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252 Results

January 20, 2016

Monetary Policy Report Press Conference Opening Statement

Opening statement Stephen S. Poloz Ottawa, Ontario
Governor Stephen S. Poloz discusses key issues involved in the Governing Council’s deliberations about the policy rate decision and the MPR.

Tractable Term Structure Models

We introduce a new framework that facilitates term structure modeling with both positive interest rates and flexible time-series dynamics but that is also tractable, meaning amenable to quick and robust estimation.
November 19, 2015

A Survey of Consumer Expectations for Canada

The Bank of Canada recently launched a quarterly survey to measure the expectations of Canadian households: the Canadian Survey of Consumer Expectations (CSCE). The data collected provide comprehensive information about consumer expectations for and uncertainty about inflation, the labour market and household finance. This article describes the CSCE and illustrates its potential to offer rich information about Canadian consumers for researchers and policy-makers.

Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates

Staff Working Paper 2015-17 Fuchun Li
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C12, C14, E, E1, E17, E4, E43, G, G1, G12, G2, G20

Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

Staff Working Paper 2015-13 Michael Ehrmann, Marcel Fratzscher
The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.
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