E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T10:13:04+00:00Estimating Canada’s Effective Lower Bound
https://www.bankofcanada.ca/2015/12/staff-analytical-note-2015-2/
In 2009, the Bank of Canada set its effective lower bound (ELB) at 25 basis points (bps). Given the recent experience of Sweden, Denmark, Switzerland and the euro area with negative interest rates, we examine the economics of negative interest rates and suggest that cash storage costs are the source of a negative lower bound on interest rates.2015-12-08T10:22:55+00:00enEstimating Canada’s Effective Lower Bound2015-12-08Forward 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 2015EE4E43E5E52E58E6Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
https://www.bankofcanada.ca/2015/06/working-paper-2015-17/
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.2015-06-05T10:44:33+00:00enTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates2015-06-05Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2015-17https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-17.pdfTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest RatesFuchun LiJune 2015CC1C12C14EE1E17E4E43GG1G12G2G20Funding Liquidity, Market Liquidity and the Cross-Section of Stock Returns
https://www.bankofcanada.ca/2015/03/working-paper-2015-12/
Following theory, we check that funding risk connects illiquidity, volatility and returns in the cross-section of stocks. We show that the illiquidity and volatility of stocks increase with funding shocks, while contemporaneous returns decrease with funding shocks.2015-03-19T14:57:07+00:00enFunding Liquidity, Market Liquidity and the Cross-Section of Stock Returns2015-03-19Asset pricingFinancial marketsWorking Paper 2015-12https://www.bankofcanada.ca/wp-content/uploads/2015/03/wp2015-12.pdfFunding Liquidity, Market Liquidity and the Cross-Section of Stock ReturnsJean-Sébastien FontaineRené GarciaSermin GungorMarch 2015EE4E43HH1H12