Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T21:23:25+00:00Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility
https://www.bankofcanada.ca/2013/10/working-paper-2013-37/
We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.2013-10-25T09:52:50+00:00enMeasuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility2013-10-25Monetary and financial indicatorsMonetary policy and uncertaintyWorking Paper 2013-37https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-37.pdfMeasuring Uncertainty in Monetary Policy Using Implied Volatility and Realized VolatilityBo Young ChangBruno FeunouOctober 2013EE4Public/Private Transitions and Firm Financing
https://www.bankofcanada.ca/2013/10/working-paper-2013-36/
A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data.2013-10-03T16:23:47+00:00enPublic/Private Transitions and Firm Financing2013-10-03Credit and credit aggregatesFinancial marketsWorking Paper 2013-36https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-36.pdfPublic/Private Transitions and Firm FinancingKim HuynhTeodora PaligorovaRobert PetruniaOctober 2013GG3G30LL1L11The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada
https://www.bankofcanada.ca/2013/10/working-paper-2013-35/
In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features.2013-10-03T15:52:10+00:00enThe Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada2013-10-03Business fluctuations and cyclesEconometric and statistical methodsInflation and pricesMonetary policy frameworkWorking Paper 2013-35https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-35.pdfThe Common Component of CPI: An Alternative Measure of Underlying Inflation for CanadaMikael KhanLouis MorelPatrick SabourinOctober 2013CC1EE3E31E32E5E52E58The Safety of Government Debt
https://www.bankofcanada.ca/2013/10/working-paper-2013-34/
We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.2013-10-01T10:44:04+00:00enThe Safety of Government Debt2013-10-01Economic modelsFinancial stabilityInternational financial marketsWorking Paper 2013-34https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-34.pdfThe Safety of Government DebtKartik AnandPrasanna GaiOctober 2013DD8D81EE4E44FF0F02F4F41GG1G15