Text Mining and the Information Content of Bank of Canada Communications Staff Working Paper 2010-31 Scott Hendry, Alison Madeley This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and volatility in short-term as well as long-term interest rate markets over the 2002-2008 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary policy implementation JEL Code(s): E, E5, E58, G, G1, G14
Canadian Policy Analysis Model: CPAM Staff Working Paper 1997-16 Richard Black, David Rose This paper documents the structure and properties of the Canadian Policy Analysis Model (CPAM). CPAM is designed to provide a reasonably complete representation of the Canadian macro economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17
Jump-Diffusion Long-Run Risks Models, Variance Risk Premium and Volatility Dynamics Staff Working Paper 2013-12 Jianjian Jin This paper calibrates a class of jump-diffusion long-run risks (LRR) models to quantify how well they can jointly explain the equity risk premium and the variance risk premium in the U.S. financial markets, and whether they can generate realistic dynamics of risk-neutral and realized volatilities. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models JEL Code(s): G, G1, G12, G17
Aggregate and Welfare Effects of Redistribution of Wealth Under Inflation and Price-Level Targeting Staff Working Paper 2008-31 Césaire Meh, José-Víctor Ríos-Rull, Yaz Terajima Since the work of Doepke and Schneider (2006a) and Meh and Terajima (2008), we know that inflation causes major redistribution of wealth – between households and the government, between nationals and foreigners, and between households within the same country. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Inflation targets, Inflation: costs and benefits, Monetary policy framework, Sectoral balance sheet JEL Code(s): D, D3, D31, E, E2, E21, E3, E31, E4, E44, E5, E52, E6, E63
Crisis facilities as a source of public information Staff Analytical Note 2025-7 Lerby Ergun During the COVID-19 financial market crisis, central banks introduced programs to support liquidity in important core funding markets. As well as acting as a backstop to market prices, these programs produce useful trading data on prevailing market conditions. When summary information from this data is shared publicly, it can help market participants understand current conditions and aid the recovery of market functioning. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): C, C5, C58, D, D5, D53, D8, D83, G, G1, G12, G14
Corporate Debt Composition and Business Cycles Staff Working Paper 2019-5 Jelena Zivanovic Based on empirical evidence, I propose a dynamic stochastic general equilibrium model with two financial sectors to analyze the role of corporate debt composition (bank versus bond financing) in the transmission of economic shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial institutions, Financial markets, Recent economic and financial developments JEL Code(s): E, E3, E32, E4, E44
June 24, 2007 Price Formation and Liquidity Provision in the Markets for European and Canadian Government Securities Financial System Review - June 2007 Chris D'Souza, Ingrid Lo, Stephen Sapp Content Type(s): Publications, Financial System Review articles
Price-Level versus Inflation Targeting with Financial Market Imperfections Staff Working Paper 2008-26 Francisco Covas, Yahong Zhang This paper compares price-level-path targeting (PT) with inflation targeting (IT) in a sticky-price, dynamic, general equilibrium model augmented with imperfections in both the debt and equity markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation targets, Monetary policy framework JEL Code(s): E, E4, E40, E5, E50
Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns Staff Working Paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C2, C22, C5, C52, C53, F, F3, F31
How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections Staff Discussion Paper 2019-6 Olivier Gervais We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43