Identifying Policy-makers' Objectives: An Application to the Bank of Canada Staff Working Paper 2000-11 Nicholas Rowe, James Yetman In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy. Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets JEL Code(s): E, E5, E52, E6, E61
Does the Buck Stop Here? A Comparison of Withdrawals from Money Market Mutual Funds with Floating and Constant Share Prices Staff Working Paper 2012-25 Jonathan Witmer Recent reform proposals call for an elimination of the constant net asset value (NAV) or “buck” in money market mutual funds to reduce the occurrence of runs. Outside the United States, there are several countries that have money market mutual funds with and without constant NAVs. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability, Market structure and pricing JEL Code(s): F, F3, F30, G, G0, G01, G1, G18, G2, G20
Yield Curve Modelling at the Bank of Canada Technical Report No. 84 David Bolder, David Stréliski The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices. Content Type(s): Staff research, Technical reports Topic(s): Economic models
The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets Staff Working Paper 2014-50 Vikram Rai, Lena Suchanek The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns. Content Type(s): Staff research, Staff working papers Topic(s): International financial markets, International topics, Monetary policy transmission JEL Code(s): C, C3, C33, E, E5, E58, F, F3, F32, G, G1, G14
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16
Introducing the Bank of Canada's Projection Model for the Global Economy Technical Report No. 99 Jeannine Bailliu, Patrick Blagrave, James Rossiter To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada Staff Working Paper 2002-29 David Bolder, Scott Gusba This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Understanding the Cash Demand Puzzle Staff Working Paper 2014-22 Janet Hua Jiang, Enchuan Shao We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Credit and credit aggregates, Digital currencies and fintech JEL Code(s): E, E4, E41, E5, E51
Variance Estimation for Survey-Weighted Data Using Bootstrap Resampling Methods: 2013 Methods-of-Payment Survey Questionnaire Technical Report No. 104 Heng Chen, Rallye Shen Sampling units for the 2013 Methods-of-Payment Survey were selected through an approximate stratified random sampling design. To compensate for non-response and non-coverage, the observations are weighted through a raking procedure. Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C83
Identifying Asymmetric Comovements of International Stock Market Returns Staff Working Paper 2010-21 Fuchun Li Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19