August 6, 2010 Terms of Use and Disclaimers This website is provided by the Bank of Canada as a service to its users. Users are defined for the purposes of this statement as “You”. Your access to, and use of, this website constitutes your agreement to accept these Terms of Use and Disclaimers.
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
August 4, 2010 Fellowship Award Annual research grants and expense allowances for a term of up to five years.
Asset-Liability Management: An Overview Staff Discussion Paper 2010-10 Yuliya Romanyuk Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA). Content Type(s): Staff research, Staff discussion papers Topic(s): Foreign reserves management JEL Code(s): G, G1, G11
Inventories in ToTEM Staff Discussion Paper 2010-9 Oleksiy Kryvtsov, Yang Zhang ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E31, E32
Inventories, Stockouts, and ToTEM Staff Discussion Paper 2010-8 Oleksiy Kryvtsov, Yang Zhang Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, E32
An Assessment of the Bank of Canada's Term PRA Facility Staff Working Paper 2010-20 Emanuella Enenajor, Alex Sebastian, Jonathan Witmer This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E5, E58, G, G1, G12, G18
August 3, 2010 Bank of Canada holiday schedule Access a list of national and provincial holidays for the Bank of Canada.
August 3, 2010 Summary of Government of Canada Direct Securities and Loans Published annually by the Bank of Canada from 2000 to 2018.