May 11, 1998 The use of forward rate agreements in Canada Bank of Canada Review - Spring 1998 Jean-Yves Paquette, David Stréliski In this article, the authors identify forward rate agreements, or FRAs, as short-term interest rate guarantee instruments negotiated by two parties, one of which is typically a bank. In outlining the main features of FRAs, the authors contrast them with BAX contracts (futures contracts on bankers' acceptances that are negotiated through the Montreal Exchange). The article then describes how market participants use FRAs to cover short-term interest rate risk. The final section deals with the way the Bank of Canada uses information from the FRA market as an indicator of interest rate expectations. Econometric models used to retrieve information from FRA rates, as well as the underlying assumptions, are discussed in an appendix. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Financial markets, Monetary and financial indicators
May 1, 1998 Information in Financial Asset Prices Proceedings of a conference held by the Bank of Canada, May 1998 (proceedings volume, available in electronic format only) Content Type(s): Conferences and workshops
April 23, 1998 Opening Statement before the Standing Senate Committee on Banking, Trade and Commerce Opening statement Gordon Thiessen Standing Senate Committee on Banking, Trade and Commerce My colleagues and I look forward to our yearly appearance before your committee because it gives us an opportunity to present an account of how the Bank has worked to fulfil its objectives over the past year. It is also an opportunity for a discussion with you on a range of economic and monetary issues. […] Content Type(s): Press, Speeches and appearances, Opening statements
Uncertainty and Multiple Paradigms of the Transmission Mechanism Staff Working Paper 1998-7 Walter Engert, Jack Selody An important challenge facing central banks is making decisions under uncertainty about the dynamic effects of monetary policy actions. The authors stress the importance of explicitly recognizing uncertainty about the transmission mechanism when formulating policy advice. They argue that one way to manage monetary policy under uncertainty is to draw on both an output-gap paradigm […] Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy and uncertainty, Monetary policy framework JEL Code(s): E, E5
April 8, 1998 Second Discussion Paper Released on Government of Canada - Debt Auction Process Donna Howard A second discussion paper outlining proposed changes in the rules for, and the surveillance of, auctions of Government of Canada securities was released for public comment today by the Bank of Canada. Content Type(s): Press, Press releases
Forecasting Inflation with the M1-VECM: Part Two Staff Working Paper 1998-6 Walter Engert, Scott Hendry A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […] Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5
Predicting Canadian Recessions Using Financial Variables: A Probit Approach Staff Working Paper 1998-5 Joseph Atta-Mensah, Greg Tkacz This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding is that the spread between the yield on Canadian […] Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Interest rates JEL Code(s): E, E3, E32, E4, E43
The Benefits of Low Inflation: Taking Stock Technical Report No. 83 Brian O'Reilly This paper surveys the empirical literature on the benefits of low inflation, emphasizing contributions since 1990. It follows the framework of a section in the Bank's 1990 Annual Report, "The benefits of price stability." Content Type(s): Staff research, Technical reports Topic(s): Inflation: costs and benefits JEL Code(s): E, E3
April 1, 1998 Bank of Canada Announces Appointment of Special Adviser Media Relations Professor David Laidler of the University of Western Ontario has been chosen to fill the newly-created visiting economist position of Special Adviser in the Bank of Canada for a one-year term beginning in August 1998. Content Type(s): Press, Press releases
March 25, 1998 The Future Performance of the Canadian Economy Remarks Gordon Thiessen Canadian Club of Winnipeg Winnipeg, Manitoba It can take anywhere from one to two years for monetary actions to have their full effect on the economy. Because of this, the conduct of monetary policy must be based on a view of what the economy will be like - not tomorrow, not in a month - but rather in one to two years' time. Content Type(s): Press, Speeches and appearances, Remarks