A New Measure of Monetary Policy Shocks Staff Working Paper 2021-29 Xu Zhang Combining various high frequency financial data with central bank projections, I construct a new measure of monetary policy shocks not predictable by the public information preceding a central bank’s announcements. I then study the causal effects of monetary policy on the macro economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates, Monetary policy JEL Code(s): E, E5, G, G0
December 27, 2005 An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia Financial System Review - December 2005 Marc-André Gosselin, Nicolas Parent Content Type(s): Publications, Financial System Review articles
Forecasting Canadian Time Series with the New Keynesian Model Staff Working Paper 2006-4 Ali Dib, Mohamed Gammoudi, Kevin Moran The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C1, C12, E, E3, E32, E37
An Econometric Examination of the Trend Unemployment Rate in Canada Staff Working Paper 1996-7 Denise Côté, Doug Hostland This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24
March 16, 2008 Bank of Canada Review - Spring 2008 Cover Page Canada's First Coinage Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
Household Stockholding Behavior During the Great Financial Crisis Staff Working Paper 2015-15 Jie Zhou Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G01, G1, G11
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle Staff Working Paper 2005-9 Fousseni Chabi-Yo, René Garcia, Eric Renault The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13
Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency Staff Working Paper 2001-5 Toni Gravelle, Richhild Moessner In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We find that Canadian interest rates react very little to Canadian macroeconomic news and are significantly affected by U.S. macroeconomic news, which indicates that international influences on the Canadian fixed-income markets are important. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Monetary policy implementation JEL Code(s): E, E0, E4, E5
Why Does Private Consumption Rise After a Government Spending Shock? Staff Working Paper 2003-43 Hafedh Bouakez, Nooman Rebei Recent empirical evidence suggests that private consumption is crowded-in by government spending. This outcome violates existing macroeconomic theory, according to which the negative wealth effect brought about by a rise in public expenditure should decrease consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Fiscal policy JEL Code(s): E, E3, E32, E6, E62
The Positive Case for a CBDC Staff Discussion Paper 2021-11 Andrew Usher, Edona Reshidi, Francisco Rivadeneyra, Scott Hendry We discuss the competition and innovation arguments for issuing a central bank digital currency (CBDC). A CBDC could be an effective competition policy tool for payments. A CBDC could also support the vibrancy of the digital economy. It could help solve market failures and foster competition and innovation in new digital payments markets. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digital currencies and fintech, Financial institutions, Financial stability JEL Code(s): E, E4, E42, E5, E58, L, L4, L5