March 9, 2010 Bank of Canada Review - Spring 2010 Discussion of recent research into three ways that oil-futures prices can improve our understanding of current conditions and future prospects in the global market for crude oil; inflation expectations and the conduct of monetary policy: a review of recent evidence and experience; examination of the influence of various forms of economic uncertainty on the performance of different classes of monetary policy rules; how, when, and why such revisions to many important economic variables occur. Content Type(s): Publications, Bank of Canada Review
Banks’ Financial Distress, Lending Supply and Consumption Expenditure Staff Working Paper 2014-7 H. Evren Damar, Reint Gropp, Adi Mordel The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Domestic demand and components, Financial institutions JEL Code(s): E, E2, E21, E4, E44, G, G0, G01, G2, G21
The Macroeconomic Effects of Non-Zero Trend Inflation Staff Working Paper 2006-34 Robert Amano, Steve Ambler, Nooman Rebei The authors study the macroeconomic effects of non-zero trend inflation in a simple dynamic stochastic general-equilibrium model with sticky prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Inflation targets JEL Code(s): E, E2, E24, E3, E32
Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions Staff Working Paper 2013-20 Nathan Porter, TengTeng Xu Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate liberalization. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Econometric and statistical methods, Financial markets, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C2, C22, E, E4, E43, E5, E52, E58
Assessing the Impact of the Bank of Canada’s Government Bond Purchases Staff Discussion Paper 2024-5 Chinara Azizova, Jonathan Witmer, Xu Zhang In March 2020, the Bank of Canada implemented the Government of Canada Bond Purchase Program, eventually purchasing approximately $340 billion of government bonds. In this paper, we analyze the impact of this program on financial market prices and yields as well as on GDP and inflation. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial markets, Financial system regulation and policies, Inflation and prices, Monetary policy, Monetary policy transmission JEL Code(s): E, E5, E52, E58, G, G2, G21, G28
Money and Credit Factors Staff Working Paper 2006-3 Paul Gilbert, Erik Meijer The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C4, C43, C8, C82, E, E5, E51
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
Can a Matching Model Explain the Long-Run Increase in Canada's Unemployment Rate? Staff Working Paper 1998-19 Andreas Hornstein, Mingwei Yuan The authors construct a simple general equilibrium model of unemployment and calibrate it to the Canadian economy. Job creation and destruction are endogenous. In this model, they consider several potential factors that could contribute to the long-run increase in the Canadian unempoloyment rate: a more generous unemployment insurance system, higher layoff costs, higher discretionary taxes, […] Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Labour markets JEL Code(s): E, E2, E6, J, J4
Evaluating Factor Models: An Application to Forecasting Inflation in Canada Staff Working Paper 2001-18 Marc-André Gosselin, Greg Tkacz This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E37
Risk and State-Dependent Financial Frictions Staff Working Paper 2022-37 Martin Harding, Rafael Wouters Using a nonlinear New Keynesian model with a financial accelerator, we show that financial frictions generate large state-dependent amplification effects. Shocks propagate more strongly in periods of financial stress. We propose an endogenous regime-switching DSGE framework for efficient estimation and improved model fit. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Credit and credit aggregates, Financial stability, Monetary policy JEL Code(s): E, E5, E52, E58