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
What Does the Risk-Appetite Index Measure? Staff Working Paper 2003-23 Miroslav Misina Explanations of changes in asset prices as being due to exogenous changes in risk appetite, although arguably controversial, have been popular in the financial community and have also received some attention in attempts to account for recent financial crises. Operational versions of these explanations are based on the assumption that changes in asset prices can be decomposed into a part that can be attributed to changes in riskiness and a part attributable to changes in risk aversion, and that some quantitative measure can capture these effects in isolation. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12
The Construction of Continuity-Adjusted Monetary Aggregate Components Staff Working Paper 2003-22 Jeannie Kottaras Changes in the financial industry result in new data that are inconsistent with the former presentation, and therefore adjustments are required to "adjust" or smooth out these breaks to establish continuity. Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E5, E51
July 24, 2003 Bank of Canada releases 2004 schedule of dates for its policy interest rate announcements Media Relations Ottawa, Ontario The Bank of Canada today released its 2004 schedule of eight dates for announcing decisions on its key policy interest rate, and confirmed the announcement dates for the remainder of this year. Content Type(s): Press, Press releases
July 17, 2003 Bank of Canada releases Monetary Policy Report Update Media Relations Ottawa, Ontario The Bank of Canada today released its Update to the April Monetary Policy Report. Content Type(s): Press, Press releases
July 17, 2003 Monetary Policy Report Update – July 2003 Since the April Monetary Policy Report, there have been a number of unanticipated developments that have changed the outlook for inflation and economic activity in Canada. Content Type(s): Publications, Monetary Policy Report
July 17, 2003 Release of the Monetary Policy Report Update Opening statement David Dodge Today, we released our Update to the April Monetary Policy Report. The Update reviews economic and financial trends in the context of Canada's inflation-control strategy. Content Type(s): Press, Speeches and appearances, Opening statements
July 15, 2003 Bank of Canada lowers target for the overnight rate by 1/4 percentage point to 3 per cent Media Relations Ottawa, Ontario The Bank of Canada today announced that it is lowering its target for the overnight rate by one-quarter of one percentage point to 3 per cent. Content Type(s): Press, Press releases
July 10, 2003 Dynamic Models Useful for Policy 2003 Conference held on 10 and 11 July 2003 (papers in unedited, electronic format only) Content Type(s): Conferences and workshops
Dynamic Factor Analysis for Measuring Money Staff Working Paper 2003-21 Paul Gilbert, Lise Pichette Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary aggregates, Monetary and financial indicators JEL Code(s): C, C4, C43, C8, C82, E, E5, E51