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2343
result(s)
Real Time Detection of Structural Breaks in GARCH Models
Staff Working Paper 2009-31
Zhongfang He,
John M. Maheu
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C11,
C15,
C2,
C22,
C5,
C53
November 11, 2009
Declining Inflation Persistence in Canada: Causes and Consequences
The persistence of both core and total consumer price index inflation in Canada has declined significantly since the 1980s. In addition to providing up-to-date estimates of inflation persistence, this article examines possible reasons for the decline suggested in the literature. The role played by monetary policy, through its effect on price- and wage-setting behaviour, is distinguished from possible changes to the structure of the economy that are independent of monetary policy. The authors also discuss the implications for monetary policy of low structural persistence in inflation, including the choice of an inflation-targeting regime versus a price-level-targeting regime.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
Monetary policy framework
November 11, 2009
The Evolution of Capital Flows to Emerging-Market Economies
Many emerging-market economies (EMEs) have significantly improved their macroeconomic fundamentals and undergone structural reforms since the Asian crisis. These developments have enhanced the composition of capital flows to EMEs through an improved debt structure, a larger share of capital flows as foreign direct investment, and greater access to international debt markets for corporations in EMEs. Structural changes in the global financial landscape have also increased capital flows, bringing economic and financial benefits to EMEs. During the recent financial crisis, however, the opening up of capital accounts and increased financial and trade linkages left many countries vulnerable to external disruptions. Countries with sound fundamentals have weathered the crisis relatively well. Policy-makers in EMEs need to implement policies that support capital flows and ensure that controls imposed to deal with detrimental outflows during periods of stress or rapid inflows are only temporary.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Development economics,
Financial markets,
Financial system regulation and policies
November 11, 2009
Making Bank Notes Accessible for Canadians Living with Blindness or Low Vision
The ability to conduct financial transactions using bank notes is crucial to independent living. Yet this can pose significant challenges for individuals who are blind or partially sighted. This article discusses the Bank of Canada's efforts over the past 30 years to meet the accessibility needs of a specific subset of the population–Canadians living with blindness or vision loss. It also reports the findings of expert and user assessments of the suite of accessibility features on the current series of bank notes and shares plans for the next series.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Bank notes,
Central bank research
Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
Staff Discussion Paper 2009-12
Alejandro García,
Andrei Prokopiw
Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Credit and credit aggregates,
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G10,
G12,
G13
Cross-border Mergers and Hollowing-out
Staff Working Paper 2009-30
Oana Secrieru,
Marianne Vigneault
The purpose of our paper is to examine the profitability and social desirability of both domestic and foreign mergers in a location-quantity competition model, where we allow for the possibility of hollowing-out of the target firm. We refer to hollowing-out as the situation where the target firm is shut down following a merger with a domestic or foreign acquirer.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Market structure and pricing
JEL Code(s):
D,
D4,
D43,
G,
G3,
G34,
L,
L1,
L13,
L4,
L41
Exchange Rate Pass-through and Monetary Policy: How Strong is the Link?
Staff Working Paper 2009-29
Stephen Murchison
Several authors have presented reduced-form evidence suggesting that the degree of exchange rate pass-through to the consumer price index has declined in Canada since the early 1980s and is currently close to zero.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
F,
F3,
F31,
F4,
F41
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
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
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E32,
E5,
E52