Uncategorized

• October 20, 2009

  Results of the 20 October 2009 Term PRA Transaction for Private Sector Instruments

  The results of today's term PRA operations are as follows.

  Content Type(s): Press, Market notices
• October 20, 2009

  Bank of Canada Announces the New Schedule for Bank of Canada Term PRA Liquidity Operations Commencing the Week of 26 October 2009

  As indicated in the 22 September announcement, the Bank of Canada today releases the new schedule for Bank of Canada Term PRA liquidity operations commencing the week of 26 October 2009 and running through to the January 2010 Fixed Announcement Date.

  Content Type(s): Press, Market notices
• October 19, 2009

  Results of the 19 October 2009 Term PRA Transaction

  The results of today's term PRA operations are as follows.

  Content Type(s): Press, Market notices
• October 16, 2009

  Bank of Canada Announces Details of its Final Term Loan Facility Operations

  In accordance with the 22 September Bank of Canada announcement that the Term Loan Facility (TLF) auctions will expire at the end of October, the Bank announced today the details of the final two TLF operations.

  Content Type(s): Press, Market notices
• October 16, 2009

  Bank of Canada Announces Details of its Final Term PRA for Private Sector Instruments Operations

  In accordance with the 22 September Bank of Canada announcement that the term purchase and resale agreement (PRA) auctions for private sector instruments will expire at the end of October, the Bank announced today the details of the final two term PRA operations for private sector instruments.

  Content Type(s): Press, Market notices
• October 16, 2009

  Bank of Canada Announces Details of its Term PRA Operation

  In accordance with the schedule of term purchase and resale agreement (PRA) auctions announced on 21 July (see schedule), the Bank of Canada announced today that it will conduct a term PRA operation as follows.

  Content Type(s): Press, Market notices

• Bond Liquidity Premia

  Staff Working Paper 2009-28 Jean-Sébastien Fontaine, René Garcia

  Recent asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries. In the US, the repo market is the key funding market. Then, the premium of on-the-run U.S. Treasury bonds should share a common component with risk premia in other markets.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): E, E4, E43, H, H1, H12

• Risk Premium Shocks and the Zero Bound on Nominal Interest Rates

  Staff Working Paper 2009-27 Robert Amano, Malik Shukayev

  There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52

• Consumption, Housing Collateral, and the Canadian Business Cycle

  Staff Working Paper 2009-26 Ian Christensen, Paul Corrigan, Caterina Mendicino, Shin-Ichi Nishiyama

  Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E4, E44, E5, E52, R, R2, R21
• October 15, 2009

  Results for the 15 October 2009 Term Loan Facility

  The results of today's TLF operation are as follows.

  Content Type(s): Press, Market notices