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2333
result(s)
Forward Guidance at the Effective Lower Bound: International Experience
Staff Discussion Paper 2015-15
Karyne B. Charbonneau,
Lori Rennison
Forward guidance is one of the policy tools that a central bank can implement if it seeks to provide additional monetary stimulus when it is operating at the effective lower bound (ELB) on interest rates. It became more widely used during and after the global financial crisis.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Monetary policy and uncertainty,
Monetary policy communications,
Monetary policy framework,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58,
E6
Quantitative Easing as a Policy Tool Under the Effective Lower Bound
Staff Discussion Paper 2015-14
Abeer Reza,
Eric Santor,
Lena Suchanek
This paper summarizes the international evidence on the performance of quantitative easing (QE) as a monetary policy tool when conventional policy rates are constrained by the effective lower bound (ELB). A large body of evidence suggests that expanding the central bank’s balance sheet through large-scale asset purchases can provide effective stimulus under the ELB.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
International topics,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E61,
E65,
N,
N1,
N10
Foreign Flows and Their Effects on Government of Canada Yields
Staff Analytical Note 2015-1
Bruno Feunou,
Jean-Sébastien Fontaine,
James Kyeong,
Jesus Sierra
Foreign investment flows into Government of Canada (GoC) bonds have surged since the financial crisis. Our empirical analysis suggests that foreign flows of $150 billion lowered the 10-year GoC bond yield by 100 basis points between 2009 and 2012.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International financial markets,
International topics,
Monetary policy transmission
JEL Code(s):
F,
F3,
F32
Monetary Policy and Financial Stability: Cross-Country Evidence
Staff Working Paper 2015-41
Christian Friedrich,
Kristina Hess,
Rose Cunningham
Central banks may face challenges in achieving their price stability goals when financial stability risks are present. There is, however, considerable heterogeneity among central banks with respect to how they manage these potential trade-offs.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
International topics,
Monetary policy framework
JEL Code(s):
E,
E4,
E5,
G,
G0,
G01
Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?
Staff Working Paper 2015-40
John Muellbauer,
Pierre St-Amant,
David Williams
There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Domestic demand and components,
Economic models,
Financial institutions,
Financial stability,
Financial system regulation and policies,
Housing,
Monetary policy transmission
JEL Code(s):
E,
E0,
E02,
E2,
E21,
E4,
E44,
G,
G2,
G21,
R,
R2,
R21,
R3,
R31
The International Experience with Negative Policy Rates
Staff Discussion Paper 2015-13
Harriet Jackson
A key issue in the renewal of the inflation-control agreement is the question of the appropriate level of the inflation target. Many observers have raised concerns that with the reduction in the neutral rate, and the experience of the recent financial crisis, the effective lower bound (ELB) is more likely to be binding in the future if inflation targets remain at 2 per cent.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Financial markets,
International topics,
Monetary policy framework
JEL Code(s):
E,
E5,
E52,
E58,
E6,
E65
Option Valuation with Observable Volatility and Jump Dynamics
Staff Working Paper 2015-39
Peter Christoffersen,
Bruno Feunou,
Yoontae Jeon
Under very general conditions, the total quadratic variation of a jump-diffusion process can be decomposed into diffusive volatility and squared jump variation. We use this result to develop a new option valuation model in which the underlying asset price exhibits volatility and jump intensity dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing
JEL Code(s):
G,
G1,
G12
Nowcasting BRIC+M in Real Time
Staff Working Paper 2015-38
Tatjana Dahlhaus,
Justin-Damien Guénette,
Garima Vasishtha
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C3,
C33,
C5,
C53,
E,
E3,
E37
A Comprehensive Evaluation of Measures of Core Inflation for Canada
Staff Discussion Paper 2015-12
Mikael Khan,
Louis Morel,
Patrick Sabourin
This paper evaluates the usefulness of various measures of core inflation for the conduct of monetary policy. Traditional exclusion-based measures of core inflation are found to perform relatively poorly across a range of evaluation criteria, in part due to their inability to filter unanticipated transitory shocks.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation and prices,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E5,
E52