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. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18
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
Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes Staff Working Paper 2015-18 Warren E. Weber The period from 1914 to 1935 in the United States is unique in that it was the only time that both privately-issued bank notes (national bank notes) and central bank-issued bank notes (Federal Reserve notes) were simultaneously in circulation. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Financial services JEL Code(s): E, E4, E41, E42, E5, E58
Short Changed? The Market's Reaction to the Short Sale Ban of 2008 Staff Working Paper 2009-23 Louis Gagnon, Jonathan Witmer Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Market Structure and Cost Pass-Through in Retail Staff Working Paper 2013-5 Gee Hee Hong, Nicholas Li We examine the extent to which vertical and horizontal market structure can together explain incomplete retail pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): E, E3, E30, E31, L, L1, L11, L16
July 21, 2010 Why Monetary Policy Matters: A Canadian Perspective This paper provides a non-technical introduction to monetary policy - what it is, how it works, and why it matters. It discusses inflation volatility and why this is damaging to the economy, as well as why increased stability of output growth is desirable. Content Type(s): Publications, Books and monographs
Inventories, Markups and Real Rigidities in Sticky Price Models of the Canadian Economy Staff Working Paper 2011-9 Oleksiy Kryvtsov, Virgiliu Midrigan Recent New Keynesian models of macroeconomy view nominal cost rigidities, rather than nominal price rigidities, as the key feature that accounts for the observed persistence in output and inflation. Kryvtsov and Midrigan (2010a,b) reassess these conclusions by combining a theory based on nominal rigidities and storable goods with direct evidence on inventories for the U.S. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, F, F1, F12
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
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes Staff Working Paper 2017-38 Tom Roberts Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial stability JEL Code(s): G, G0, G01, G1, G12, G17, G19