A Comprehensive Evaluation of Measures of Core Inflation in Canada: An Update Staff discussion paper 2019-9 Helen Lao, Ceciline Steyn We provide an updated evaluation of the value of various measures of core inflation that could be used in the conduct of monetary policy. We find that the Bank of Canada’s current preferred measures of core inflation—CPI-trim, CPI-median and CPI-common—continue to outperform alternative core measures across a range of criteria. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E3, E31, E5, E52 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions? Staff working paper 2019-38 Jelena Zivanovic I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44 Research Theme(s): Financial system, Financial institutions and intermediation, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
Monetary Policy Transmission Through Shadow and Traditional Banks Staff working paper 2024-8 Amina Enkhbold I investigate how monetary policy transmits to mortgage rates via the mortgage market concentration channel for both traditional and shadow banks in the United States from 2009 to 2019. On average, shadow and traditional banks exhibit only a slight disparity in transmitting monetary shocks to mortgage rates. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, G, G2, G21 Research Theme(s): Financial system, Financial institutions and intermediation, Household and business credit, Monetary policy, Monetary policy framework and transmission
Imperfect Banking Competition and Macroeconomic Volatility: A DSGE Framework Staff working paper 2021-12 Jiaqi Li How do banks adjust their loan rate markup in response to macroeconomic shocks? Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44, G, G2, G21, L, L1, L13 Research Theme(s): Financial system, Financial institutions and intermediation, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
December 21, 2008 A Model of Housing Boom and Bust in a Small Open Economy Financial System Review - December 2008 Hajime Tomura Content Type(s): Publications, Financial System Review articles
A Horse Race of Alternative Monetary Policy Regimes Under Bounded Rationality Staff discussion paper 2022-4 Joel Wagner, Tudor Schlanger, Yang Zhang We introduce bounded rationality in a canonical New Keynesian model calibrated to match Canadian macroeconomic data since Canada’s adoption of inflation targeting. We use the model to quantitatively assess the macroeconomic impact of alternative monetary policy regimes. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E2, E27, E3, E4, E5, E52, E58 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
March 28, 2005 The Thiessen Lectures Lectures delivered by Gordon G. Thiessen, Governor of the Bank of Canada 1994 to 2001 Content Type(s): Publications, Books and monographs
June 23, 2005 A Brief Survey of Risk-Appetite Indexes Financial System Review - June 2005 Mark Illing, Meyer Aaron Content Type(s): Publications, Financial System Review articles
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions Staff working paper 2017-33 Antonio Diez de los Rios This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods, Economic models
The Role of Central Banks in Promoting Financial Stability: An International Perspective Staff discussion paper 2016-15 Rose Cunningham, Christian Friedrich The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E5, G, G0, G01, G2, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Monetary policy, Monetary policy framework and transmission