Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data Staff Working Paper 2013-24 Oleksiy Kryvtsov Rising consumer prices may reflect shifts by consumers to new higher-priced products, mostly for durable and semi-durable goods. I apply Bils’ (2009) methodology to newly available Canadian consumer price data for non-shelter goods and services to estimate how price increases can be divided between quality growth and price inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Potential output JEL Code(s): E, E3, E31, M, M1, M11, O, O4, O47
April 7, 2009 Price-Level Uncertainty, Price-Level Targeting, and Nominal Debt Contracts Bank of Canada Review - Spring 2009 Allan Crawford, Césaire Meh, Yaz Terajima Many central banks around the world have embraced inflation targeting as a monetary policy framework. Interest is growing, however, in price-level targeting as an alternative. The choice of frameworks has important consequences for financial contracts, most of which are not fully indexed to the price level. Changes in the price level therefore lead to changes in the real value of contracts. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation targets, Inflation: costs and benefits, Monetary policy framework
The Cost of Equity in Canada: An International Comparison Staff Working Paper 2008-21 Jonathan Witmer This paper calculates an implied cost of equity for 19 developed countries from 1991 to 2006. During this period, there has been a decline in the cost of equity of about 10-15 bps per year, which can be partially attributed to declining government yields and declining inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38
Central Bank Communication or the Media’s Interpretation: What Moves Markets? Staff Working Paper 2012-9 Scott Hendry The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a significant effect on the volatility or level of returns in a short-term interest rate market. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): E, E5, E58, G, G1, G14
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 Research Topic(s): Business fluctuations and cycles, Central bank research, Regional economic developments JEL Code(s): C, C4, C46, C8, C81
How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk? Staff Working Paper 2002-34 Chris D'Souza This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G14, G2, G21
November 11, 2008 The Market Impact of Forward-Looking Policy Statements: Transparency vs. Predictability Bank of Canada Review - Winter 2008-2009 Christine Fay, Toni Gravelle Central banks continuously strive to improve how they communicate to financial markets and the public in order to increase transparency. For this reason, many central banks have begun to include guidance on the policy rate in the form of forward-looking statements in their communications. This article examines the debate over the usefulness of providing such statements from both theoretical and empirical standpoints. The evidence presented here suggests that the use of forward-looking statements in Bank of Canada communications has made the Bank more predictable, but not necessarily more transparent. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Interest rates, Monetary policy transmission
The Distributional Effects of Conventional Monetary Policy and Quantitative Easing: Evidence from an Estimated DSGE Model Staff Working Paper 2019-6 Stefan Hohberger, Romanos Priftis, Lukas Vogel This paper compares the distributional effects of conventional monetary policy and quantitative easing (QE) within an estimated open-economy DSGE model of the euro area. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Interest rates, Monetary policy, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, F, F4, F41
Production Networks and the Propagation of Commodity Price Shocks Staff Working Paper 2020-44 Shutao Cao, Wei Dong We examine the macro implications of commodity price shocks in a model with multiple production sectors that are interconnected within a commodity-exporting small open economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): D, D5, D57, F, F4, F41
The Side Effects of Safe Asset Creation Staff Working Paper 2021-34 Sushant Acharya, Keshav Dogra The secular decline in real interest rates has created a challenge for monetary policy, now confronting the zero lower bound more often. An increase in the supply of safe assets reduces downward pressure on the natural interest rate. This allows monetary policy to reach price stability and full employment, but not without cost—permanently lower investment. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, Monetary policy implementation JEL Code(s): E, E3, E4, E5, G, G1, H, H6