The Canadian Debt-Strategy Model: An Overview of the Principal Elements
The Canadian Debt Strategy Model helps debt managers determine their optimal financing strategy. The model’s code and documentation are available to the public.
Staff discussion papers are completed staff research studies on a wide variety of subjects relevant to central bank policy.
Content older than 10 years is available on the Bank’s Open Access Repository.
294
result(s)
The Behaviour of Consumer Prices Across Provinces
Staff Discussion Paper 2011-2
Gordon Wilkinson
Measures of core inflation enable a central bank to distinguish price movements that are transitory and generated by non-monetary events from those that are more permanent and related to prior monetary policy decisions.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31
Financial Spillovers Across Countries: The Case of Canada and the United States
Staff Discussion Paper 2011-1
Kimberly Beaton,
Brigitte Desroches
The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Business fluctuations and cycles,
Economic models,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E27,
E3,
E32,
F,
F3,
F36,
F4,
F40
The Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN
Staff Discussion Paper 2010-16
Carlos De Resende,
Ali Dib,
Nikita Perevalov
The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with financial frictions in both the demand and supply sides of the credit market, to investigate the macroeconomic implications of changing bank regulations on the Canadian economy.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Economic models,
Financial institutions,
Financial stability,
International topics
JEL Code(s):
E,
E3,
E32,
E4,
E44,
E5,
G,
G1,
G2
Has the Inclusion of Forward-Looking Statements in Monetary Policy Communications Made the Bank of Canada More Transparent?
Staff Discussion Paper 2010-15
Christine Fay,
Toni Gravelle
To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically – over the period 30 October 2000 to 31 May 2007 – the reaction of Canadian financial markets to official Bank communications, and in particular their reaction to the recent inclusion of forward-looking policy-rate guidance in these communications.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Central bank research,
Interest rates,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
E58
Losses from Simulated Defaults in Canada's Large Value Transfer System
Staff Discussion Paper 2010-14
Nellie Zhang,
Tom Hossfeld
The Large Value Transfer System (LVTS) loss-sharing mechanism was designed to ensure that, in the event of a one-participant default, the collateral pledged by direct members of the system would be sufficient to cover the largest possible net debit position of a defaulting participant. However, the situation may not hold if the indirect effects of the defaults are taken into consideration, or if two participants default during the same payment cycle.
Content Type(s):
Staff research,
Staff discussion papers
Research Topic(s):
Financial institutions,
Financial stability,
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E47,
G,
G2,
G21
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
Research 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
Research 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
Research 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
Research Topic(s):
Foreign reserves management
JEL Code(s):
G,
G1,
G11