State-Dependent or Time-Dependent Pricing: Does It Matter for Recent U.S. Inflation? Staff Working Paper 2005-4 Peter J. Klenow, Oleksiy Kryvtsov Inflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those changes). Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31, E32
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33
Monetary Policy Independence and the Strength of the Global Financial Cycle Staff Working Paper 2020-25 Christian Friedrich, Pierre Guérin, Danilo Leiva-Leon We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of central banks' policy interest rates to exogenous changes in inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Exchange rate regimes, Financial system regulation and policies, International financial markets, Monetary policy JEL Code(s): E, E4, E5, F, F3, F32, F4, F42, G, G1, G15, G18
The Optimal Level of the Inflation Target: A Selective Review of the Literature and Outstanding Issues Staff Discussion Paper 2015-8 Oleksiy Kryvtsov, Rhys R. Mendes Bank of Canada research done prior to the most recent renewal of the inflation-control agreement in 2011 concluded that the benefits associated with a target below 2 per cent were insufficient to justify the increased risk of being constrained by the zero lower bound (ZLB) on nominal interest rates. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation targets, Inflation: costs and benefits, Monetary policy framework JEL Code(s): E, E5, E52, E58
Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion Staff Working Paper 2006-14 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator Staff Working Paper 2000-5 Greg Tkacz The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43
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
Credit Market Frictions and Sudden Stops Staff Working Paper 2014-49 Yuko Imura Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP). Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, International topics JEL Code(s): E, E2, E22, E3, E32, F, F4, F41, G, G0, G01
April 26, 2002 The Interaction Between Monetary and Fiscal Policies Lecture David Dodge School of Policy Studies Queen's University Kingston, Ontario Donald Gow had a great interest in public administration and in budgetary reform in the federal government.1 He was one in a long line of Queen's professors who have focused on various budgetary matters at the federal level. Content Type(s): Press, Speeches and appearances, Lectures
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