-Sébastien Fontaine, Adrian Walton Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G12
Revisiting National Border Effects in Foreign Trade in Goods of Canadian Provinces Staff Working Paper 2015-28 Farrukh Suvankulov A significant body of empirical studies demonstrates sizable national border effects in foreign trade of Canadian provinces throughout the 1980s and 1990s. This paper revisits and expands the scope of the border effects analysis by estimating the border effect in trade with U.S. states as well as countries in the European Union (EU) and the G 20 using more recent data from 2001–10. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F1, F14, F15
When Bad Things Happen to Good Banks: Contagious Bank Runs and Currency Crises Staff Working Paper 2004-18 Raphael Solomon The author develops a twin crisis model featuring multiple banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial institutions JEL Code(s): E, E5, E58, F, F3, F30, G, G2, G21
June 21, 2007 The Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds Financial System Review - June 2007 Natasha Khan Content Type(s): Publications, Financial System Review articles
June 16, 2008 A Money and Credit Real-Time Database for Canada Bank of Canada Review - Summer 2008 Roobina Keshishbanoosy, Pierre St-Amant, Devin Ball, Ivan Medovikov Model-based forecasts of important economic variables are part of the range of information considered for monetary policy decision making. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Credit and credit aggregates, Monetary aggregates, Monetary policy and uncertainty
June 21, 2006 Financial System Review - June 2006 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report