Interest rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:00:00+00:00Feedback Rules for Inflation Control: An Overview of Recent Literature
https://www.bankofcanada.ca/wp-content/uploads/2010/06/r001d-e.pdf
Feedback rules are rules aimed at guiding policy-makers as they face the problem of keeping inflation close to a desired path without causing variability elsewhere in the economy. These rules link short-term interest rates, controlled by the central bank, to the rate of inflation and/or its deviation from a target rate.
The authors describe the most popular types of feedback rules and review some simulation results.1999-12-13T09:52:10+00:00enFeedback Rules for Inflation Control: An Overview of Recent Literature1999-12-13The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada
https://www.bankofcanada.ca/1999/12/working-paper-1999-20/
This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […]1999-12-04T11:14:20+00:00enThe Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada1999-12-04Interest ratesWorking Paper 1999-20 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-20.pdfThe Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for CanadaRon LangeDecember 1999EE4E43Estimating One-Factor Models of Short-Term Interest Rates
https://www.bankofcanada.ca/1999/11/working-paper-1999-18/
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]1999-11-04T10:41:22+00:00enEstimating One-Factor Models of Short-Term Interest Rates1999-11-04Financial marketsInterest ratesWorking Paper 1999-18 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-18.pdfEstimating One-Factor Models of Short-Term Interest RatesDes Mc ManusDavid WattNovember 1999CC5C52GG1G10The Information Content of Interest Rate Futures Options
https://www.bankofcanada.ca/1999/09/working-paper-1999-15/
Options prices are being increasingly employed to extract market expectations and views about monetary policy. In this paper, eurodollar options are monitored to examine the evolution of market sentiment over the possible future values of eurodollar rates. Risk-neutral probability functions are employed to synopsize the information contained in the prices of euro/dollar futures options. Several […]1999-09-14T08:35:44+00:00enThe Information Content of Interest Rate Futures Options1999-09-14Financial marketsInterest ratesWorking Paper 1999-15 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-15.pdfThe Information Content of Interest Rate Futures OptionsDes Mc ManusSeptember 1999GG1G14Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets
https://www.bankofcanada.ca/1999/05/working-paper-1999-6/
Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […]1999-05-03T11:35:10+00:00enUncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets1999-05-03Financial marketsInflation and pricesInterest ratesInternational topicsWorking Paper 1999-6 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp99-6.pdfUncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial MarketsBen FungScott MitnickEli RemolonaMay 1999EE4E43GG1G12G15