Staff discussion papers are completed staff research studies on a wide variety of subjects relevant to central bank policy.
269
result(s)
Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves
Staff Discussion Paper 2010-13
Yuliya Romanyuk
An objective function is a key component of a strategic portfolio management model used to determine the optimal allocations of assets and, possibly, their associated liabilities over some investment horizon.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Nowcasting the Global Economy
Staff Discussion Paper 2010-12
James Rossiter
Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
International topics
JEL Code(s):
E,
E3,
E37,
F,
F4,
F47
Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy
Staff Discussion Paper 2010-11
Zhongfang He
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Interest rates,
Monetary policy implementation,
Monetary policy transmission
JEL Code(s):
E,
E4,
E5,
E6
Asset-Liability Management: An Overview
Staff Discussion Paper 2010-10
Yuliya Romanyuk
Relevant literature on asset-liability management (ALM) is reviewed and different ALM approaches are discussed that may be of interest to the Bank of Canada for the purpose of modelling the Exchange Fund Account (EFA).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11
Inventories in ToTEM
Staff Discussion Paper 2010-9
Oleksiy Kryvtsov,
Yang Zhang
ToTEM – the Bank of Canada’s principal projection and policy-analysis model for the Canadian economy – is extended to include inventories. In the model, firms accumulate inventories of finished goods for their role in facilitating the demand for goods.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
E,
E3,
E31,
E32
Inventories, Stockouts, and ToTEM
Staff Discussion Paper 2010-8
Oleksiy Kryvtsov,
Yang Zhang
Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E32
Statistical Confidence Intervals for the Bank of Canada's Business Outlook Survey
Staff Discussion Paper 2010-7
Daniel de Munnik
While a number of central banks publish their own business conditions indicators that rely on non-random sampling, knowledge about their statistical accuracy has been limited.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Regional economic developments
JEL Code(s):
C,
C4,
C46,
C8,
C81
The Fisher BCPI: The Bank of Canada’s New Commodity Price Index
Staff Discussion Paper 2010-6
Ilan Kolet,
Ryan Macdonald
The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI).
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C1,
E,
E3
Relative Price Movements and Labour Productivity in Canada: A VAR Analysis
Staff Discussion Paper 2010-5
Michael Dolega,
David Dupuis,
Lise Pichette
In recent years, the Canadian economy has been affected by strong movements in relative prices brought about by the surging costs of energy and non-energy commodities, with significant implications for the terms of trade, the exchange rate, and the allocation of resources across Canadian sectors and regions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Labour markets,
Productivity,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E23,
E24,
O,
O4,
O47