Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff Working Paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates JEL Code(s): E, E5, G, G0
Noisy Monetary Policy Staff Working Paper 2018-23 Tatjana Dahlhaus, Luca Gambetti We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial markets, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52
April 14, 2007 Bank of Canada Review - Spring 2007 Cover page Gas Cards All gas cards pictured here are part of the National Currency Collection of the Bank of Canada. Content Type(s): Publications, Bank of Canada Review
Uninsurable Investment Risks Staff Working Paper 2004-29 Césaire Meh, Vincenzo Quadrini The authors study a general-equilibrium economy in which agents have the ability to invest in a risky technology. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial institutions, Financial markets JEL Code(s): D, D3, D31, E, E2, E21, G, G0
On the Nexus of Monetary Policy and Financial Stability: Effectiveness of Macroprudential Tools in Building Resilience and Mitigating Financial Imbalances Staff Discussion Paper 2016-11 H. Evren Damar, Miguel Molico This paper reviews the Canadian and international evidence of the effectiveness of macroprudential policy measures in building resilience and mitigating financial imbalances. The analysis concludes that these measures have broadly achieved their goal of increasing the overall resilience of the financial system to the buildup of imbalances and increasing the financial system’s ability to withstand adverse shocks. Content Type(s): Staff research, Staff discussion papers Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies JEL Code(s): E, E5, E51, E58, G, G1, G18, G2, G28
November 11, 2009 Declining Inflation Persistence in Canada: Causes and Consequences Bank of Canada Review - Winter 2009-2010 Rhys R. Mendes, Stephen Murchison The persistence of both core and total consumer price index inflation in Canada has declined significantly since the 1980s. In addition to providing up-to-date estimates of inflation persistence, this article examines possible reasons for the decline suggested in the literature. The role played by monetary policy, through its effect on price- and wage-setting behaviour, is distinguished from possible changes to the structure of the economy that are independent of monetary policy. The authors also discuss the implications for monetary policy of low structural persistence in inflation, including the choice of an inflation-targeting regime versus a price-level-targeting regime. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Inflation and prices, Monetary policy framework
Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis Staff Working Paper 2000-12 Hashmat Khan The sticky-price model of aggregate fluctuations implies that countries with high trend inflation rates should exhibit less-persistent output fluctuations than countries with low trend inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E31, E32
Adopting Price-Level Targeting under Imperfect Credibility Staff Working Paper 2008-3 Oleksiy Kryvtsov, Malik Shukayev, Alexander Ueberfeldt This paper measures the welfare gains of switching from inflation-targeting to price-level targeting under imperfect credibility. Vestin (2006) shows that when the monetary authority cannot commit to future policy, price-level targeting yields higher welfare than inflation targeting. Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52
Price Movements in the Canadian Residential Mortgage Market Staff Working Paper 2009-13 Jason Allen, Darcey McVanel The authors empirically analyze the price-setting behaviour of the major Canadian banks in the residential mortgage market over the period 1991–2007. They use weekly posted prices of the major mortgage providers to study the degree of competition in mortgage price setting. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services JEL Code(s): D, D4, G, G2
The BoC-BoE Sovereign Default Database Revisited: What’s New in 2018? Staff Working Paper 2018-30 David Beers, Jamshid Mavalwalla Until recently, there have been few efforts to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada’s Credit Rating Assessment Group (CRAG) has developed a comprehensive database of sovereign defaults posted on the Bank of Canada’s website that now is updated in partnership with the Bank of England. Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15