E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T14:39:53+00:00Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
https://www.bankofcanada.ca/2012/12/working-paper-2012-41/
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions and they do not distinguish between dates with and without scheduled announcements.2012-12-18T16:32:04+00:00enEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy2012-12-18Asset pricingFinancial marketsInterest ratesWorking Paper 2012-41https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-41.pdfEstimating the Policy Rule from Money Market Rates when Target Rate Changes Are LumpyJean-Sébastien FontaineDecember 2012EE4E43E44E47GG1G12G13Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields
https://www.bankofcanada.ca/2012/11/working-paper-2012-37/
We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.2012-11-14T15:35:41+00:00enForecasting Inflation and the Inflation Risk Premiums Using Nominal Yields2012-11-14Asset pricingEconometric and statistical methodsInflation and pricesInterest ratesWorking Paper 2012-37https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-37.pdfForecasting Inflation and the Inflation Risk Premiums Using Nominal YieldsBruno FeunouJean-Sébastien FontaineNovember 2012EE4E43E47GG1G12Global Risk Premiums and the Transmission of Monetary Policy
https://www.bankofcanada.ca/wp-content/uploads/2012/08/boc-review-summer12-bauer.pdf
An important channel in the transmission of monetary policy is the relationship between the short-term policy rate and long-term interest rates. Using a new term-structure model, the authors show that the variation in long-term interest rates over time consists of two components: one representing investor expectations of future policy rates, and another reflecting a term-structure risk premium that compensates investors for holding a risky asset. The time variation in the term-structure risk premium is countercyclical and largely determined by global macroeconomic conditions. As a result, long-term rates are pushed up during recessions and down during times of expansion. This is an important phenomenon that central banks need to take into account when using short-term rates as a policy tool.2012-08-16T08:44:56+00:00enGlobal Risk Premiums and the Transmission of Monetary Policy2012-08-16An International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks
https://www.bankofcanada.ca/2012/02/working-paper-2012-5/
We construct a multi-country affine term structure model that contains unspanned macroeconomic and foreign exchange risks. The canonical version of the model is derived and is shown to be easy to estimate.2012-02-17T10:49:19+00:00enAn International Dynamic Term Structure Model with Economic Restrictions and Unspanned Risks2012-02-17Asset pricingExchange ratesInterest ratesWorking Paper 2012-5https://www.bankofcanada.ca/wp-content/uploads/2012/02/wp2012-05.pdfAn International Dynamic Term Structure Model with Economic Restrictions and Unspanned RisksGregory BauerAntonio Diez de los RiosFebruary 2012EE4E43FF3F31GG1G12G15