Interest rates

• August 18, 2011

  Introducing Multiple Interest rates in ToTEM

  Bank of Canada Review - Summer 2011 José Dorich, Rhys R. Mendes, Yang Zhang

  This article describes changes to the structure of ToTEM—the Bank of Canada’s main model for projection and policy analysis—that allow an independent role for long-term interest rates, as well as for the risk spreads that lead to differences in the interest rates faced by households, firms and the government. These changes broaden the range of policy questions that the model can address and improve its ability to explain data. The authors use the model to simulate the effects of shocks to the risk spreads on interest rates similar to those that occurred during the recent financial crisis. They also use the model to assess the macroeconomic impact of higher requirements for bank capital and liquidity.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Economic models, Financial system regulation and policies, Interest rates

• The Private Equity Premium Puzzle Revisited

  Staff Working Paper 2011-6 Katya Kartashova

  In this paper, I extend the results of Moskowitz and Vissing-Jørgensen (2002) on the returns to entrepreneurial investments in the United States. First, following the authors’ methodology I replicate the original findings from the Survey of Consumer Finances (SCF) for the period 1989–1998 and show that the returns to private and public equity are similar.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Recent economic and financial developments JEL Code(s): G, G1, G11, G12, G2, G24, G3, G31, G32
• February 17, 2011

  Competition in the Canadian Mortgage Market

  Bank of Canada Review - Winter 2010-2011 Jason Allen

  This article begins with a brief examination of the Canadian mortgage market, focusing on the market’s evolution following changes to the Bank Act in 1992, which allowed chartered banks to enter the trust business, and the subsequent entrance of virtual banks and mortgage brokers.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Interest rates, Market structure and pricing, Monetary policy transmission