E - Macroeconomics and Monetary Economics

• Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective

  Staff Working Paper 2006-48 David Bolder

  Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1

• 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

• The Role of Debt and Equity Finance over the Business Cycle

  Staff Working Paper 2006-45 Francisco Covas, Wouter den Haan

  The authors show that debt and equity issuance are procyclical for most listed U.S. firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability JEL Code(s): E, E3, G, G1, G3

• ToTEM: The Bank of Canada's New Quarterly Projection Model

  Technical Report No. 97 Stephen Murchison, Andrew Rennison

  The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41