E - Macroeconomics and Monetary Economics - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T06:26:38+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 2013EE4ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model
https://www.bankofcanada.ca/2013/10/technical-report-100/
This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada.2013-10-24T09:16:53+00:00enToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model2013-10-24Business fluctuations and cyclesEconomic modelsTechnical Report No. 100https://www.bankofcanada.ca/wp-content/uploads/2013/10/technical_report_100.pdfToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection ModelJosé DorichMichael K. JohnstonRhys R. MendesStephen MurchisonYang ZhangOctober 2013EE1E17E2E20E3E30E4E40E5E50FF4F41The 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