Bruno Feunou Kamkui is a Director at the Bank of Canada’s Financial Markets Department. He previously worked at Duke University as a post-doc associate. He completed his Ph.D-Degree at the University of Montreal.
This paper introduces CLONE, a method that decomposes asset price movements into aggregate demand, productivity, inflation, and monetary policy news, using stocks, bonds, and inflation swaps. CLONE simplicity and forward-looking focus helps guide policymakers in determining the economic drivers behind asset price movements.
Is there a risk of de-anchoring of inflation expectations in the near term? We estimate the inflation risk premium using traditional asset pricing models to answer this question. The risk of de-anchoring is elevated compared with the period before the COVID-19 pandemic and is higher in the United States than in Canada.
The decline in safe real interest rates over the past three decades has reignited discussions on the neutral real interest rate, known as R*. We address the determinants and estimation methods of R*, as well as the factors influencing its decline and its future trajectory.
Using two complementary approaches, we investigate the importance of U.S. macroeconomic news in driving low-frequency fluctuations in the term structure of interest rates in Canada, Sweden and the United Kingdom. We find that U.S. macroeconomic news is particularly important to explain changes in the expectation components of the nominal, real and break-even inflation rates of small open economies.
Uncertainty surrounding the Bank of Canada’s future policy rates is measured using implied volatility computed from interest rate options and realized volatility computed from intraday prices of interest rate futures. Both volatility measures show that uncertainty decreased following major policy actions taken by the Bank in response to the 2007–09 financial crisis. Findings also indicate that, on average, uncertainty decreases following the Bank’s policy rate announcements.
"Which Model to Forecast the Target Rate?", (with Jean-Sebastien Fontaine and Jianjian Jin), Studies in Nonlinear Dynamics & Econometrics, vol. 25, issue 1, February 2021, Article number: 20190005.
