October 16, 2009 Bank of Canada Announces Details of its Term PRA Operation In accordance with the schedule of term purchase and resale agreement (PRA) auctions announced on 21 July (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation as follows. Content Type(s): Press, Market notices
Cross-border Mergers and Hollowing-out Staff Working Paper 2009-30 Oana Secrieru, Marianne Vigneault The purpose of our paper is to examine the profitability and social desirability of both domestic and foreign mergers in a location-quantity competition model, where we allow for the possibility of hollowing-out of the target firm. We refer to hollowing-out as the situation where the target firm is shut down following a merger with a domestic or foreign acquirer. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, International topics, Market structure and pricing JEL Code(s): D, D4, D43, G, G3, G34, L, L1, L13, L4, L41
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 Topic(s): Exchange rates, Monetary policy transmission JEL Code(s): E, E5, E52, F, F3, F31, F4, F41
Bond Liquidity Premia Staff Working Paper 2009-28 Jean-Sébastien Fontaine, René Garcia Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): E, E4, E43, H, H1, H12
Risk Premium Shocks and the Zero Bound on Nominal Interest Rates Staff Working Paper 2009-27 Robert Amano, Malik Shukayev There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy. Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52
Consumption, Housing Collateral, and the Canadian Business Cycle Staff Working Paper 2009-26 Ian Christensen, Paul Corrigan, Caterina Mendicino, Shin-Ichi Nishiyama Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E4, E44, E5, E52, R, R2, R21
October 15, 2009 Results for the 15 October 2009 Term Loan Facility The results of today's TLF operation are as follows. Content Type(s): Press, Market notices
October 14, 2009 Results of the 14 October 2009 Term PRA Transaction for Private Sector Instruments Results of today's term PRA operations. Content Type(s): Press, Market notices
October 13, 2009 Results of the 13 October 2009 Term PRA Transaction The results of today's term PRA operations are as follows. Content Type(s): Press, Market notices
October 9, 2009 Bank of Canada Announces Details of its Term Loan Facility Operation In accordance with the schedule of Term Loan Facility (TLF) auctions announced on 21 July (see schedule), the Bank of Canada announced today that it will conduct a TLF operation as follows. Content Type(s): Press, Market notices