Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market Staff Working Paper 1999-11 Toni Gravelle The aims of this study are to examine how liquidity in the Government of Canada securities market has evolved over the 1990s and to determine what factors influence the level of liquidity in this market, with some comparisons to the U.S. Treasury securities market. We find empirical support for the hypothesis that an increase in […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): D, D4, G, G1, G2
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
Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization Staff Working Paper 2004-23 Denise Côté, Christopher Graham Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, International topics JEL Code(s): C, C2, C23, E, E4, E43, E44, F, F3, F36
Expectations and Monetary Policy: Experimental Evidence Staff Working Paper 2013-44 Oleksiy Kryvtsov, Luba Petersen The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of inflation and the output gap by at least two-thirds. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C9, D, D8, D84, E, E3, E5, E52
Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis Staff Working Paper 2000-18 Brian O'Reilly, Mylène Levac This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E5, E6
August 25, 2020 Perceived inflation and reality: understanding the difference Remarks (delivered virtually) Lawrence L. Schembri Canadian Association for Business Economics Kingston, Ontario In a virtual address to the Canadian Association for Business Economics, Deputy Governor Lawrence Schembri discusses the difference between how Canadians perceive inflation and the actual measured rate. He explains why that gap may exist and what it could mean for monetary policy and the economy. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Coronavirus disease (COVID-19), Inflation and prices, Inflation targets, Monetary policy
The Effects of Economic News on Bond Market Liquidity Staff Working Paper 2004-16 Chris D'Souza, Charles Gaa The authors contrast the impact of two sources of information flow on the volatility of prices, trading activity, and liquidity in the brokered interdealer market for Government of Canada bonds. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Financial markets, Market structure and pricing JEL Code(s): G, G1, G14
November 12, 2020 Exploring life after COVID-19: the far side of the moon Remarks (delivered virtually) Carolyn A. Wilkins Munk School of Global Affairs and Public Policy Toronto, Ontario Senior Deputy Governor Carolyn A. Wilkins discusses what the economy will need once we’re past the COVID-19 crisis. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Business fluctuations and cycles, Central bank research, Climate change, Coronavirus disease (COVID-19), Debt management, Digital currencies and fintech, Expectations, Financial institutions, Financial stability, Financial system regulation and policies, Firm dynamics, Fiscal policy, Inflation targets, Interest rates, Labour markets, Monetary policy communications, Monetary policy framework, Payment clearing and settlement systems, Potential output, Productivity, Recent economic and financial developments
Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada Staff Discussion Paper 2024-9 Bruno Feunou, Zabi Tarshi We present two models for long-term inflation expectations and inflation risk premiums for Canada. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C58, E, E4, E43, E47, G, G1, G12
A Comprehensive Evaluation of Measures of Core Inflation for Canada Staff Discussion Paper 2015-12 Mikael Khan, Louis Morel, Patrick Sabourin This paper evaluates the usefulness of various measures of core inflation for the conduct of monetary policy. Traditional exclusion-based measures of core inflation are found to perform relatively poorly across a range of evaluation criteria, in part due to their inability to filter unanticipated transitory shocks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52