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2334
result(s)
Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves
Staff Discussion Paper 2010-13
Yuliya Romanyuk
An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Nowcasting the Global Economy
Staff Discussion Paper 2010-12
James Rossiter
Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
International topics
JEL Code(s):
E,
E3,
E37,
F,
F4,
F47
Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy
Staff Discussion Paper 2010-11
Zhongfang He
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Interest rates,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5,
E6
Liquidity Transformation and Bank Capital Requirements
Staff Working Paper 2010-22
Hajime Tomura
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D82,
E,
E4,
E44,
G,
G2,
G21
August 19, 2010
Monetary Policy and the Zero Bound on Nominal Interest Rates
The recent financial crisis and global economic slowdown have renewed interest in monetary policy options when the policy interest rate is at or near zero.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation targets,
Monetary policy framework
August 19, 2010
Price-Level Targeting and Relative-Price Shocks
Stephen Murchison reviews the findings of recent Bank of Canada research on the relative merits of inflation targeting and price-level targeting (PLT) for a small open economy, such as Canada's, that is susceptible to large and persistent terms-of-trade shocks.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Central bank research,
Inflation targets,
Monetary policy framework
August 19, 2010
Should Monetary Policy Be Used to Counteract Financial Imbalances?
The authors examine whether monetary policy should and could do more to lean against financial imbalances (such as those associated with asset-price bubbles or unsustainable credit expansion) as they are building up, or whether its role should be limited to cleaning up the economic consequences as the imbalances unwind.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Financial system regulation and policies,
Monetary policy framework
August 19, 2010
Conference Summary: New Frontiers in Monetary Policy Design
Although the current inflation-targeting regime has served Canadians well, sound public policy demands the continuous exploration of possible improvements in the monetary policy framework.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Central bank research,
Inflation targets,
Monetary policy framework
Identifying Asymmetric Comovements of International Stock Market Returns
Staff Working Paper 2010-21
Fuchun Li
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability,
Financial system regulation and policies,
International topics
JEL Code(s):
C,
C4,
C49,
F,
F2,
F21,
G,
G1,
G15,
G19