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
An Estimated Canadian DSGE Model with Nominal and Real Rigidities Staff Working Paper 2001-26 Ali Dib This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32
GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide Staff Working Paper 2000-2 Maral Kichian State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […] Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89
An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention Staff Working Paper 1999-4 Neil Beattie, Jean-François Fillion This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets JEL Code(s): F, F3, F31, G, G1, G15
June 8, 2017 Canada’s International Investment Position: Benefits and Potential Vulnerabilities Financial System Review - June 2017 Gabriel Bruneau, Maxime Leboeuf, Guillaume Nolin While greater global financial integration is beneficial, the authors discuss how foreign capital inflows can also facilitate the buildup of domestic vulnerabilities and potentially lead to destabilizing reversals. Canada’s current international investment position is typical of advanced economies and will likely continue to act as an economic stabilizer. However, the growth and composition of Canada’s international investment position warrant continued monitoring. Content Type(s): Publications, Financial System Review articles Research Topic(s): Balance of payments and components, Financial stability, International financial markets JEL Code(s): F, F2, F21, F3, F32, F34, F36, F4, F6
Risk, Entropy, and the Transformation of Distributions Staff Working Paper 2002-11 Mark Reesor, Don McLeish The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion. 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, C0, C1, D, D8, G, G0
January 25, 2005 Bank of Canada Review - Winter 2004-2005 Cover page Promissory Notes The notes featured on the cover measure approximately 21 cm x 8 cm and form part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review
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
December 13, 2021 Monetary Policy Framework Renewal (December 2021) Commentary and technical data relating to the 2021 renewal. Content Type(s): Background materials Research Topic(s): Inflation and prices, Monetary policy
The Role of Public Money in the Digital Age Staff Discussion Paper 2024-11 Francisco Rivadeneyra, Scott Hendry, Alejandro García A well-functioning monetary system is characterized by public and private forms of money that exchange at par as value flows freely between them. A relevant retail public money—whether in the form of cash, a central bank digital currency or both—is a necessary component of such a monetary system. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Digital currencies and fintech, Payment clearing and settlement systems JEL Code(s): E, E4, E42, E5, E50, E58