November 17, 1999 Release of the Monetary Policy Report Opening statement Gordon Thiessen Good morning. The Bank of Canada has just released its tenth Monetary Policy Report. This morning, we also raised our target for the overnight interest rate by 1/4 of one percentage point to 4 3/4 per cent. This follows a similar increase yesterday in the U.S. Federal Funds rate to 5 ½ per cent. The […] Content Type(s): Press, Speeches and appearances, Opening statements
November 17, 1999 Bank of Canada releases its semi-annual Monetary Policy Report Media Relations Today the Bank of Canada released its tenth Monetary Policy Report in which it discusses economic and financial trends in the context of Canada's inflation-control strategy. Content Type(s): Press, Press releases
November 17, 1999 Bank Rate Raised by ¼ Percentage Point to 5 Per Cent Media Relations Ottawa, Ontario The Bank of Canada today raised its Bank Rate by ¼ of one percentage point to 5 per cent. Content Type(s): Press, Press releases
November 16, 1999 The Corporate Bond Market in Canada Bank of Canada Review - Autumn 1999 Martin Miville, André Bernier The Canadian corporate bond market has experienced a renaissance, in recent years, against a background of low inflation, reduced public borrowing, and the lowest levels of long-term interest rates in a generation. The authors examine the influences shaping the market and also compare the Canadian market with those of other countries. The increased level of activity in the market has been accompanied by the development of new products and by greater investor interest in instruments with higher returns and higher credit risk. A more dynamic Canadian corporate bond market is a welcome development since it offers borrowers an alternative source of funds, especially companies that have typically relied on the banking system and on the U.S. corporate bond market for financings involving higher levels of credit risk. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets
November 16, 1999 Bank of Canada Review - Autumn 1999 Cover page Canadian dairy tokens These tokens are part of the National Currency Collection at the Bank of Canada. Photography by James Zagon. Content Type(s): Publications, Bank of Canada Review
November 15, 1999 Markets for Government of Canada Securities in the 1990s: Liquidity and Cross-Country Comparisons Bank of Canada Review - Autumn 1999 Toni Gravelle In this article, the author reviews the factors behind the recent evolution of liquidity in the market for Government of Canada (GoC) securities. He finds that liquidity has been supported by changes in the structure of the market, notably the introduction and increasing size of benchmark bond issues. He also notes that while the GoC bond market has generally benefited from changes in market structure, liquidity in the treasury bill market has decreased since the mid-1990s, largely because of the declining supply of these securities. This article also presents some comparisons of liquidity in the government securities markets of other industrialized countries and finds that liquidity in the Canadian market appears to compare favourably with all but the large U.S. Treasury market. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model Staff Working Paper 1999-19 John Knight, Fuchun Li, Mingwei Yuan Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […] Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C14, C2, C22, G, G1, G13
November 14, 1999 Real Exchange Rate Indexes for the Canadian Dollar Bank of Canada Review - Autumn 1999 Robert Lafrance, Pierre St-Amant In this article, the authors explain the methodology used to construct real exchange rate (RER) indexes. They also compare and assess various Canadian RER indexes from both an empirical and conceptual standpoint. The authors conclude that both theory and empirical evidence suggest that the best RER indexes are those based on unit labour costs. They note, however, that, for practical reasons, policy-makers should also consider RER indexes based on prices when formulating monetary policy. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rates
Estimating One-Factor Models of Short-Term Interest Rates Staff Working Paper 1999-18 Des Mc Manus, David Watt There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […] Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10
November 2, 1999 The Challenges for Canadian Monetary Policy in the Year 2000 Remarks Gordon Thiessen the Greater Charlottetown Area Chamber of Commerce Charlottetown, Prince Edward Island Monetary policy actions take a relatively long time to affect the economy and inflation—anywhere between 12 to 24 months. Because of this, central banks must always look ahead and must put in place today the monetary conditions that are needed to help keep the economy on a sustainable path down the road. By 'sustainable' I mean a situation where economic growth and job creation are not at risk from rising inflation. Content Type(s): Press, Speeches and appearances, Remarks