E - Macroeconomics and Monetary Economics - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:25:07+00:00Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective
https://www.bankofcanada.ca/2006/12/working-paper-2006-48/
Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.2006-12-05T16:22:25+00:00enModelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective2006-12-05Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2006-48 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-48.pdfModelling Term-Structure Dynamics for Risk Management: A Practitioner’s PerspectiveDavid BolderDecember 2006CC0C6EE4GG1Survey-Based Estimates of the Term Structure of Expected U.S. Inflation
https://www.bankofcanada.ca/2006/12/working-paper-2006-46/
Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations.2006-12-03T16:07:21+00:00enSurvey-Based Estimates of the Term Structure of Expected U.S. Inflation2006-12-03Inflation and pricesInflation targetsMonetary policy and uncertaintyWorking Paper 2006-46 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-46.pdfSurvey-Based Estimates of the Term Structure of Expected U.S. InflationSharon KozickiP. A. TinsleyDecember 2006EE3E5The Role of Debt and Equity Finance over the Business Cycle
https://www.bankofcanada.ca/2006/12/working-paper-2006-45/
The authors show that debt and equity issuance are procyclical for most listed U.S. firms.2006-12-02T16:02:24+00:00enThe Role of Debt and Equity Finance over the Business Cycle2006-12-02Business fluctuations and cyclesFinancial stabilityWorking Paper 2006-45 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-45.pdfThe Role of Debt and Equity Finance over the Business CycleFrancisco CovasWouter den HaanDecember 2006EE3GG1G3ToTEM: The Bank of Canada's New Quarterly Projection Model
https://www.bankofcanada.ca/2006/12/technical-report-no97/
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.2006-12-01T10:03:06+00:00enToTEM: The Bank of Canada's New Quarterly Projection Model2006-12-01Business fluctuations and cyclesEconomic modelsTechnical Report 97https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr97.pdfToTEM: The Bank of Canada's New Quarterly Projection ModelStephen MurchisonAndrew RennisonDecember 2006EE1E17E2E20E3E30E4E40E5E50FF4F41Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
https://www.bankofcanada.ca/2006/11/working-paper-2006-42/
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.2006-11-03T17:38:43+00:00enLinking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model2006-11-03Financial marketsFinancial stabilityWorking Paper 2006-42 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-42.pdfLinking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) ModelCéline GauthierFuchun LiNovember 2006CC5EE4An Optimized Monetary Policy Rule for ToTEM
https://www.bankofcanada.ca/2006/11/working-paper-2006-41/
The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy.2006-11-02T17:32:52+00:00enAn Optimized Monetary Policy Rule for ToTEM2006-11-02Economic modelsMonetary policy frameworkMonetary policy transmissionWorking Paper 2006-41 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-41.pdfAn Optimized Monetary Policy Rule for ToTEMJean-Philippe CayenAmy CorbettPatrick PerrierNovember 2006EE5E52Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
https://www.bankofcanada.ca/2006/10/working-paper-2006-39/
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns.2006-10-04T17:08:52+00:00enShort-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices2006-10-04Monetary and financial indicatorsWorking Paper 2006-39 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-39.pdfShort-Run and Long-Run Causality between Monetary Policy Variables and Stock PricesJean-Marie DufourDavid TessierOctober 2006CC1C12C15C3C32C5C51C53EE5E52Survey of Price-Setting Behaviour of Canadian Companies
https://www.bankofcanada.ca/2006/09/working-paper-2006-35/
In many mainstream macroeconomic models, sticky prices play an important role in explaining the effects of monetary policy on the economy.2006-09-05T16:28:22+00:00enSurvey of Price-Setting Behaviour of Canadian Companies2006-09-05Inflation and pricesMonetary policy transmissionWorking Paper 2006-35https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-35.pdfSurvey of Price-Setting Behaviour of Canadian CompaniesDavid AmiraultCarolyn KwanGordon WilkinsonSeptember 2006DD4D40EE3E30LL1L11The Macroeconomic Effects of Non-Zero Trend Inflation
https://www.bankofcanada.ca/2006/09/working-paper-2006-34/
The authors study the macroeconomic effects of non-zero trend inflation in a simple dynamic stochastic general-equilibrium model with sticky prices.2006-09-04T16:23:22+00:00enThe Macroeconomic Effects of Non-Zero Trend Inflation2006-09-04Business fluctuations and cyclesEconomic modelsInflation and pricesInflation targetsWorking Paper 2006-34 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-34.pdfThe Macroeconomic Effects of Non-Zero Trend InflationRobert AmanoSteve AmblerNooman RebeiSeptember 2006EE2E24E3E32Can Affine Term Structure Models Help Us Predict Exchange Rates?
https://www.bankofcanada.ca/2006/08/working-paper-2006-27/
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.2006-08-02T15:35:26+00:00enCan Affine Term Structure Models Help Us Predict Exchange Rates?2006-08-02Econometric and statistical methodsExchange ratesInterest ratesWorking Paper 2006-27 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-27.pdfCan Affine Term Structure Models Help Us Predict Exchange Rates?Antonio Diez de los RiosAugust 2006EE4E43FF3F31GG1G12G15