C - Mathematical and Quantitative Methods - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T06:28:06+00:00Noisy Monetary Policy
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-23/
We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise.2018-05-30T14:57:34+00:00enNoisy Monetary Policy2018-05-30Business fluctuations and cyclesEconometric and statistical methodsFinancial marketsMonetary policy implementationMonetary policy transmissionStaff Working Paper 2018-23https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-23.pdfNoisy Monetary PolicyTatjana DahlhausLuca GambettiMay 2018CC1C18C3C32EE0E02E4E43E5E52Applying the Wage-Common to Canadian Provinces
https://www.bankofcanada.ca/2018/05/staff-analytical-note-2018-16/
As at the national level, available sources of hourly wage data for Canadian provinces sometimes send conflicting signals about wage growth. This note has two objectives. First, we develop a common measure of provincial wages (the provincial wage-common) to better capture the underlying wage pressures, reflecting the overall trend across all data sources.2018-05-30T13:48:15+00:00enApplying the Wage-Common to Canadian Provinces2018-05-30Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-21/
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.2018-05-14T14:30:19+00:00enAnalysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement2018-05-14Econometric and statistical methodsPayment clearing and settlement systemsStaff Working Paper 2018-21https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-21.pdfAnalysis of Asymmetric GARCH Volatility Models with Applications to Margin MeasurementElena GoldmanXiangjin ShenMay 2018CC5C58GG1G19G2G23G28The (Un)Demand for Money in Canada
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-20/
A novel dataset from the Bank of Canada is used to estimate the deposit functions for banknotes in Canada for three denominations: $1,000, $100 and $50. The broad flavour
of the empirical findings is that denominations are different monies, and the structural estimates identify the underlying sources of the non-neutrality.2018-05-10T14:08:48+00:00enThe (Un)Demand for Money in Canada2018-05-10Bank notesEconometric and statistical methodsStaff Working Paper 2018-20https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-20.pdfThe (Un)Demand for Money in CanadaCasey JonesGeoffrey R. DunbarMay 2018CC3C31C36EE4E41