E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-28T23:39:46+00:00Which Model to Forecast the Target Rate?
https://www.bankofcanada.ca/2017/12/staff-working-paper-2017-60/
Specifications of the Federal Reserve target rate that have more realistic features mitigate in-sample over-fitting and are favored in the data.2017-12-20T08:33:46+00:00enWhich Model to Forecast the Target Rate?2017-12-20Financial marketsInterest ratesStaff Working Paper 2017-60https://www.bankofcanada.ca/wp-content/uploads/2017/12/swp2017-60.pdfWhich Model to Forecast the Target Rate?Bruno FeunouJean-Sébastien FontaineJianjian JinDecember 2017EE4E43The Impacts of Monetary Policy Statements
https://www.bankofcanada.ca/2017/11/staff-analytical-note-2017-22/
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.2017-11-24T09:18:40+00:00enThe Impacts of Monetary Policy Statements2017-11-24An Update on the Neutral Rate of Interest
https://www.bankofcanada.ca/wp-content/uploads/2017/11/boc-review-autumn2017-dorich.pdf
The neutral rate serves as a benchmark for measuring monetary stimulus and provides a medium- to long-run anchor for the real policy rate. Global neutral rate estimates have been falling over the past few decades. Factors such as population aging, high corporate savings, and low trend productivity growth are likely to continue supporting a low global neutral rate. These global factors as well as domestic factors are exerting downward pres-sure on the Canadian real neutral rate, which is estimated to be between 0.5 to 1.5 per cent. This low neutral rate has important implications for monetary policy and financial stability.2017-11-16T12:16:01+00:00enAn Update on the Neutral Rate of Interest2017-11-16Changes in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada
https://www.bankofcanada.ca/2017/09/staff-working-paper-2017-39/
We use narrative evidence along with a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections from 1974 to 2015 to construct a new measure of monetary policy shocks and estimate the effects of monetary policy in Canada.2017-09-25T15:54:42+00:00enChanges in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from Canada2017-09-25Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsExchange rate regimesInflation and pricesInflation targetsInterest ratesMonetary policyMonetary policy frameworkStaff Working Paper 2017-39https://www.bankofcanada.ca/wp-content/uploads/2017/09/swp2017-39.pdfChanges in Monetary Regimes and the Identification of Monetary Policy Shocks: Narrative Evidence from CanadaJulien ChampagneRodrigo SekkelSeptember 2017EE3E31E32E4E43E5E52E58Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions
https://www.bankofcanada.ca/2017/08/staff-working-paper-2017-33/
This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability.2017-08-10T07:38:59+00:00enOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions2017-08-10Asset pricingEconometric and statistical methodsExchange ratesInterest ratesStaff Working Paper 2017-33https://www.bankofcanada.ca/wp-content/uploads/2017/08/swp2017-33.pdfOptimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear RegressionsAntonio Diez de los RiosAugust 2017EE4E43FF3F31GG1G12G15Quantitative Easing and Long‐Term Yields in Small Open Economies
https://www.bankofcanada.ca/2017/07/staff-working-paper-2017-26/
We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program.2017-07-19T12:56:30+00:00enQuantitative Easing and Long‐Term Yields in Small Open Economies2017-07-19Financial marketsInterest ratesMonetary policyStaff Working Paper 2017-26https://www.bankofcanada.ca/wp-content/uploads/2017/07/swp2017-26.pdfQuantitative Easing and Long‐Term Yields in Small Open EconomiesAntonio Diez de los RiosMaral ShamlooJuly 2017EE4E43E5E52E58GG1G12Monetary Policy Implementation in a Negative Rate Environment
https://www.bankofcanada.ca/2017/07/staff-working-paper-2017-25/
Monetary policy implementation could, in theory, be constrained by deeply negative rates since overnight market participants may have an incentive to invest in cash rather than lend to other participants.2017-07-13T11:10:32+00:00enMonetary Policy Implementation in a Negative Rate Environment2017-07-13Interest ratesMonetary policy frameworkMonetary policy implementationStaff Working Paper 2017-25https://www.bankofcanada.ca/wp-content/uploads/2017/07/swp2017-25.pdfMonetary Policy Implementation in a Negative Rate EnvironmentMichael BoutrosJonathan WitmerJuly 2017EE4E40E42E43GG0What Explains Month-End Funding Pressure in Canada?
https://www.bankofcanada.ca/2017/06/staff-discussion-paper-2017-9/
The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon.2017-06-13T11:10:19+00:00enWhat Explains Month-End Funding Pressure in Canada?2017-06-13Financial marketsInterest ratesMonetary policy frameworkMonetary policy implementationMonetary policy transmissionStaff Discussion Paper 2017-9https://www.bankofcanada.ca/wp-content/uploads/2017/06/sdp2017-9.pdfWhat Explains Month-End Funding Pressure in Canada?Christopher S. SutherlandJune 2017EE4E41E43E5E52E58FF3F36GG1G14G15G2G21