E43 - Interest Rates: Determination, Term Structure, and Effects - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T12:27:05+00:00Does US or Canadian Macro News Drive Canadian Bond Yields?
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-38/
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.2018-12-05T12:00:24+00:00enDoes US or Canadian Macro News Drive Canadian Bond Yields?2018-12-05Markets Look Beyond the Headline
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-37/
Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.2018-11-23T10:35:25+00:00enMarkets Look Beyond the Headline2018-11-23Disaggregating Household Sensitivity to Monetary Policy by Expenditure Category
https://www.bankofcanada.ca/2018/10/staff-analytical-note-2018-32/
Because the Bank of Canada has started withdrawing monetary stimulus, monitoring the transmission of these changes to monetary policy will be important. Subcomponents of consumption and housing will likely respond differently to a monetary policy tightening, both in terms of the aggregate effect and timing.2018-10-02T11:19:36+00:00enDisaggregating Household Sensitivity to Monetary Policy by Expenditure Category2018-10-02Monetary Policy Uncertainty: A Tale of Two Tails
https://www.bankofcanada.ca/2018/09/staff-working-paper-2018-50/
We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.2018-09-27T08:32:17+00:00enMonetary Policy Uncertainty: A Tale of Two Tails2018-09-27Business fluctuations and cyclesEconometric and statistical methodsMonetary policy and uncertaintyMonetary policy communicationsMonetary policy transmissionStaff Working Paper 2018-50https://www.bankofcanada.ca/wp-content/uploads/2018/09/swp2018-50.pdfMonetary Policy Uncertainty: A Tale of Two TailsTatjana DahlhausTatevik SekhposyanSeptember 2018CC1C18C3C32EE0E02E4E43E5E52Assessing the Impact of Demand Shocks on the US Term Premium
https://www.bankofcanada.ca/2018/07/staff-discussion-paper-2018-7/
During and after the Great Recession of 2008–09, conventional monetary policy in the United States and many other advanced economies was constrained by the effective lower bound (ELB) on nominal interest rates. Several central banks implemented large-scale asset purchase (LSAP) programs, more commonly known as quantitative easing or QE, to provide additional monetary stimulus.2018-07-17T10:09:06+00:00enAssessing the Impact of Demand Shocks on the US Term Premium2018-07-17Financial marketsInterest ratesMonetary policy frameworkMonetary policy implementationMonetary policy transmissionStaff Discussion Paper 2018-7https://www.bankofcanada.ca/wp-content/uploads/2018/07/sdp2018-7.pdfAssessing the Impact of Demand Shocks on the US Term PremiumRussell BarnettKonrad ZmitrowiczJuly 2018EE4E43E5E52E58E6E61E65GG1G12The Neutral Rate in Canada: 2018 Estimates
https://www.bankofcanada.ca/2018/07/staff-analytical-note-2018-22/
The neutral nominal policy rate serves as a benchmark for assessing the degree of monetary stimulus and provides a medium- to long-run anchor for the policy rate. Since quantitative measures of the neutral rate are subject to considerable uncertainty, Bank staff rely on four different approaches to estimate the Canadian neutral rate.2018-07-03T13:05:22+00:00enThe Neutral Rate in Canada: 2018 Estimates2018-07-03Ambiguity, Nominal Bond Yields and Real Bond Yields
https://www.bankofcanada.ca/2018/06/staff-working-paper-2018-24/
Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.2018-06-12T11:02:04+00:00enAmbiguity, Nominal Bond Yields and Real Bond Yields2018-06-12Asset pricingFinancial marketsInterest ratesStaff Working Paper 2018-24https://www.bankofcanada.ca/wp-content/uploads/2018/06/swp2018-24.pdfAmbiguity, Nominal Bond Yields and Real Bond YieldsGuihai ZhaoJune 2018EE4E43GG0G00G1G12Noisy 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 2018CC1C18C3C32EE0E02E4E43E5E52Uncovered Return Parity: Equity Returns and Currency Returns
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-22/
We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency.2018-05-14T14:47:01+00:00enUncovered Return Parity: Equity Returns and Currency Returns2018-05-14Asset pricingExchange ratesInternational financial marketsStaff Working Paper 2018-22https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-22.pdfUncovered Return Parity: Equity Returns and Currency ReturnsEdouard DjeutemGeoffrey R. DunbarMay 2018EE4E43FF3F31GG1G15Could a Higher Inflation Target Enhance Macroeconomic Stability?
https://www.bankofcanada.ca/2018/04/staff-working-paper-2018-17/
Recent international experience with the effective lower bound on nominal interest rates has rekindled interest in the benefits of inflation targets above 2 per cent. We evaluate whether an increase in the inflation target to 3 or 4 per cent could improve macroeconomic stability in the Canadian economy.2018-04-06T13:57:48+00:00enCould a Higher Inflation Target Enhance Macroeconomic Stability?2018-04-06Economic modelsInflation targetsMonetary policy frameworkStaff Working Paper 2018-17https://www.bankofcanada.ca/wp-content/uploads/2018/04/swp2018-17.pdfCould a Higher Inflation Target Enhance Macroeconomic Stability?José DorichNicholas LabelleVadym LepetyukRhys R. MendesApril 2018EE3E32E37E4E43E5E52