May 11, 2017 The Life Cycle of Government of Canada Bonds in Core Funding Markets Bank of Canada Review - Spring 2017 Narayan Bulusu, Sermin Gungor Data on the use of government securities in the repo, securities lending and cash markets suggest there are bond market clienteles in Canada. Shorter-term bonds are more prevalent in the repo market, while longer-maturity securities are more active in the securities lending market—consistent with the preferred habitat hypothesis. These results could help design better debt-management strategies and more-effective policies to maintain well-functioning financial markets. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): G, G1, G12, G2, G23
Uncovering Subjective Models from Survey Expectations Staff working paper 2025-31 Chenyu Hou, Tao Wang This paper shows that survey expectations can be used to uncover how households subjectively think about inflation and unemployment dynamics jointly. The commonly documented "stagflation view", namely the households' tendency to associate inflation with a worse labor market, implies amplified impacts of supply shocks and dampened ones of demand shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D84, E, E2, E21, E3, E30, E32, E7, E71 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
The Side Effects of Safe Asset Creation Staff working paper 2021-34 Sushant Acharya, Keshav Dogra The secular decline in real interest rates has created a challenge for monetary policy, now confronting the zero lower bound more often. An increase in the supply of safe assets reduces downward pressure on the natural interest rate. This allows monetary policy to reach price stability and full employment, but not without cost—permanently lower investment. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E4, E5, G, G1, H, H6 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy tools and implementation
Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models? Staff working paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions? Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission
Privacy in CBDC technology Staff analytical note 2020-9 Sriram Darbha, Rakesh Arora Privacy is a key aspect of a potential central bank digital currency system. We outline different technical choices to enact various privacy models while complying with the appropriate regulations. We develop a framework to evaluate privacy models and list key risks and trade-offs in privacy design. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E42, E5, E51, O, O3 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Trade and Diffusion of Embodied Technology: An Empirical Analysis Staff working paper 2023-21 Stephen Ayerst, Faisal Ibrahim, Gaelan MacKenzie, Swapnika Rachapalli Using data from patents, citations, inter-sectoral sales and customs, we examine the international diffusion of technology through imports of sectoral knowledge and production inputs. We develop an instrumental variable strategy to identify the causal effects of technology embodied in imports on innovation and diffusion outcomes. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F14, F6, F61, O, O1, O19, O3, O31, O33 Research Theme(s): Structural challenges, Digitalization and productivity, International trade, finance and competitiveness
November 18, 2001 A New Measure of Core Inflation Bank of Canada Review - Autumn 2001 Tiff Macklem While the Bank of Canada's inflation-control target is specified in terms of the rate of increase in the total consumer price index, the Bank uses a measure of trend or "core" inflation as a short-term guide for its monetary policy actions. When the inflation targets were renewed in May 2001, the Bank announced that it was adopting a new measure of core inflation. This measure excludes the eight most volatile components of the CPI and adjusts the remaining components for the effect of changes in indirect taxes. In this article, the author discusses the definition of the new measure of core inflation and describes some of its advantages relative to the previous measure. He notes that the new measure has a firmer statistical basis, has a better correspondence with economic theory, and does a better job of predicting future changes in overall inflation. While the new measure has these advantages, the Bank will continue to monitor a broad range of indicators when assessing the likely future path for inflation. Content Type(s): Publications, Bank of Canada Review articles
May 21, 2003 Conference Summary: Price Adjustment and Monetary Policy Bank of Canada Review - Spring 2003 Robert Amano, Donald Coletti The 2002 Bank of Canada Conference focused on price adjustment, a critically important issue for monetary policy. Given the acceptance throughout the 1990s and 2000s of the existence of price stickiness in goods or labour markets, or both, and of the important role that monetary policy can play in an economy, the time was right for a conference that would focus on current developments in this area of research, particularly within a Canadian context. Conference papers covering both theoretical and empirical studies explored such themes as sources of the persistence of inflation, forward-looking models of inflation, models of inflation in open economies, the macroeconomic effects of technology shocks, and models of the interaction between wages, prices, and real economic outcomes. Content Type(s): Publications, Bank of Canada Review articles
Bank Screening Heterogeneity Staff working paper 2016-56 Thibaut Duprey Production efficiency and financial stability do not necessarily go hand in hand. With heterogeneity in banks’ abilities to screen borrowers, the market for loans becomes segmented and a self-competition mechanism arises. When heterogeneity increases, the intensive and extensive margins have opposite effects. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G14, G2, G21, L, L1, L13 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Household and business credit
The impact of the Bank of Canada’s Government Bond Purchase Program Staff analytical note 2021-23 Rohan Arora, Sermin Gungor, Joe Nesrallah, Guillaume Ouellet Leblanc, Jonathan Witmer We assess the response of Government of Canada bond yields to the Bank of Canada’s initial announcement of the Government Bond Purchase Program (GBPP) as well as to the Bank’s later GBPP purchase operations. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E5, E52, E58, E6, E63 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Monetary policy tools and implementation