May 19, 2011 Bank of Canada Review - Spring 2011 This special issue of the Review, “Lessons from the Financial Crisis,” examines the recent research on the role of liquidity in the financial system and on the public policy responses that aimed to restore stability to the financial system during the crisis and to foster economic recovery. Content Type(s): Publications, Bank of Canada Review
Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective Staff Working Paper 2007-49 David Bolder, Shudan Liu The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Prudential Liquidity Regulation in Banking—A Literature Review Staff Discussion Paper 2018-8 Adi Mordel Prudential liquidity requirements are a relatively recent regulatory tool on the international front, introduced as part of the Basel III accord in the form of a liquidity coverage ratio (LCR) and a net stable funding ratio (NSFR). I first discuss the rationale for regulating bank liquidity by highlighting the market failures that it addresses while reviewing key theoretical contributions to the literature on the motivation for prudential liquidity regulation. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G28
Does Exchange Rate Policy Matter for Growth? Staff Working Paper 2002-17 Jeannine Bailliu, Robert Lafrance, Jean-François Perrault Previous studies on whether the nature of the exchange rate regime influences a country's medium-term growth performance have been based on a tripartite classification scheme that distinguishes between pegged, intermediate, and flexible exchange rate regimes. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, Exchange rates, Monetary policy framework JEL Code(s): F, F3, F31, F33, F4, F43, O, O4, O40
November 13, 2014 Bank of Canada Review - Autumn 2014 In this issue, Bank staff discuss recent developments in experimental macroeconomics, research results on price-level and unemployment thresholds in forward guidance, and the spillover effects of quantitative easing in advance economies. Articles also explore the competitiveness strategies of Canadian firms as well as their use of financial derivatives. Content Type(s): Publications, Bank of Canada Review
Could a Higher Inflation Target Enhance Macroeconomic Stability? Staff Working Paper 2018-17 José Dorich, Nicholas Labelle, Vadym Lepetyuk, Rhys R. Mendes Recent international experience with the effective lower bound on nominal interest rates has rekindled interest in the benefits of inflation targets above 2 per cent. We evaluate whether an increase in the inflation target to 3 or 4 per cent could improve macroeconomic stability in the Canadian economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation targets, Monetary policy framework JEL Code(s): E, E3, E32, E37, E4, E43, E5, E52
November 7, 2011 Renewal of the Inflation-Control Target (November 2011) Commentary and technical data relating to the 2011 target renewal. Content Type(s): Background materials Research Topic(s): Inflation and prices, Monetary policy
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40
Towards a More Complete Debt Strategy Simulation Framework Staff Working Paper 2002-13 David Bolder An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Interest rates JEL Code(s): C, C0, C5, G, G0
Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures Staff Working Paper 1996-3 Simon van Norden, Robert Vigfusson This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C6, C63