Evaluating Alternative Measures of the Real Effective Exchange Rate Staff Working Paper 1998-20 Robert Lafrance, Patrick Osakwe, Pierre St-Amant This paper discusses the merits and shortcomings of alternative price indices used in constructing real effective exchange rate indices and examines the effects of different weighting schemes. It also compares selected measures of the real effective exchange rate in terms of their ability to explain movements in Canadian net exports and real output. The paper […] Content Type(s): Staff research, Staff working papers
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach Staff Working Paper 2006-20 Neville Arjani The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS). Content Type(s): Staff research, Staff working papers Research Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21
Quantile VARs and Macroeconomic Risk Forecasting Staff Working Paper 2025-4 Stéphane Surprenant This paper provides an extensive evaluation of the performance of quantile vector autoregression (QVAR) to forecast macroeconomic risk. Generally, QVAR outperforms standard benchmark models. Moreover, QVAR and QVAR augmented with factors perform equally well. Both are adequate for modeling macroeconomic risks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): C, C5, C53, C55, E, E3, E37
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology Staff Working Paper 1996-2 Pierre St-Amant In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, International topics JEL Code(s): E, E3, E31, E4, E43
May 16, 2016 Bank of Canada Review - Spring 2016 This issue focuses on the upcoming renewal of Canada’s inflation-control target. Bank researchers discuss the estimate of the lower bound to policy interest rates in Canada. They also discuss downward nominal wage rigidity and whether its presence warrants considering a higher inflation target. The third article highlights the experience some international central banks have had with unconventional monetary policies. The final article describes monetary policy frameworks in 10 advanced economies. Content Type(s): Publications, Bank of Canada Review
Reviewing Canada’s Monetary Policy Implementation System: Does the Evolving Environment Support Maintaining a Floor System? Staff Discussion Paper 2023-10 Toni Gravelle, Ron Morrow, Jonathan Witmer At the onset of the pandemic, the Bank of Canada transitioned its framework for monetary policy implementation from a corridor system to a floor system, which it has since decided to maintain. We provide a comprehensive analysis of both frameworks and assess their relative merits based on five key criteria that define a sound framework. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Market structure and pricing, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): D, D4, D47, E, E4, E42, E5, E58
Do Sunspots Matter? Evidence from an Experimental Study of Bank Runs Staff Working Paper 2014-12 Jasmina Arifovic, Janet Hua Jiang A "sunspot" is a variable that has no direct impact on the economy’s fundamental condition, such as preferences, endowments or technologies, but may nonetheless affect economic outcomes through the expectations channel as a coordination device. This paper investigates how people react to sunspots in the context of a bank-run game in a controlled laboratory environment. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C9, C91, C92, D, D8, D80, E, E5, E58, G, G2, G20
Micro Foundations of Price-Setting Behaviour: Evidence from Canadian Firms Staff Working Paper 2007-31 Daniel de Munnik, Kuan Xu How do firms adjust prices in the marketplace? Do they tend to adjust prices infrequently in response to changes in market conditions? If so, why? These remain key questions in macroeconomics, particularly for central banks that work to keep inflation low and stable. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): D, D4, D40, E, E3, E30, L, L1, L11
August 19, 2010 Conference Summary: New Frontiers in Monetary Policy Design Bank of Canada Review - Summer 2010 Robert Amano, Kevin Devereux, Rhys R. Mendes Although the current inflation-targeting regime has served Canadians well, sound public policy demands the continuous exploration of possible improvements in the monetary policy framework. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Inflation targets, Monetary policy framework
September 11, 2008 Bank of Canada Review - Autumn 2008 Cover page Leonard C. Wyon: Canada’s Victorian Engraver Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review