Forward Guidance at the Effective Lower Bound: International Experience Staff Discussion Paper 2015-15 Karyne B. Charbonneau, Lori Rennison Forward guidance is one of the policy tools that a central bank can implement if it seeks to provide additional monetary stimulus when it is operating at the effective lower bound (ELB) on interest rates. It became more widely used during and after the global financial crisis. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Monetary policy and uncertainty, Monetary policy communications, Monetary policy framework, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E43, E5, E52, E58, E6
Incentive Compatibility on the Blockchain Staff Working Paper 2018-34 Jonathan Chiu, Thorsten Koeppl A blockchain is a digital ledger that keeps track of a record of ownership without the need for a designated party to update and enforce changes to the record. The updating of the ledger is done directly by the users of the blockchain and is traditionally governed by a proof-of-work (PoW) protocol. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Economic models, Payment clearing and settlement systems JEL Code(s): G, G2, H, H4, P, P4, P43
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
Alternative Public Spending Rules and Output Volatility Staff Working Paper 2002-37 Jean-Paul Lam, William Scarth One of the central lessons learned from the Great Depression was that adjusting government spending each year to balance the budget increases the volatility of output. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E62
COVID-19 and Implications for Automation Staff Working Paper 2021-25 Alex Chernoff, Casey Warman Occupations held by females with mid-level education face the highest risk of accelerated automation as a result of the COVID-19 pandemic. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), International topics, Labour markets JEL Code(s): I, I1, I14, I2, I24, J, J1, J15, J16, R, R1, R12
Steps in Applying Extreme Value Theory to Finance: A Review Staff Working Paper 2000-20 Younes Bensalah Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1
Trends in Firm Entry and New Entrepreneurship in Canada Staff Discussion Paper 2015-11 Shutao Cao, Mohanad Salameh, Mai Seki, Pierre St-Amant Recently released data show downward trends for both the firm entry rate and the rate of new entrepreneurship since the early 1980s in Canada. This paper documents these trends and discusses potential explanations. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Firm dynamics, Market structure and pricing, Productivity JEL Code(s): L, L1, L11, M, M1, M13
November 15, 2012 Access, Competition and Risk in Centrally Cleared Markets Bank of Canada Review - Autumn 2012 Jean-Sébastien Fontaine, Héctor Pérez Saiz, Joshua Slive Central counterparties can make over-the-counter markets more resilient and reduce systemic risk by mitigating and managing counterparty credit risk. These benefits are maximized when access to central counterparties is available to a wide range of market participants. In an over-the-counter market, there is an important trade-off between risk and competition. A model of an over-the-counter market shows how risk and competition could be influenced by the incentives of market participants as they move to central clearing. In a centrally cleared market, there may be less risk when participation is high. This helps to explain why regulators have put in place requirements for fair, open and risk-based access criteria. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G18, G2, G21, L, L1, L13
Perceived Inflation Persistence Staff Working Paper 2013-43 Monica Jain The Survey of Professional Forecasters (SPF) has had vast influence on research related to better understanding expectation formation and the behaviour of macroeconomic agents. Inflation expectations, in particular, have received a great deal of attention, since they play a crucial role in determining real interest rates, the expectations-augmented Phillips curve and monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E31, E37
An Empirical Investigation into Government Spending and Private Sector Behaviour Staff Working Paper 1994-8 Robert Amano, Tony S. Wirjanto We examine whether there is a significant relationship between government and private consumption for Canada. We derive estimating equations between the two types of consumption under both cointegration and no-cointegration assumptions. Content Type(s): Staff research, Staff working papers Research Topic(s): Recent economic and financial developments