Centralizing Over-the-Counter Markets? Staff Working Paper 2021-39 Jason Allen, Milena Wittwer Would a shift in trading in fixed-income markets—from over the counter (bilateral trading) to a centralized electronic platform—improve welfare? We use trade-level data on the secondary market for Government of Canada debt to answer this question. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Market structure and pricing JEL Code(s): D, D4, D40, D47, G, G1, G10, G2, G20, L, L1, L10
Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis Staff Working Paper 2007-13 David Bolder, Tiago Rubin The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form. Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C0, C1, C14, C15, C5, C51, C52, C6, C61, C65, E, E6, G, G1, H, H6, H63
How Changes in Oil Prices Affect the Macroeconomy Staff Working Paper 2009-33 Brian DePratto, Carlos De Resende, Philipp Maier We estimate a New Keynesian general-equilibrium open economy model to examine how changes in oil prices affect the macroeconomy. Our model allows oil price changes to be transmitted through temporary demand and supply channels (affecting the output gap), as well as through persistent supply side effects (affecting trend growth). Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Interest rates, Monetary policy transmission, Potential output, Productivity JEL Code(s): F, F4, F41, Q, Q4, Q43
August 15, 2001 Analyzing the Monetary Aggregates Bank of Canada Review - Summer 2001 Dinah Maclean In recent years, the Bank has put renewed emphasis on analyzing monetary variables and on developing models that incorporate money as an active part of the transmission mechanism. In this article, Dinah Maclean describes how the monetary aggregates are used in the formulation of monetary policy analysis at the Bank, outlining the key tools and models used. The most important money-based model currently in use is the M1-VECM. In this model, deviations in the money supply from the long-term demand for money cause changes in inflation. The author briefly describes the "active-money" paradigm underlying this model and explains the key equations within it. Other simpler empirical models are also outlined, including single-equation indicator models for output based on the narrow aggregates, a neural network, and a model based on the broader aggregate M2++. A detailed technical annex provides details on model equations and coefficient values. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Monetary aggregates
Forecasting and Analyzing World Commodity Prices Staff Working Paper 2003-24 René Lalonde, Zhenhua Zhu, Frédérick Demers The authors develop simple econometric models to analyze and forecast two components of the Bank of Canada commodity price index: the Bank of Canada non-energy (BCNE) commodity prices and the West Texas Intermediate crude oil price. They present different methodologies to identify transitory and permanent components of movements in these prices. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5
December 23, 2004 Financial System Review - December 2004 The Canadian financial system comprises financial markets, financial institutions, and the clearing and settlement systems. Content Type(s): Publications, Financial Stability Report
Monetary Policy in Estimated Models of Small Open and Closed Economies Staff Working Paper 2003-27 Ali Dib The author develops and estimates a quantitative dynamic-optimizing model of a small open economy (SOE) with domestic and import price stickiness and capital-adjustment costs. A monetary policy rule allows the central bank to systematically manage the short-term nominal interest rate in response to deviations of inflation, output, and money growth from their steadystate levels. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Exchange rates, Monetary policy transmission JEL Code(s): E, E3, E31, E5, E52, F, F2, F3
The New Keynesian Hybrid Phillips Curve: An Assessment of Competing Specifications for the United States Staff Working Paper 2004-31 David Dupuis Inflation forecasting is fundamental to monetary policy. In practice, however, economists are faced with competing goals: accuracy and theoretical consistency. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): E, E3, E31
What Drags and Drives Mobility: Explaining Canada’s Aggregate Migration Patterns Staff Working Paper 2012-28 David Amirault, Daniel de Munnik, Sarah Miller Using census data at the economic region level from 1991 to 2006 and a gravity model framework, this paper examines the factors that influence migration within Canada. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Labour markets, Regional economic developments JEL Code(s): J, J6, J61, R, R2, R23
Central Bank Liquidity Facilities and Market Making Staff Working Paper 2022-9 David Cimon, Adrian Walton We create a theoretical model of central bank asset purchases. The model helps explain how, in a crisis, these purchases ease pressures on investment dealers. Content Type(s): Staff research, Staff working papers Topic(s): Coronavirus disease (COVID-19), Economic models, Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G2, G20, L, L1, L10