October 26, 2010 Reform of Over-the-Counter (OTC) Derivatives Markets in Canada This discussion paper represents the work of the inter-agency Canadian OTC Derivatives Working Group (OTCD WG), formed in December 2009, that is chaired by the Bank of Canada and composed of members from the Office of the Superintendent of Financial Institutions (OSFI), the federal Department of Finance, the Ontario Securities Commission, the Autorité des marchés financiers, the Alberta Securities Commission and the Bank of Canada.
Price Level Targeting in a Small Open Economy with Financial Frictions: Welfare Analysis Staff Working Paper 2008-40 Ali Dib, Caterina Mendicino, Yahong Zhang How important are the benefits of low price-level uncertainty? This paper explores the desirability of price-level path targeting in an estimated DSGE model fit to Canadian data. The policy implications are based on social welfare evaluations. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52
Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, E, E4, E41
The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada Staff Working Paper 2013-35 Mikael Khan, Louis Morel, Patrick Sabourin In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy framework JEL Code(s): C, C1, E, E3, E31, E32, E5, E52, E58
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions Staff Working Paper 1996-4 Walter Engert, Ben Fung, Jamie Armour The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary and financial indicators JEL Code(s): E, E5, E52
January 23, 2004 Bank of Canada Review - Winter 2003-2004 Cover page Brass Cash Register, 1910 The register is part of the National Currency Collection, Bank of Canada. Photographed by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16
A Simple Test of Simple Rules: Can They Improve How Monetary Policy is Implemented with Inflation Targets? Staff Working Paper 2003-31 Nicholas Rowe, David Tulk The authors evaluate whether an assortment of simple rules could improve how the Bank of Canada implements its inflation-targeting monetary policy. They focus on measuring the correlation between the deviations of inflation from the target and the lagged deviations of rule recommendations from the actual policy interest rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy implementation JEL Code(s): E, E5
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires Staff Working Paper 2004-40 Frédérick Demers In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53
Forecasting and Analyzing World Commodity Prices Staff Working Paper 2003-24 René Lalonde, Zhenhua Zhu, Frédérick Demers The authors develop simple econometric models to analyze and forecast two components of the Bank of Canada commodity price index: the Bank of Canada non-energy (BCNE) commodity prices and the West Texas Intermediate crude oil price. They present different methodologies to identify transitory and permanent components of movements in these prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5