March 9, 2010
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66
result(s)
June 16, 2008
A Money and Credit Real-Time Database for Canada
Bank of Canada Review - Summer 2008
Roobina Keshishbanoosy,
Pierre St-Amant,
Devin Ball,
Ivan Medovikov
Model-based forecasts of important economic variables are part of the range of information considered for monetary policy decision making.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Credit and credit aggregates,
Monetary aggregates,
Monetary policy and uncertainty
Price Level versus Inflation Targeting under Model Uncertainty
Staff Working Paper 2008-15
Gino Cateau
The purpose of this paper is to make a quantitative contribution to the inflation versus price level targeting debate. It considers a policy-maker that can set policy either through an inflation targeting rule or a price level targeting rule to minimize a quadratic loss function using the actual projection model of the Bank of Canada (ToTEM).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D81,
E,
E5,
E58
Survey-Based Estimates of the Term Structure of Expected U.S. Inflation
Staff Working Paper 2006-46
Sharon Kozicki,
P. A. Tinsley
Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Monetary policy and uncertainty
JEL Code(s):
E,
E3,
E5
Guarding Against Large Policy Errors under Model Uncertainty
Staff Working Paper 2006-13
Gino Cateau
How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D81,
E,
E5,
E58
Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model
Staff Working Paper 2006-5
Christopher Cornell,
Raphael Solomon
Suppose that the dynamics of the macroeconomy were given by (partly) random fluctuations between two equilibria: "good" and "bad."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
C,
C6,
C62,
E,
E5,
E59,
F,
F4,
F41
June 22, 2005
Estimating the Impact of Monetary Policy Surprises on Fixed-Income Markets
In the interest of better understanding the impact of the Bank of Canada's policy actions on bond and bill yields, Andreou assesses the impact of policy-rate announcements on short and long bonds over the period 1996 to 2004. To aid the analysis, policy actions are decomposed into expected and surprise components. He also examines whether the introduction of fixed announcement dates (FADs) has affected these results, including markets' perceptions. The main finding is that unexpected policy actions by the Bank have a significant effect on market rates at the shorter end of the yield curve, with the effect dissipating as the maturity increases. A second finding, that the impact on longer-term interest rates of a surprise action by the Bank has diminished since the introduction of the FADs, suggests that the Bank's long-term policy goals are well understood and credible.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Credibility,
Financial markets,
Monetary policy and uncertainty
Monetary Policy under Model and Data-Parameter Uncertainty
Staff Working Paper 2005-6
Gino Cateau
Policy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D81,
E,
E5,
E58
November 23, 2003
An Evaluation of Fixed Announcement Dates
When it launched a new system for regularly announcing its decisions regarding the overnight rate of interest in December 2000, the Bank of Canada had a number of key objectives in mind. These included reduced uncertainty in financial markets, greater focus on the Canadian rather than the U.S. economic environment, more emphasis on the medium-term perspective of monetary policy, and increased transparency regarding the Bank's interest rate decisions. Evidence to date suggests that all four objectives have been met to a substantial degree. Fixed announcement dates have provided regular opportunities for the Bank to communicate its views on the state of the Canadian economy to the public. This has helped to improve understanding of the broad direction of monetary policy and of the rationale behind the Bank's policy decisions although the decisions themselves are not always fully anticipated.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Credibility,
Financial markets,
Interest rates,
Monetary policy and uncertainty,
Monetary policy implementation
Some Notes on Monetary Policy Rules with Uncertainty
Staff Working Paper 2003-16
Gabriel Srour
The author explores the role that Taylor-type rules can play in monetary policy, given the degree of uncertainty in the economy. The optimal rule is derived from a simple infinite-horizon model of the monetary transmission mechanism, with only additive uncertainty.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
E,
E5,
E52