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3036 Results

Price Level versus Inflation Targeting under Model Uncertainty

Staff Working Paper 2008-15 Gino Cateau
The purpose of this paper is to make a quantitative contribution to the inflation versus price level targeting debate. It considers a policy-maker that can set policy either through an inflation targeting rule or a price level targeting rule to minimize a quadratic loss function using the actual projection model of the Bank of Canada (ToTEM).
Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58

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.

Forecasting with Many Models: Model Confidence Sets and Forecast Combination

Staff Working Paper 2013-11 Jon D. Samuels, Rodrigo Sekkel
A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53
August 18, 2011

The BoC-GEM-Fin: Banking in the Global Economy

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.

International Business Cycles and Financial Frictions

Staff Working Paper 2012-19 Wen Yao
This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt.
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