Interest rates

• Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada

  Staff Working Paper 2017-39 Julien Champagne, Rodrigo Sekkel

  We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Exchange rate regimes, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy framework JEL Code(s): E, E3, E31, E32, E4, E43, E5, E52, E58

• Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions

  Staff Working Paper 2017-33 Antonio Diez de los Rios

  This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15

• Quantitative Easing and Long‐Term Yields in Small Open Economies

  Staff Working Paper 2017-26 Antonio Diez de los Rios, Maral Shamloo

  We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, E58, G, G1, G12

• Monetary Policy Implementation in a Negative Rate Environment

  Staff Working Paper 2017-25 Michael Boutros, Jonathan Witmer

  Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E4, E40, E42, E43, G, G0
• July 12, 2017

  Monetary Policy Report Press Conference Opening Statement

  Opening statement Stephen S. Poloz, Carolyn A. Wilkins Ottawa, Ontario

  Governor Stephen S. Poloz discusses key issues involved in the Governing Council’s deliberations about the policy rate decision and the MPR.

  Content Type(s): Press, Speeches and appearances, Opening statements Topic(s): Inflation and prices, Interest rates, Labour markets, Monetary policy, Monetary policy implementation, Recent economic and financial developments

• Understanding Monetary Policy and its Effects: Evidence from Canadian Firms Using the Business Outlook Survey

  Staff Working Paper 2017-24 Matthieu Verstraete, Lena Suchanek

  This paper shows (i) that business sentiment, as captured by survey data, matters for monetary policy decisions in Canada, and (ii) how business perspectives are affected by monetary policy shocks. Measures of business sentiment (soft data) are shown to have systematic explanatory power for monetary policy decisions over and above typical Taylor rule variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, Interest rates, Monetary policy transmission JEL Code(s): D, D2, D22, E, E4, E44, E5, E52

• What Explains Month-End Funding Pressure in Canada?

  Staff Discussion Paper 2017-9 Christopher S. Sutherland

  The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Interest rates, Monetary policy framework, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E41, E43, E5, E52, E58, F, F3, F36, G, G1, G14, G15, G2, G21
• May 11, 2017

  Unconventional Monetary Policy: The Perspective of a Small Open Economy

  Bank of Canada Review - Spring 2017 Jean-Sébastien Fontaine, Lena Suchanek, Jing Yang

  How do unconventional monetary policies like quantitative easing and negative interest rates affect domestic financial conditions and the broader economy in small open econo-mies, such as Canada? These policies are effective in depreciating the exchange rate in small open economies, while lower interest rates are also passed through to the economy, albeit only partially. When conventional monetary policy is close to its limits, fiscal policy may be a more important complement to monetary policy in a small economy, particularly if global demand for safe assets compresses long-term interest rates.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Interest rates, Monetary policy framework, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E61, E65
• May 4, 2017

  Canada and Mexico: Common Issues in Uncommon Times

  Remarks Stephen S. Poloz CanCham México and Club de Industriales Mexico City, Mexico

  Governor Stephen S. Poloz discusses how shared economic traits leave Canada and Mexico well placed to face global challenges.

  Content Type(s): Press, Speeches and appearances, Remarks Topic(s): Inflation targets, Interest rates, Monetary policy, Monetary policy and uncertainty, Recent economic and financial developments, Trade integration

• Repo Market Functioning when the Interest Rate Is Low or Negative

  Staff Discussion Paper 2017-3 Jean-Sébastien Fontaine, James Hately, Adrian Walton

  This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): D, D4, G, G1, G10, G12