National Saving–Investment Dynamics and International Capital Mobility Staff Working Paper 2004-14 Florian Pelgrin, Sebastian Schich The authors analyze the dynamics of national saving–investment relationships to determine the degree of international capital mobility. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): C, C2, C23, F, F3, F31
Estimating DSGE-Model-Consistent Trends for Use in Forecasting Staff Working Paper 2009-35 Jean-Philippe Cayen, Marc-André Gosselin, Sharon Kozicki The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E5, E52
June 21, 2006 Using High-Frequency Data to Model Volatility Dynamics Financial System Review - June 2006 Gregory Bauer Content Type(s): Publications, Financial System Review articles
December 14, 2009 Towards a Stress-Testing Model Consistent with the Macroprudential Approach Financial System Review - December 2009 Céline Gauthier, Alfred Lehar, Moez Souissi Content Type(s): Publications, Financial System Review articles
Central Bank Digital Currencies and Banking: Literature Review and New Questions Staff Discussion Paper 2023-4 James Chapman, Jonathan Chiu, Mohammad Davoodalhosseini, Janet Hua Jiang, Francisco Rivadeneyra, Yu Zhu We review the nascent but fast-growing literature on central bank digital currencies (CBDCs), focusing on their potential impacts on private banks. We evaluate these impacts in three areas of traditional banking: payments, lending and liquidity and maturity transformation. We also take a broader look at CBDCs and highlight two promising directions for future research. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Digital currencies and fintech, Financial institutions, Financial stability JEL Code(s): E, E5, E50, E58, G, G0, G00, L, L0, L00
November 24, 2004 Bank of Canada Review - Autumn 2004 Cover page Bus Transportation Tokens and Tickets The pieces illustrated on the cover range in size from 12 mm to 38 mm in diameter or width. They form part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review
Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks Staff Working Paper 1996-8 Marcel Kasumovich In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators, Monetary policy transmission JEL Code(s): E, E4, E43, E5, E51
August 18, 2011 The BoC-GEM-Fin: Banking in the Global Economy Bank of Canada Review - Summer 2011 Carlos De Resende, René Lalonde This article describes the Bank of Canada’s version of the Global Economy Model structured to incorporate an active banking system that features an interbank market and cross-border lending. After describing the new model, the authors use it to examine the responses of selected U.S. and Canadian macroeconomic variables to a “credit crunch” in the United States and also to study the impact of changes in the regulatory limits to bank leverage in Canada. They also discuss the relative merits of a monetary policy framework based on inflation targeting and one based on price-level targeting in the presence of shocks to the U.S. and Canadian banking sectors. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Economic models, Financial institutions, Financial system regulation and policies, Monetary policy framework
The Welfare Implications of Fiscal Dominance Staff Working Paper 2008-28 Carlos De Resende, Nooman Rebei This paper studies the interdependence between fiscal and monetary policy in a DSGE model with sticky prices and non-zero trend inflation. We characterize the fiscal and monetary policies by a rule whereby a given fraction k of the government debt must be backed by the discounted value of current and future primary surpluses. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Inflation: costs and benefits, Monetary policy framework JEL Code(s): E, E3, E31, E4, E42, E5, E50, E6, E63
A Measure of Underlying Inflation in the United States Staff Working Paper 1997-20 Iris Claus A monetary authority with the primary objective of price stability has to distinguish between temporary price shocks and persistent shocks to the rate of inflation. A measure of underlying inflation, therefore, has an important role to play as a guideline for monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31