Interest rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:49:58+00:00Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
https://www.bankofcanada.ca/2001/12/working-paper-2001-23/
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.2001-12-01T11:43:24+00:00enModelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model2001-12-01Econometric and statistical methodsInterest ratesWorking Paper 2001-23 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-23.pdfModelling Mortgage Rate Changes with a Smooth Transition Error-Correction ModelYing LiuDecember 2001CC2C22C4C49EE4E47Affine Term-Structure Models: Theory and Implementation
https://www.bankofcanada.ca/2001/10/working-paper-2001-15/
Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.2001-10-01T15:57:48+00:00enAffine Term-Structure Models: Theory and Implementation2001-10-01Debt managementEconometric and statistical methodsInterest ratesWorking Paper 2001-15 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-15a.pdfAffine Term-Structure Models: Theory and ImplementationDavid BolderOctober 2001CC0C5GG0Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency
https://www.bankofcanada.ca/2001/04/working-paper-2001-5/
In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We find that Canadian interest rates react very little to Canadian macroeconomic news and are significantly affected by U.S. macroeconomic news, which indicates that international influences on the Canadian fixed-income markets are important.2001-04-01T14:24:39+00:00enReactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency2001-04-01Financial marketsInterest ratesMonetary policy implementationWorking Paper 2001-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-5.pdfReactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy TransparencyToni GravelleRichhild MoessnerApril 2001EE0E4E5