Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T01:28:44+00:00Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy
https://www.bankofcanada.ca/2010/08/discussion-paper-2010-11/
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.2010-08-24T10:32:04+00:00enEvaluating the Effect of the Bank of Canada's Conditional Commitment Policy2010-08-24Interest ratesMonetary policy implementationMonetary policy transmissionDiscussion Paper 2010-11https://www.bankofcanada.ca/wp-content/uploads/2010/08/dp10-11.pdfEvaluating the Effect of the Bank of Canada's Conditional Commitment PolicyZhongfang HeAugust 2010EE4E5E6Liquidity Transformation and Bank Capital Requirements
https://www.bankofcanada.ca/2010/08/working-paper-2010-22/
This paper presents a dynamic general equilibrium model where asymmetric information about asset quality leads to asset illiquidity. Banking arises endogenously in this environment as banks can pool illiquid assets to average out their idiosyncratic qualities and issue liquid liabilities backed by pooled assets whose total quality is public information.2010-08-23T14:19:04+00:00enLiquidity Transformation and Bank Capital Requirements2010-08-23Financial stabilityFinancial system regulation and policiesWorking Paper 2010-22https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-22.pdfLiquidity Transformation and Bank Capital RequirementsHajime TomuraAugust 2010DD8D82EE4E44GG2G21Identifying Asymmetric Comovements of International Stock Market Returns
https://www.bankofcanada.ca/2010/08/working-paper-2010-21/
Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns.2010-08-05T15:32:38+00:00enIdentifying Asymmetric Comovements of International Stock Market Returns2010-08-05Econometric and statistical methodsFinancial stabilityFinancial system regulation and policiesInternational topicsWorking Paper 2010-21https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-21.pdfIdentifying Asymmetric Comovements of International Stock Market ReturnsFuchun LiAugust 2010CC4C49FF2F21GG1G15G19Asset-Liability Management: An Overview
https://www.bankofcanada.ca/2010/08/discussion-paper-2010-10/
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA).2010-08-04T07:43:32+00:00enAsset-Liability Management: An Overview2010-08-04Foreign reserves managementDiscussion Paper 2010-10https://www.bankofcanada.ca/wp-content/uploads/2010/08/dp10-10.pdfAsset-Liability Management: An OverviewYuliya RomanyukAugust 2010GG1G11Inventories in ToTEM
https://www.bankofcanada.ca/2010/08/discussion-paper-2010-9/
ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods.2010-08-03T17:03:02+00:00enInventories in ToTEM2010-08-03Business fluctuations and cyclesEconomic modelsDiscussion paper 2010-9 https://www.bankofcanada.ca/wp-content/uploads/2010/09/dp10-9.pdfInventories in ToTEMOleksiy KryvtsovYang ZhangAugust 2010EE3E31E32Inventories, Stockouts, and ToTEM
https://www.bankofcanada.ca/2010/08/inventories-stockouts-and-totem/
Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance.2010-08-03T13:38:16+00:00enInventories, Stockouts, and ToTEM2010-08-03Business fluctuations and cyclesMonetary policy transmissionDiscussion Paper 2010-8https://www.bankofcanada.ca/wp-content/uploads/2010/08/dp10-8.pdfInventories, Stockouts, and ToTEMOleksiy KryvtsovYang ZhangJuly 2010EE3E31E32An Assessment of the Bank of Canada's Term PRA Facility
https://www.bankofcanada.ca/2010/08/working-paper-2010-20/
This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures, as measured by the CDOR-OIS spread.2010-08-03T11:53:00+00:00enAn Assessment of the Bank of Canada's Term PRA Facility2010-08-03Financial marketsFinancial stabilityWorking Paper 2010-20https://www.bankofcanada.ca/wp-content/uploads/2010/08/wp10-20.pdfAn Assessment of the Bank of Canada's Term PRA FacilityEmanuella EnenajorAlex SebastianJonathan WitmerJuly 2010EE5E58GG1G12G18