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
Security Transaction Taxes and Market Quality Staff Working Paper 2011-26 Anna Pomeranets, Daniel G. Weaver We examine nine changes in the New York State Security Transaction Taxes (STT) between 1932 and 1981. We find that imposing or increasing an STT results in wider bidask spreads, lower volume, and increased price impact of trades. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C4, C43, G, G1, G10, G12
Time-Consistent Control in Non-Linear Models Staff Working Paper 2007-3 Steve Ambler, Florian Pelgrin We show how to use optimal control theory to derive optimal time-consistent Markov-perfect government policies in nonlinear dynamic general equilibrium models, extending the result of Cohen and Michel (1988) for models with quadratic objective functions and linear dynamics. We replace private agents' costates by flexible functions of current states in the government's maximization problem. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, Monetary policy framework JEL Code(s): C, C6, C63, E, E6, E61, E62
Unanticipated Defaults and Losses in Canada's Large-Value Payments System, Revisited Staff Discussion Paper 2007-5 Devin Ball, Walter Engert Recent work at the Bank of Canada studied the impact of default in Canada’s large-value payments system, and concluded that participants could readily manage their potential losses (McVanel 2005). In an extension of that work, the authors use a much larger set of daily payments data – with three times as many observations – to […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, E47, G, G2, G21
Real-Time Nowcasting of Nominal GDP Under Structural Breaks Staff Working Paper 2014-39 William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E2, E27, E3, E31, E32
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
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
February 19, 2015 Inflation, Expectations and Monetary Policy Remarks Agathe Côté Association québécoise des technologies Mont-Tremblant, Quebec Deputy Governor Agathe Côté discusses the importance of inflation expectations for monetary policy and a new survey the Bank of Canada created to monitor household expectations. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Credibility, Inflation and prices, Inflation targets, Monetary and financial indicators, Recent economic and financial developments
Targeting Inflation from Below - How Do Inflation Expectations Behave? Staff Working Paper 2014-52 Michael Ehrmann Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets JEL Code(s): C, C5, C53, E, E3, E31, E5, E52, E58
Guarding Against Large Policy Errors under Model Uncertainty Staff Working Paper 2006-13 Gino Cateau How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy? Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58