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538
result(s)
Hedge Funds and Financial Stability: The State of the Debate
Staff Discussion Paper 2007-9
Michael R. King,
Philipp Maier
The authors review the state of the debate on hedge funds and the potential threat that hedge funds pose to financial stability. The collapse of a hedge fund or a group of hedge funds might pose a systemic risk directly by damaging systematically important financial institutions, or indirectly by increasing market volatility and generating a […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial institutions,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G1,
G15,
G18,
G2
Asset-Price Misalignments and Monetary Policy: How Flexible Should Inflation-Targeting Regimes Be?
Staff Discussion Paper 2007-6
Jack Selody,
Carolyn A. Wilkins
The authors analyze the extent to which inflation-targeting frameworks should incorporate flexibility in order to respond to asset-price misalignments and other atypical events. They examine the costs and benefits of adding flexibility to the Bank's current inflation-targeting framework, and conclude that maintaining low and stable consumer price inflation is the best contribution that monetary policy […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E5,
E6
Should Central Banks Adjust Their Target Horizons in Response to House-Price Bubbles?
Staff Discussion Paper 2007-4
Meenakshi Basant Roi,
Rhys R. Mendes
The authors investigate the implications of house-price bubbles for the optimal inflation-target horizon using a dynamic general-equilibrium model with credit frictions, house-price bubbles, and small open-economy features. They find that, given the distribution of shocks and inflation persistence over the past 25 years, the optimal target horizon for Canada tends to be at the lower […]
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Credit and credit aggregates,
Economic models,
Inflation targets,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E4,
E42,
E44,
E5,
E52,
E58,
E6,
E61
World Real Interest Rates: A Global Savings and Investment Perspective
Staff Working Paper 2007-16
Brigitte Desroches,
Michael Francis
Over the past 15 years, long-term interest rates have declined to levels not seen since the 1970s. This paper explores possible shifts in global savings and investment that have led to this fall in the world real interest rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
International topics
JEL Code(s):
E,
E2,
E4,
F,
F3
Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation
Staff Working Paper 2007-8
Frédérick Demers,
Calista Cheung
This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
E,
E3,
E37
Impact of Electronic Trading Platforms on the Brokered Interdealer Market for Government of Canada Benchmark Bonds
Staff Working Paper 2007-5
Natasha Khan
This study examines the impact of increased transparency, brought about by the introduction of three electronic trading systems, on the brokered interdealer market for Government of Canada benchmark securities. Using the CanPX dataset for the 2-, 5-, 10-, and 30-year benchmarks, the paper finds some evidence of decreased bid-ask spreads for the 30-year benchmark in the months following the introduction of the electronic platforms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Market structure and pricing
JEL Code(s):
G,
G1,
G10,
G14
Housing Market Cycles and Duration Dependence in the United States and Canada
Staff Working Paper 2007-2
Rose Cunningham,
Ilan Kolet
Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C4,
C41,
E,
E3,
E32,
R,
R2,
R21
How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables
Staff Working Paper 2007-1
John Galbraith,
Greg Tkacz
For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53
December 23, 2006
Global Savings, Investment, and World Real Interest Rates
Over the past 25 years, world long-term interest rates have declined to levels not seen since the 1960s. This decline has been accompanied by falling world investment and savings rates. The authors explore global saving and investment outcomes that have led to the fall in the world real interest rate. The results show that the key factors explaining movements in savings and investment are variables that evolve relatively slowly over time, such as labour force growth and the age structure of the world economy. The conclusions suggest that, over the coming years, it is unlikely that these slowly changing variables will be a source of significant changes in world real interest rates.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Interest rates,
International topics