Central Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy Staff Working Paper 2013-41 Ianthi Vayid The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced transparency and communications in the conduct of monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Credibility, Financial stability, Inflation targets, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E5, E52, E58
Unemployment Fluctuations in a Small Open-Economy Model with Segmented Labour Markets: The Case of Canada Staff Working Paper 2013-40 Yahong Zhang The recent financial crisis and subsequent recession have spurred great interest in the sources of unemployment fluctuations. Previous studies predominantly assume a single economy-wide labour market, and therefore abstract from differences across sectorspecific labour markets in the economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6
November 14, 2013 Assessing Financial System Vulnerabilities: An Early Warning Approach Bank of Canada Review - Autumn 2013 Gurnain Pasricha, Tom Roberts, Ian Christensen, Brad Howell This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): E, E6, E66, G, G0, G01
Some Economics of Private Digital Currency Staff Working Paper 2013-38 Joshua S. Gans, Hanna Halaburda This paper reviews some recent developments in digital currency, focusing on platform-sponsored currencies such as Facebook Credits. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Economic models, Payment clearing and settlement systems JEL Code(s): D, D4, D42, E, E4, L, L5, L51
Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary and financial indicators, Monetary policy and uncertainty JEL Code(s): E, E4
ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model Technical Report No. 100 José Dorich, Michael K. Johnston, Rhys R. Mendes, Stephen Murchison, Yang Zhang This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada. Content Type(s): Staff research, Technical reports Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
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
The Safety of Government Debt Staff Working Paper 2013-34 Kartik Anand, Prasanna Gai We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial stability, International financial markets JEL Code(s): D, D8, D81, E, E4, E44, F, F0, F02, F4, F41, G, G1, G15
Housing and Tax Policy Staff Working Paper 2013-33 Sami Alpanda, Sarah Zubairy In this paper, we investigate the effects of housing-related tax policy measures on macroeconomic aggregates using a dynamic general-equilibrium model. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Housing JEL Code(s): E, E6, E62, H, H2, H24, R, R3, R38
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach Staff Working Paper 2013-28 Christiane Baumeister, Lutz Kilian The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43