Staff research
-
-
The Elements of the Global Network for Large-Value Funds Transfers
The author describes the various elements of the global payment network for large-value funds transfers (G-LVTN) in order to provide a convenient reference document intended for readers in the academic, legal, and financial communities. -
Core Inflation
The Bank of Canada uses core CPI inflation, the year-over-year rate of change of the consumer price index excluding food, energy, and the effects of changes in indirect taxes, as the operational guide for monetary policy. -
The Application of Artificial Neural Networks to Exchange Rate Forecasting: The Role of Market Microstructure Variables
Artificial neural networks (ANN) are employed for high-frequency Canada/U.S. dollar exchange rate forecasting. ANN outperform random walk and linear models in a number of recursive out-of- sample forecasts. -
Une analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U
The relative productivity gap between Canada and the United States is a controversial subject matter. One argument especially contentious in this debate stems from the belief that the gradual depreciation of the Canadian dollar over the last 20 years has been one of the determinants of the productivity gap. -
Steps in Applying Extreme Value Theory to Finance: A Review
Extreme value theory (EVT) has been applied in fields such as hydrology and insurance. It is a tool used to consider probabilities associated with extreme and thus rare events. EVT is useful in modelling the impact of crashes or situations of extreme stress on investor portfolios. -
Le modèle USM d'analyse et de projection de l'économie américaine
In this study, the author presents a new forecast and analysis model for the U.S. economy (i.e., the USM model) constructed at the Bank of Canada. The USM has a number of advantages over its predecessor, the VSM model. -
Les effets réels du cours des actions sur la consommation
During the nineties, stock prices increased remarkably. The number of households owning stocks also rose considerably. If stock market wealth has an effect on consumers' decisions, then the rise in equity prices could have contributed to the growth in consumption in recent years. -
Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis
This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system. -
A Practical Guide to Swap Curve Construction
The swap market has enjoyed tremendous growth in the last decade. With government issues shrinking in supply and increased price volatilities, the swap term structure has emerged as an alternative pricing, benchmark, and hedging mechanism to the government term structure.