December 14, 2007 The Costs of Inflation in New Keynesian Models Bank of Canada Review - Winter 2007-2008 Steve Ambler Ambler describes three new channels through which inflation affects economic welfare in New Keynesian models. These channels were absent from traditional analyses and may have caused researchers to underestimate the costs associated with variable inflation, even at relatively low levels of inflation. The article concludes with a preliminary assessment of the quantitative importance of the new channels and their significance for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation: costs and benefits, Monetary policy framework
November 19, 2010 Has Exchange Rate Pass-Through Really Declined? Some Recent Insights from the Literature Bank of Canada Review - Autumn 2010 Jeannine Bailliu, Wei Dong, John Murray Building on an earlier Review article, the authors critically reassess the premise that exchange rate pass-through (ERPT) has declined in light of recent studies of the issue in the context of a dynamic stochastic general-equilibrium framework. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Economic models, Exchange rates, Inflation and prices, Monetary policy framework
Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E5, E52, E58
May 16, 2016 A New Era of Central Banking: Unconventional Monetary Policies Bank of Canada Review - Spring 2016 Eric Santor, Lena Suchanek Central banks can implement unconventional monetary policy measures to provide additional easing when policy interest rates come close to their lower limit. To date, the international experience with tools such as quantitative easing and negative interest rates has been largely positive. Central banks may also use several such measures simultaneously, with often mutually reinforcing effects. Yet, unconventional tools are also subject to potential limits, and the costs associated with these measures could rise with extensive and prolonged use. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, International topics, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E61, E65
Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data Staff Working Paper 2002-18 Kevin Moran, Veronika Dolar This paper applies the hybrid dynamic general-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E32, E37
Digitalization: Implications for Monetary Policy Staff Discussion Paper 2023-18 Vivian Chu, Tatjana Dahlhaus, Christopher Hajzler, Pierre-Yves Yanni We explore the implications of digitalization for monetary policy, both in terms of how monetary policy affects the economy and in terms of data analysis and communication with the public. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Digitalization, Inflation and prices, Market structure and pricing, Monetary policy, Monetary policy communications, Monetary policy transmission JEL Code(s): C, C4, C8, E, E3, E31, E32, E5, E52
The Syndicated Loan Market: Developments in the North American Context Staff Working Paper 2003-15 Jim Armstrong The author describes the rapid development of the syndicated corporate loan market in the 1990s. He explores the historical forces that led to the development of the contemporary U.S. syndicated loan market, which is effectively a hybrid of the investment banking and commercial banking worlds. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G1, G10, G2, G21
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach Staff Working Paper 2005-36 René Garcia, Richard Luger The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates JEL Code(s): E, E4, E43, E44, E47, E5, E52
June 8, 2023 Economic progress report: Are we entering a new era of higher interest rates? Remarks Paul Beaudry Greater Victoria Chamber of Commerce Victoria, British Columbia Deputy Governor Paul Beaudry discusses the latest interest rate decision and suggests reasons why longer-term interest rates could remain higher than they were before the pandemic. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Coronavirus disease (COVID-19), Domestic demand and components, Expectations, Housing, Inflation and prices, Inflation targets, Interest rates, Labour markets, Monetary policy, Monetary policy transmission, Price stability, Recent economic and financial developments, Service sector
Non-Parametric and Neural Network Models of Inflation Changes Staff Working Paper 2000-7 Greg Tkacz Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31