E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:17:27+00:00What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
https://www.bankofcanada.ca/2016/12/staff-working-paper-2016-61/
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.2016-12-28T08:34:12+00:00enWhat Fed Funds Futures Tell Us About Monetary Policy Uncertainty2016-12-28Asset pricingFinancial marketsInterest ratesStaff Working Paper 2016-61https://www.bankofcanada.ca/wp-content/uploads/2016/12/swp-2016-61.pdfWhat Fed Funds Futures Tell Us About Monetary Policy UncertaintyJean-Sébastien FontaineDecember 2016EE4E43E44E47GG1G12G13The Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies
https://www.bankofcanada.ca/2016/08/staff-working-paper-2016-38/
This paper analyzes the implications of the global financial cycle for conventional and unconventional monetary policies and macroprudential policy in small, open economies such as Canada. The paper starts by summarizing recent work on financial cycles and their growing correlation across borders.2016-08-12T12:39:29+00:00enThe Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open Economies2016-08-12Financial stabilityHousingInternational financial marketsMonetary policy frameworkStaff Working Paper 2016-38https://www.bankofcanada.ca/wp-content/uploads/2016/08/swp2016-38.pdfThe Global Financial Cycle, Monetary Policies and Macroprudential Regulations in Small, Open EconomiesGregory BauerGurnain PasrichaRodrigo SekkelYaz TerajimaAugust 2016EE4E42E43E44E5E52FF4F41Starting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-37/
Press releases announcing and explaining monetary policy decisions play a critical role in the communication strategy of central banks. Because of their market-moving potential, it is particularly important how they are drafted. Often, central banks start from the previous statement and update the earlier text with only small changes.2016-07-27T07:36:23+00:00enStarting from a Blank Page? Semantic Similarity in Central Bank Communication and Market Volatility2016-07-27Central bank researchFinancial marketsInterest ratesStaff Working Paper 2016-37https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-37.pdfStarting from a Blank Page? Semantic Similarity in Central Bank Communication and Market VolatilityMichael EhrmannJonathan TalmiJuly 2016EE4E43E5E52E58Global Macro Risks in Currency Excess Returns
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-32/
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.2016-07-20T11:59:17+00:00enGlobal Macro Risks in Currency Excess Returns2016-07-20Asset pricingExchange ratesInterest ratesStaff Working Paper 2016-32https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-32.pdfGlobal Macro Risks in Currency Excess ReturnsKimberly BergNelson C. MarkJuly 2016EE2E21E4E43FF3F31GG1G12Estimating Canada’s Effective Lower Bound
https://www.bankofcanada.ca/wp-content/uploads/2016/05/boc-review-spring16-witmer.pdf
Recently, the Bank of Canada has estimated the effective lower bound (ELB) on its policy interest rate to be about -50 basis points. This article outlines the analysis that underpins that estimate by quantifying the costs of storing and using cash in Canada. It also explores how some international markets have adapted to negative interest rates, issues surrounding their implementation, as well as their transmission to other interest rates in the economy. Finally, it discusses theoretical ideas on how the ELB could be reduced further.2016-05-16T08:53:53+00:00enEstimating Canada’s Effective Lower Bound2016-05-16