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3035 Results

Governance and Financial Fragility: Evidence from a Cross-Section of Countries

Staff Working Paper 2003-34 Michael Francis
The author explores the role of governance mechanisms as a means of reducing financial fragility. First, he develops a simple theoretical general-equilibrium model in which instability arises due to an agency problem resulting from a conflict of interest between the borrower and lender.
Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial markets JEL Code(s): G, G0

The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Economy

In this report, we evaluate several simple monetary policy rules in twelve private and public sector models of the Canadian economy. Our results indicate that none of the simple policy rules we examined is robust to model uncertainty, in that no single rule performs well in all models.
Content Type(s): Staff research, Technical reports Research Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58
February 23, 2012

Household Borrowing and Spending in Canada

Understanding how much of the increased debt load of Canadian households has been used to finance household spending on consumption and home renovation is important for the conduct of monetary policy. In this article, the authors use a comprehensive data set that provides information on the uses of debt by Canadian households. They first present some facts regarding the evolution of Canadian household debt over the period from 1999 to 2010, emphasizing the increased importance of debt flows that are secured by housing. They then explore how Canadian households have used their borrowed funds over the same period, and assess the role of these borrowed funds in financing total consumption and spending on home renovation. Finally, they examine the possible effects of a decline in house prices on consumption when housing equity is used as collateral against household indebtedness.

Central Bank Haircut Policy

Staff Working Paper 2010-23 James Chapman, Jonathan Chiu, Miguel Molico
We present a model of central bank collateralized lending to study the optimal choice of the haircut policy. We show that a lending facility provides a bundle of two types of insurance: insurance against liquidity risk as well as insurance against downside risk of the collateral.

An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate

Staff Working Paper 2005-45 Ingrid Lo
The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4

The Neutral Rate of Interest in Canada

Staff Discussion Paper 2014-5 Rhys R. Mendes
A measure of the neutral policy interest rate can be used to gauge the stance of monetary policy. We define the neutral rate as the real policy rate consistent with output at its potential level and inflation equal to target after the effects of all cyclical shocks have dissipated.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Interest rates, Monetary policy transmission JEL Code(s): E, E4, E40, E42, E43, E5, E50, E52, E58
December 13, 2007

Central Bank Performance under Inflation Targeting

Gosselin examines and reports on the various factors that contribute to successful inflation targeting. Using a panel of 21 inflation-targeting countries over the period 1990Q1-2007Q2, Gosselin finds that the ability of central banks to hit their targets varies considerably. Some of these differences can be explained by exchange rate fluctuations, fiscal deficits, and differences in financial development. Others are explained by differences in the targeting framework itself and the manner in which it is implemented.
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