August 18, 2011 Bank of Canada Review - Summer 2011 This special issue, “Real-Financial Linkages,” examines the Bank’s research using theoretical and empirical models to improve its understanding of the linkages between financial and macroeconomic developments in the wake of the recent global financial crisis. Content Type(s): Publications, Bank of Canada Review
Macroprudential FX Regulations: Shifting the Snowbanks of FX Vulnerability? Staff Working Paper 2018-55 Toni Ahnert, Kristin Forbes, Christian Friedrich, Dennis Reinhardt Can macroprudential foreign exchange (FX) regulations on banks reduce the financial and macroeconomic vulnerabilities created by borrowing in foreign currency? To evaluate the effectiveness and unintended consequences of macroprudential FX regulations, we develop a parsimonious model of bank and market lending in domestic and foreign currency and derive four predictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial institutions, Financial system regulation and policies, International financial markets JEL Code(s): F, F3, F32, F34, G, G1, G15, G2, G21, G28
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology Staff Working Paper 1996-2 Pierre St-Amant In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, International topics JEL Code(s): E, E3, E31, E4, E43
Breaking Down the US Employment Multiplier Using Micro-Level Data Staff Working Paper 2025-8 Edoardo Briganti, Holt Dwyer, Ricardo Duque Gabriel, Victor Sellemi Using newly matched data on US defense contracts and restricted administrative employment data, we show that the employment effects of defense procurement are costly, concentrated and slow to diffuse. Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy JEL Code(s): E, E6, E62, H, H5, H57, J, J2, J21
November 13, 2015 Innovation, Central-Bank Style Remarks Carolyn A. Wilkins Rotman School of Management and Munk School of Global Affairs Toronto, Ontario Senior Deputy Governor Wilkins discusses how the Bank is tackling the most important strategic challenges facing central banks today and how innovative thinking is critical to its success. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Credibility, Economic models, Exchange rate regimes, Inflation targets, Monetary policy framework
Real Effects of Collapsing Exchange Rate Regimes: An Application to Mexico Staff Working Paper 1999-10 Patrick Osakwe, Lawrence L. Schembri This paper examines the impact of a collapsing exchange rate regime on output in an open economy in which shocks to capital flows and exports predominate. A sticky-price rational expectations model is used to compare the variability of output under the collapsing regime to that under alternative fixed and flexible regimes. Output is found to […] Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): F, F3, F31, F4, F41
Average is Good Enough: Average-inflation Targeting and the ELB Staff Working Paper 2020-31 Robert Amano, Stefano Gnocchi, Sylvain Leduc, Joel Wagner The Great Recession and current pandemic have focused attention on the constraint on nominal interest rates from the effective lower bound. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52
Evaluating Factor Models: An Application to Forecasting Inflation in Canada Staff Working Paper 2001-18 Marc-André Gosselin, Greg Tkacz This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E37
A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria Staff Working Paper 1996-5 Joseph Atta-Mensah, Walter Engert, Scott Hendry, Jamie Armour A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary aggregates, Monetary policy transmission JEL Code(s): E, E3, E37, E5, E52
More Than Words: Fed Chairs’ Communication During Congressional Testimonies Staff Working Paper 2022-20 Michelle Alexopoulos, Xinfen Han, Oleksiy Kryvtsov, Xu Zhang We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Financial markets, Monetary policy communications JEL Code(s): E, E5, E52, E58, E7, E71