Monetary Policy Transmission amid Demand Reallocations Staff Working Paper 2024-42 Julien Bengui, Lu Han, Gaelan MacKenzie We analyze the transmission of monetary policy during different phases of a sectoral demand reallocation episode when there are frictions to increasing production in a sector. Monetary policy is more effective in reducing inflation when a larger proportion of sectors are expanding or expect to expand in the near future. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Inflation and prices, Monetary policy transmission JEL Code(s): E, E1, E12, E2, E24, E3, E31, E5, E52
November 20, 2018 Choosing the Best Monetary Policy Framework for Canada Remarks Carolyn A. Wilkins McGill University Max Bell School of Public Policy Montréal, Quebec Senior Deputy Governor Carolyn A. Wilkins discusses public policy issues around monetary policy frameworks and how those issues have become more complex in the post-global financial crisis world. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Fiscal policy, Inflation and prices, Inflation targets, Interest rates, Monetary policy framework
Bouncing Back: How Mothballing Curbs Prices Staff Working Paper 2024-51 Thibaut Duprey, Artur Kotlicki, Daniel E. Rigobon, Philip Schnattinger We investigate the macroeconomic impacts of mothballed businesses—those that closed temporarily—on sectoral equilibrium prices after a negative demand shock. Our results suggest that pandemic fiscal support for temporary closures may have eased inflationary pressures. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Firm dynamics, Fiscal policy, Inflation and prices JEL Code(s): C, C5, C55, C8, C81, D, D2, D22, E, E3, E32
Simulating Intraday Transactions in the Canadian Retail Batch System Staff Working Paper 2023-1 Nellie Zhang This paper proposes a unique approach to simulate intraday transactions in the Canadian retail payments batch system when such transactions are unobtainable. The simulation procedure has potential for helping with data-deficient problems where only high-level aggregate information is available. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Payment clearing and settlement systems JEL Code(s): C, C6, C63, E, E4, E42, E5, E58
Securitization under Asymmetric Information over the Business Cycle Staff Working Paper 2015-9 Martin Kuncl This paper studies the efficiency of financial intermediation through securitization in a model with heterogeneous investment projects and asymmetric information about the quality of securitized assets. I show that when retaining part of the risk, the issuer of securitized assets may credibly signal its quality. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E4, E44, G, G0, G01, G2, G20
Exchange Rate Pass-through and Monetary Policy: How Strong is the Link? Staff Working Paper 2009-29 Stephen Murchison Several authors have presented reduced-form evidence suggesting that the degree of exchange rate pass-through to the consumer price index has declined in Canada since the early 1980s and is currently close to zero. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Monetary policy transmission JEL Code(s): E, E5, E52, F, F3, F31, F4, F41
Covariates Hiding in the Tails Staff Working Paper 2021-45 Milian Bachem, Lerby Ergun, Casper G. de Vries We characterize the bias in cross-sectional Hill estimates caused by common underlying factors and propose two simple-to-implement remedies. To test for the presence, direction and size of the bias, we use monthly US stock returns and annual US Census county population data. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C0, C01, C1, C14, C5, C58
A Model of the EFA Liabilities Staff Discussion Paper 2011-11 Francisco Rivadeneyra, Oumar Dissou The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Debt management, Foreign reserves management JEL Code(s): G, G1, G12, G3, G32
Identifying the Degree of Collusion Under Proportional Reduction Staff Working Paper 2017-51 Oleksandr Shcherbakov, Naoki Wakamori Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, C36, D, D2, D22, L, L4, L41
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