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3035 Results

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.
May 15, 2001

www.bankofcanada.ca—The Bank on the World Wide Web

This article by the Bank's Web master details the development of the Bank's Web site and highlights some of its special features. It includes a description of dataBANK, a custom-built interface to the Bank's economic databases that gives visitors access to 220 data series. It also provides a mini tour of monetary policy material "on site," as well as a taste of things to come. Above all, this article invites you to come and visit our site.

Assembling a Real-Financial Micro-Dataset for Canadian Households

Staff Working Paper 2010-6 Umar Faruqui
The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending.
Content Type(s): Staff research, Staff working papers Research Topic(s): Sectoral balance sheet JEL Code(s): C, C8, C81, D, D1, D10

A Semiparametric Early Warning Model of Financial Stress Events

Staff Working Paper 2013-13 Ian Christensen, Fuchun Li
The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17

Central Bank Digital Currencies and Banking: Literature Review and New Questions

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.

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

Adopting Price-Level Targeting under Imperfect Credibility

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 Research Topic(s): Credibility, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52
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.
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