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3045 Results

Simple Monetary Policy Rules in an Open-Economy, Limited-Participation Model

Staff Working Paper 2003-38 Scott Hendry, Wai-Ming Ho, Kevin Moran
The authors assess the stabilization properties of simple monetary policy rules within the context of a small open-economy model constructed around the limited-participation assumption and calibrated to salient features of the Canadian economy. By relying on limited participation as the main nominal friction that affects the artificial economy, the authors provide an important check of the robustness of the results obtained using alternative environments in the literature on monetary policy rules, most notably the now-standard "New Keynesian" paradigm that emphasizes rigidities in the price-setting mechanism.
Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, E58, F, F3, F31

Price Discovery in Canadian and U.S. 10-Year Government Bond Markets

Staff Working Paper 2007-43 Bryan Campbell, Scott Hendry
This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13, G14

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.

What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43

Security and convenience of a central bank digital currency

Staff Analytical Note 2020-21 Charles M. Kahn, Francisco Rivadeneyra
An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions.

2018 Bitcoin Omnibus Survey: Awareness and Usage

The Bank of Canada continues to use the Bitcoin Omnibus Survey (BTCOS) to monitor trends in Canadians’ awareness, ownership and use of Bitcoin. The most recent iteration was conducted in late 2018, following an 85 percent decline in the price of Bitcoin throughout the year.

The New Basel Capital Accord and the Cyclical Behaviour of Bank Capital

Staff Working Paper 2004-30 Mark Illing, Graydon Paulin
The authors conduct a counterfactual simulation of the proposed rules under the new Basel Capital Accord (Basel II), including the revised treatment of expected and unexpected credit losses proposed by the Basel Committee in October 2003.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28, K, K2, K23

Government Spending Multipliers Under the Zero Lower Bound: Evidence from Japan

Staff Working Paper 2017-40 Thuy Lan Nguyen, Dmitriy Sergeyev, Wataru Miyamoto
Using a rich data set on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB).
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): E, E3, E32, E5, E6, E62

Financial Crisis Interventions

Staff Working Paper 2016-29 Josef Schroth
This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital.
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