Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy Staff Working Paper 2012-41 Jean-Sébastien Fontaine Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13
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 Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01
Lessons from the Financial Crisis: Bank Performance and Regulatory Reform Staff Discussion Paper 2013-4 Neville Arjani, Graydon Paulin The financial systems of some countries fared materially better than others during the global financial crisis of 2007-09. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
Monetary Policy Under Uncertainty: Practice Versus Theory Staff Discussion Paper 2017-13 Rhys R. Mendes, Stephen Murchison, Carolyn A. Wilkins For central banks, conducting policy in an environment of uncertainty is a daily fact of life. This uncertainty can take many forms, ranging from incomplete knowledge of the correct economic model and data to future economic and geopolitical events whose precise magnitudes and effects cannot be known with certainty. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Monetary policy, Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58, E6, E61, E65
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 Research 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
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 Research 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
Ambiguity, Nominal Bond Yields and Real Bond Yields Staff Working Paper 2018-24 Guihai Zhao Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12
Time Use and Macroeconomic Uncertainty Staff Working Paper 2023-29 Matteo Cacciatore, Stefano Gnocchi, Daniela Hauser We estimate the effects of economic uncertainty on time use and discuss its macroeconomic implications. We develop a model to demonstrate that substitution between market and non-market work provides an additional insurance margin to households, weakening precautionary savings and labour supply and lowering aggregate demand, ultimately amplifying the contractionary effects of uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Domestic demand and components, Monetary policy and uncertainty JEL Code(s): E, E2, E24, E3, E32, E5, E52, J, J2, J22
Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations Staff Working Paper 2008-6 Donald Coletti, René Lalonde, Dirk Muir This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy framework JEL Code(s): C, C5, C51, C52, E, E1, E17, E3, E31, E5, E52
Unit-Root Tests and Excess Returns Staff Working Paper 1996-10 Marie-Josée Godbout, Simon van Norden Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, F, F3, F31