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3046 Results

Non-homothetic Preferences and the Demand Channel of Inflation

Staff Working Paper 2025-30 Stephen Murchison
An alternative to the standard CES aggregator, based on non-homothetic household preferences, is proposed. Specifically, the elasticity of substitution between goods declines during periods of strong per-capita consumption and vice versa, giving firms an incentive to adjust their desired markup in response to the state of demand. Empirical evidence favouring a direct role for per-capita consumption demand in inflation determination for Canada is presented.

Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

Staff Analytical Note 2018-34 Andrew Lee-Poy
In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

Consumer Credit with Over-optimistic Borrowers

When lenders cannot directly identify behavioural and rational borrowers, they use type scoring to track the likelihood of a borrower’s type. This leads to the partial pooling of borrowers, which results in rational borrowers subsidizing borrowing costs for behavioural borrowers. This, in turn, reduces the effectiveness of regulatory policies that target mistakes by behavioural borrowers.

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

BoC–BoE Sovereign Default Database: Methodology, Assumptions and Sources

Technical Report No. 117 David Beers, Elliot Jones, John Walsh
Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).

Perhaps the FOMC Did What It Said It Did: An Alternative Interpretation of the Great Inflation

Staff Working Paper 2007-19 Sharon Kozicki, P. A. Tinsley
This paper uses real-time briefing forecasts prepared for the Federal Open Market Committee (FOMC) to provide estimates of historical changes in the design of U.S. monetary policy and in the implied central-bank target for inflation. Empirical results support a description of policy with an effective inflation target of roughly 7 percent in the 1970s.

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.
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