Interest rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T23:47:47+00:00The Bank of Canada's Management of Foreign Currency Reserves
https://www.bankofcanada.ca/wp-content/uploads/2010/06/deleone.pdf
This article describes the Bank's management of the liquid foreign currency portion of the government's official reserves. It broadly outlines the operations of the Exchange Fund Account (EFA), the main account in which Canada's reserves are held. It then briefly reviews the evolution of the objectives and management of the EFA over the past 25 years, particularly in light of the changing level of reserves and developments in financial markets.
The EFA is funded by Canada's foreign currency borrowings in capital markets. The article focuses on the comprehensive portfolio framework used to manage the Account, which matches assets and liabilities. Under this framework, funds are invested in assets that match, as closely as possible, the characteristics of foreign currency liabilities issued, helping to immunize the portfolio against currency and interest rate risks.2000-12-16T09:20:24+00:00enThe Bank of Canada's Management of Foreign Currency Reserves2000-12-16The Federal Government's Use of Interest Rate Swaps and Currency Swaps
https://www.bankofcanada.ca/wp-content/uploads/2010/06/kiffe.pdf
Interest rate swaps and currency swaps are contracts in which counterparties agree to exchange cash flows according to a pre-arranged formula over a period of time. Since 1985, the federal government has been using such swaps to manage its liabilities in a cost-effective and flexible manner.
The authors outline the characteristics of swap agreements and the ways in which the government uses them. They show that the swap program has been cost-effective, estimating that past and projected savings exceed $500 million. The authors also discuss the methods that the government uses to monitor the counterparty credit risk associated with these transactions.2000-12-15T09:23:56+00:00enThe Federal Government's Use of Interest Rate Swaps and Currency Swaps2000-12-15Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
https://www.bankofcanada.ca/2000/02/working-paper-2000-5/
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.2000-02-07T12:53:08+00:00enEstimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator2000-02-07Econometric and statistical methodsInterest ratesWorking Paper 2000-5 https://www.bankofcanada.ca/wp-content/uploads/2010/01/wp00-5.pdfEstimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS EstimatorGreg TkaczFebruary 2000CC1C13EE4E43