Posts

• December 22, 1993

  Statement of the Government of Canada and the Bank of Canada on Monetary Policy Objectives

  December 1993 statement announcing the renewal of the agreement.

  Content Type(s): Press, Press releases

• Modèles indicateurs du PIB réel pour quatre pays d'Europe et le Japon

  Staff Working Paper 1993-11 Peter Gruhn, Pierre St-Amant

  For the five overseas countries considered in this study (Germany, France, Italy, the United Kingdom and Japan), data on real GDP are released on a quarterly basis at least two months after the end-of-quarter.

  Content Type(s): Staff research, Staff working papers

• Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills

  Technical Report No. 65 D. Graham Pugh

  This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […]

  Content Type(s): Staff research, Technical reports Research Topic(s): Financial markets JEL Code(s): G, G1, G14

• Measurement Biases in the Canadian CPI

  Technical Report No. 64 Allan Crawford

  The consumer price index (CPI) may be an imperfect measure of changes in the cost of living owing to measurement biases known as commodity substitution bias, new goods bias, quality bias and outlet substitution bias. When the sum of these individual biases is positive, the rate of change in the CPI overstates the increase in […]

  Content Type(s): Staff research, Technical reports Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31

• Monetary Policy, Uncertainty and the Presumption of Linearity

  Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow

  This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […]

  Content Type(s): Staff research, Technical reports Research Topic(s): Economic models, Inflation and prices, Monetary policy and uncertainty JEL Code(s): E, E5, E52

• The Development of Financial Derivatives Markets: The Canadian Experience

  Technical Report No. 62 Sean O'Connor

  In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […]

  Content Type(s): Staff research, Technical reports Research Topic(s): Financial markets JEL Code(s): G, G1, G10

• State Space and ARMA Models: An Overview of the Equivalence

  Staff Working Paper 1993-00 Paul Gilbert

  In this paper known results about the equivalence of state space and autoregressive moving-average models with exogenous inputs (ARMAX) (including vector auto-regressive or VAR models) are reviewed. While most of these results are not new, no single reference appears to bring together several important related points.

  Content Type(s): Staff research, Staff working papers