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766
result(s)
An Index of Financial Stress for Canada
Staff Working Paper 2003-14
Mark Illing,
Ying Liu
The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
E,
E5,
G,
G1,
G10
May 23, 2003
The Bank of Canada: Moving Towards Transparency
During the 1990s the Bank of Canada made several changes that transformed its conduct of monetary policy. In the 1960s and 1970s, policy decisions were made in an environment characterized by instrument opaqueness and goal opaqueness, which tended to shield the Bank's operations from scrutiny and accountability. Since the 1970s the Bank has moved towards transparency and openness by rejecting multiple policy instruments and adopting a single, well-defined goal of inflation control. A recent survey has shown that the Bank of Canada is in the middle range of central banks with regard to its transparency and has lost points for not publishing the forecasts that shape its policy or the minutes and voting records of its governing body. Chant suggests that the public has benefited significantly from the changes the Bank has made, but that it should continue to support research on the benefits of low and stable inflation and continually inform other policy-makers and the public of the results.
Content Type(s):
Publications,
Bank of Canada Review articles
May 20, 2003
Updating the Bank of Canada Commodity Price Index
The Bank of Canada Commodity Price Index (BCPI) summarizes the price movements of 23 commodities produced in Canada. Information provided by the BCPI is used in analyzing movements in GDP, industrial producer prices, inflation, and the exchange rate. Effective 15 May 2003, a number of changes will be reflected in the BCPI. To ensure that the index accurately reflects the natural resource sectors of the economy, a number of new components and pricing sources have been incorporated into the BCPI. Weights in the new index will be chained to 1 January 1991 and 1 January 2000 to better reflect contemporary values.
Content Type(s):
Publications,
Bank of Canada Review articles
Collateral and Credit Supply
Staff Working Paper 2003-11
Joseph Atta-Mensah
The author examines the role of collateral in an environment where lenders and borrowers possess identical information and similar beliefs about its future value. Using option-pricing techniques, he shows that a secured loan contract is equivalent to a regular bond and an embedded option to the borrower to default.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Economic models
JEL Code(s):
E,
E5,
E51,
G,
G1,
G11,
G12,
G13
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
Staff Working Paper 2003-10
David Bolder
Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C0,
C1,
C15,
C5,
C52,
H,
H6,
H63
Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy
Staff Working Paper 2003-9
Joseph Atta-Mensah,
Ali Dib
The authors use a dynamic general-equilibrium model to study the role financial frictions play as a transmission mechanism of Canadian monetary policy, and to evaluate the real effects of exogenous credit shocks. Financial frictions, which are modelled as spreads between deposit and loan interest rates, are assumed to depend on economic activity as well as on credit shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E32,
E4,
E5,
E51
A Comparison of Twelve Macroeconomic Models of the Canadian Economy
Technical Report No. 94
Denise Côté,
John Kuszczak,
Jean-Paul Lam,
Ying Liu,
Pierre St-Amant
In this report, the authors examine and compare twelve private and public sector models of the Canadian economy with respect to their paradigm, structure, and dynamic properties. These open-economy models can be grouped into two economic paradigms.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models,
Monetary policy and uncertainty
JEL Code(s):
C,
C5,
E,
E5,
E52,
E58
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach
Staff Working Paper 2003-8
Andrew Rennison
The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C1,
C15,
E,
E3,
E32
Testing the Stability of the Canadian Phillips Curve Using Exact Methods
Staff Working Paper 2003-7
Lynda Khalaf,
Maral Kichian
Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C15,
C5,
C52,
E,
E3,
E31,
E37