Discount Rates, Debt Maturity, and the Fiscal Theory Staff Working Paper 2021-58 Alexandre Corhay, Thilo Kind, Howard Kung, Gonzalo Morales Do bond risk premiums influence the effects of debt maturity operations? Using a model with realistic bond risk premiums, we show that maturity operations have sizable effects on expected inflation and output when the central bank passively responds to inflation and the fiscal authority weakly responds to the debt level. Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E44, E6, E63, G, G1, G12
November 23, 2021 Checking up on Canada’s financial system Speech summary Paul Beaudry Ontario Securities Commission Toronto, Ontario Deputy Governor Paul Beaudry speaks about the strength and resilience of the financial system throughout the COVID-19 pandemic and economic recovery. He also outlines key vulnerabilities and risks going forward. Content Type(s): Press, Speeches and appearances, Speech summaries Topic(s): Asset pricing, Central bank research, Climate change, Coronavirus disease (COVID-19), Financial institutions, Financial stability, Housing, Interest rates
November 23, 2021 Financial stability through the pandemic and beyond Remarks (delivered virtually) Paul Beaudry OSC Dialogue, Ontario Securities Commission Toronto, Ontario Deputy Governor Paul Beaudry provides an update on financial vulnerabilities and risks in Canada, including those stemming from the COVID-19 pandemic. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Asset pricing, Central bank research, Climate change, Coronavirus disease (COVID-19), Financial institutions, Financial stability, Housing, Interest rates
Evaluating the Effects of Forward Guidance and Large-scale Asset Purchases Staff Working Paper 2021-54 Xu Zhang I propose a novel method to identify and estimate the macroeconomic effects of forward guidance and large-scale asset purchases (LSAP) for each FOMC announcement. I find that LSAP is more important than forward guidance in influencing output and inflation. LSAP puts upward pressure on short-term yields, so it should always be used in conjunction with forward guidance. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates JEL Code(s): E, E5, G, G0
ToTEM III: The Bank of Canada’s Main DSGE Model for Projection and Policy Analysis Technical Report No. 119 Paul Corrigan, Hélène Desgagnés, José Dorich, Vadym Lepetyuk, Wataru Miyamoto, Yang Zhang ToTEM III is the most recent generation of the Bank of Canada’s main dynamic stochastic general equilibrium model for projection and policy analysis. The model helps Bank staff tell clear and coherent stories about the Canadian economy’s current state and future evolution. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, Housing, Interest rates, Monetary policy JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, E6, E62, E65, F, F4, F40, F41, G, G5, G51
A New Measure of Monetary Policy Shocks Staff Working Paper 2021-29 Xu Zhang Combining various high frequency financial data with central bank projections, I construct a new measure of monetary policy shocks not predictable by the public information preceding a central bank’s announcements. I then study the causal effects of monetary policy on the macro economy. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates, Monetary policy JEL Code(s): E, E5, G, G0
Monetary Policy, Trends in Real Interest Rates and Depressed Demand Staff Working Paper 2021-27 Paul Beaudry, Césaire Meh Over the last few decades, real interest rates have trended downward. The most common explanation is that this reflects depressed demand due to demographic, technological and other real factors. We explore the claim that these trends may have been amplified by certain features of monetary policy. Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Economic models, Fiscal policy, Inflation and prices, Interest rates, Monetary policy JEL Code(s): E, E2, E4, E43, E44, E5, E52, E6, E62, E63, H, H3, H6, H63
June 10, 2021 Going digital has helped the economy through COVID-19 Speech summary Timothy Lane Western Canadian Chapters of Advocis Edmonton, Alberta, Vancouver, British Columbia, Winnipeg, Manitoba Deputy Governor Timothy Lane talks about the Bank’s decision yesterday to leave the policy rate unchanged. He also discusses how adopting digital technologies supported resilience during the COVID-19 pandemic. Content Type(s): Press, Speeches and appearances, Speech summaries Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Inflation and prices, Interest rates, Labour markets, Monetary policy, Potential output, Productivity, Recent economic and financial developments
June 10, 2021 The digital transformation and Canada’s economic resilience Remarks (delivered virtually) Timothy Lane Advocis Western Canada Chapters Edmonton, Alberta, Vancouver, British Columbia, Winnipeg, Manitoba Deputy Governor Tim Lane talks about the Bank’s latest interest rate announcement and discusses how the digital transformation has supported resilience through the pandemic and may be adding to the economy’s growth potential. Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Inflation and prices, Interest rates, Labour markets, Monetary policy, Potential output, Productivity, Recent economic and financial developments
Potential output and the neutral rate in Canada: 2021 update Staff Analytical Note 2021-6 Dany Brouillette, Guyllaume Faucher, Martin Kuncl, Austin McWhirter, Youngmin Park We expect potential output growth to be higher than in the October 2020 reassessment. By 2024, growth will be slightly above its average growth from 2010 to 2019. We assess that the Canadian nominal neutral rate continues to lie in the range of 1.75 to 2.75 percent. Content Type(s): Staff research, Staff analytical notes Topic(s): Economic models, Interest rates, Labour markets, Monetary policy, Potential output, Productivity JEL Code(s): E, E2, E23, E24, E3, E37, E4, E43, E5, E52