October 25, 2005 Bank of Canada Review - Autumn 2005 Cover page Ready References The book is part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
April 16, 2006 Bank of Canada Review - Spring 2006 Cover page Depression Scrip The examples of Depression scrip illustrated here are part of the National Currency Collection of the Bank of Canada. Content Type(s): Publications, Bank of Canada Review
The Geography of Pandemic Containment Staff working paper 2021-26 Elisa Giannone, Nuno Paixão, Xinle Pang Interconnectedness between US states has affected the evolution of the COVID-19 pandemic. We study the optimal containment policies regulating the movement of goods and people within and between states. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, H, H0, I, I1, R, R1 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
Sources of pandemic-era inflation in Canada: An application of the Bernanke and Blanchard model Staff analytical note 2024-13 Fares Bounajm, Jean Garry Junior Roc, Yang Zhang We explore the drivers of the surge in inflation in Canada during the COVID-19 pandemic. This work is part of a joint effort by 11 central banks using the model developed by Bernanke and Blanchard (2023) to identify similarities and differences across economies. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, E3, E31, E37, E5, E52, E6 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Adoption of a New Payment Method: Theory and Experimental Evidence Staff working paper 2017-28 Jasmina Arifovic, John Duffy, Janet Hua Jiang We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C35, C8, C83, C9, C92, E, E4, E41 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models Staff working paper 2017-55 Bruno Feunou, Cédric Okou This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Models and tools, Econometric, statistical and computational methods
The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates Staff working paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C38, E, E1, E17, E3, E32 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Which Model to Forecast the Target Rate? Staff working paper 2017-60 Bruno Feunou, Jean-Sébastien Fontaine, Jianjian Jin Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Exports and the Exchange Rate: A General Equilibrium Perspective Staff working paper 2022-18 Patrick Alexander, Abeer Reza How do a country’s exports change when its currency depreciates? Does it matter which forces drive the exchange rate deprecation in the first place? We find that this relationship varies greatly depending on what drives exchange rate movements, and we conclude that the direct relationship between the exchange rate and exports is weak for Canada. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3, F31, F32, F33, F4, F41 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness
December 24, 2004 Government of Canada Yield-Curve Dynamics, 1986-2003 Bank of Canada Review - Winter 2004-2005 Grahame Johnson A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period. Content Type(s): Publications, Bank of Canada Review articles