Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T09:56:56+00:00On the Essentiality of E-Money
https://www.bankofcanada.ca/2015/11/staff-working-paper-2015-43/
Recent years have witnessed the advances of e-money systems such as Bitcoin, PayPal and various forms of stored-value cards. This paper adopts a mechanism design approach to identify some essential features of different payment systems that implement and improve the constrained optimal resource allocation.2015-11-20T08:40:57+00:00enOn the Essentiality of E-Money2015-11-20Bank notesDigital currencies and fintechPayment clearing and settlement systemsStaff Working Paper 2015-43https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-43.pdfOn the Essentiality of E-MoneyJonathan ChiuTsz-Nga WongNovember 2015EE4E42E5E58LL5L51Speculators, Prices and Market Volatility
https://www.bankofcanada.ca/2015/11/staff-working-paper-2015-42/
We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets.2015-11-20T05:00:12+00:00enSpeculators, Prices and Market Volatility2015-11-20International topicsRecent economic and financial developmentsStaff Working Paper 2015-42https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-42.pdfSpeculators, Prices and Market VolatilityCelso BrunettiBahattin BuyuksahinJeffrey H. HarrisNovember 2015CC3GG1Reputational Risk Management in Central Banks
https://www.bankofcanada.ca/2015/11/staff-discussion-paper-2015-16/
This paper discusses reputational risk in the context of central banking and explains why it matters to central banks. It begins with a general discussion of reputational risk within the broader framework of risk management.2015-11-17T09:42:54+00:00enReputational Risk Management in Central Banks2015-11-17CredibilityInternational topicsMonetary policy implementationStaff Discussion Paper 2015-16https://www.bankofcanada.ca/wp-content/uploads/2015/11/dp2015-16.pdfReputational Risk Management in Central BanksJill VardyNovember 2015EE5E52E58Forward Guidance at the Effective Lower Bound: International Experience
https://www.bankofcanada.ca/2015/11/staff-discussion-paper-2015-15/
Forward guidance is one of the policy tools that a central bank can implement if it seeks to provide additional monetary stimulus when it is operating at the effective lower bound (ELB) on interest rates. It became more widely used during and after the global financial crisis.2015-11-13T07:20:17+00:00enForward Guidance at the Effective Lower Bound: International Experience2015-11-13Monetary policy and uncertaintyMonetary policy communicationsMonetary policy frameworkMonetary policy implementationMonetary policy transmissionStaff Discussion Paper 2015-15https://www.bankofcanada.ca/wp-content/uploads/2015/11/dp2015-15.pdfForward Guidance at the Effective Lower Bound: International ExperienceKaryne B. CharbonneauLori RennisonNovember 2015EE4E43E5E52E58E6Quantitative Easing as a Policy Tool Under the Effective Lower Bound
https://www.bankofcanada.ca/2015/11/staff-discussion-paper-2015-14/
This paper summarizes the international evidence on the performance of quantitative easing (QE) as a monetary policy tool when conventional policy rates are constrained by the effective lower bound (ELB). A large body of evidence suggests that expanding the central bank’s balance sheet through large-scale asset purchases can provide effective stimulus under the ELB.2015-11-12T15:21:58+00:00enQuantitative Easing as a Policy Tool Under the Effective Lower Bound2015-11-12Central bank researchInternational topicsMonetary policy frameworkMonetary policy transmissionStaff Discussion Paper 2015-14https://www.bankofcanada.ca/wp-content/uploads/2015/11/dp2015-14.pdfQuantitative Easing as a Policy Tool Under the Effective Lower BoundAbeer RezaEric SantorLena SuchanekNovember 2015EE5E52E58E6E61E65NN1N10Foreign Flows and Their Effects on Government of Canada Yields
https://www.bankofcanada.ca/2015/11/staff-analytical-note-2015-1/
Foreign investment flows into Government of Canada (GoC) bonds have surged since the financial crisis. Our empirical analysis suggests that foreign flows of $150 billion lowered the 10-year GoC bond yield by 100 basis points between 2009 and 2012.2015-11-12T15:07:40+00:00enForeign Flows and Their Effects on Government of Canada Yields2015-11-12Monetary Policy and Financial Stability: Cross-Country Evidence
https://www.bankofcanada.ca/2015/11/staff-working-paper-2015-41/
Central banks may face challenges in achieving their price stability goals when financial stability risks are present. There is, however, considerable heterogeneity among central banks with respect to how they manage these potential trade-offs.2015-11-12T13:06:19+00:00enMonetary Policy and Financial Stability: Cross-Country Evidence2015-11-12Financial stabilityInternational topicsMonetary policy frameworkStaff Working Paper 2015-41https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-41.pdfMonetary Policy and Financial Stability: Cross-Country EvidenceChristian FriedrichKristina HessRose CunninghamNovember 2015EE4E5GG0G01Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?
https://www.bankofcanada.ca/2015/11/staff-working-paper-2015-40/
There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.2015-11-12T13:05:54+00:00enCredit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?2015-11-12Credit and credit aggregatesDomestic demand and componentsEconomic modelsFinancial institutionsFinancial stabilityFinancial system regulation and policiesHousingMonetary policy transmissionStaff Working Paper 2015-40 https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-40.pdfCredit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?John MuellbauerPierre St-AmantDavid WilliamsNovember 2015EE0E02E2E21E4E44GG2G21RR2R21R3R31The International Experience with Negative Policy Rates
https://www.bankofcanada.ca/2015/11/staff-discussion-paper-2015-13/
A key issue in the renewal of the inflation-control agreement is the question of the appropriate level of the inflation target. Many observers have raised concerns that with the reduction in the neutral rate, and the experience of the recent financial crisis, the effective lower bound (ELB) is more likely to be binding in the future if inflation targets remain at 2 per cent.2015-11-12T13:05:13+00:00enThe International Experience with Negative Policy Rates2015-11-12Central bank researchFinancial marketsInternational topicsMonetary policy frameworkStaff Discussion Paper 2015-13 https://www.bankofcanada.ca/wp-content/uploads/2015/11/dp2015-13.pdfThe International Experience with Negative Policy RatesHarriet JacksonNovember 2015EE5E52E58E6E65Option Valuation with Observable Volatility and Jump Dynamics
https://www.bankofcanada.ca/2015/11/working-paper-2015-39/
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.2015-11-06T12:17:44+00:00enOption Valuation with Observable Volatility and Jump Dynamics2015-11-06Asset pricingWorking Paper 2015-39https://www.bankofcanada.ca/wp-content/uploads/2015/11/wp2015-39.pdfOption Valuation with Observable Volatility and Jump DynamicsPeter ChristoffersenBruno FeunouYoontae JeonNovember 2015GG1G12