2020 US Neutral Rate Assessment Staff Discussion Paper 2020-12 James Bootsma, Thomas J. Carter, Xin Scott Chen, Christopher Hajzler, Argyn Toktamyssov This paper presents Bank of Canada staff’s current assessment of the US neutral rate, along with a newly developed set of models on which that assessment is based. The overall assessment is that the US neutral rate currently lies in a range of 1.75 to 2.75 percent. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41
August 27, 2007 The Bank of Canada's Research Agenda and the Future of Inflation Targeting Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario The last few weeks have been a time of turbulence in financial markets. In times such as these, it is common for people to focus on day-by-day or even hour-by-hour events, and to lose sight of the future. But tonight, I want to focus on the future; specifically, the future of inflation targeting in Canada. Content Type(s): Press, Speeches and appearances, Remarks
Household Risk Management and Actual Mortgage Choice in the Euro Area Staff Working Paper 2014-1 Michael Ehrmann, Michael Ziegelmeyer Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Monetary policy transmission JEL Code(s): D, D1, D12, E, E4, E43, E5, E52, G, G2, G21
December 21, 2006 Are Canadian Banks Efficient? A Canada-U.S. Comparison Financial System Review - December 2006 Jason Allen, Walter Engert, Ying Liu Content Type(s): Publications, Financial System Review articles
Short-Term Forecasting of the Japanese Economy Using Factor Models Staff Working Paper 2012-7 Claudia Godbout, Marco J. Lombardi While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the recent financial crisis. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47
May 13, 2014 The Canadian Dollar as a Reserve Currency Bank of Canada Review - Spring 2014 Lukasz Pomorski, Francisco Rivadeneyra, Eric Wolfe This article provides an overview of the growth of Canadian-dollar-denominated assets in official foreign reserves. Based on International Monetary Fund data and on internal Bank of Canada analysis, we estimate that the total reserve holdings of Canadian-dollar assets increased from negligible levels before 2008 to around US$200 billion in the third quarter of 2013. We discuss the determinants of this increase, as well as its potential impact on Canadian debt markets, for example, lower yields and therefore reduced financing costs for the Government of Canada, and the possible negative impact on market liquidity. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Foreign reserves management, Recent economic and financial developments JEL Code(s): E, E5, E58, F, F3, F31, G, G1, G12
December 2, 2002 Canadian Foreign Exchange Market Liquidity and Exchange Rate Dynamics Financial System Review - December 2002 Chris D'Souza Content Type(s): Publications, Financial System Review articles
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
Electronic Transactions as High-Frequency Indicators of Economic Activity Staff Working Paper 2007-58 John Galbraith, Greg Tkacz Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): E, E1, E17, E2, E27, E6, E66