Interest rates

• March 26, 2015

  Central Bank Credibility and Policy Normalization

  Remarks Stephen S. Poloz Canada-United Kingdom Chamber of Commerce London, United Kingdom

  Governor Poloz discusses the recent rise in financial market volatility and low long-term borrowing costs, and what they both mean for central bank credibility.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Credibility, Financial stability, Inflation targets, Interest rates, Monetary policy, Monetary policy implementation
• January 21, 2015

  Release of the Monetary Policy Report

  Opening statement Stephen S. Poloz Ottawa, Ontario

  Press conference following the release of the Monetary Policy Report.

  Content Type(s): Press, Speeches and appearances, Opening statements Research Topic(s): Inflation and prices, Interest rates, Monetary policy, Monetary policy implementation, Recent economic and financial developments, Regional economic developments

• Labour Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing

  Staff Working Paper 2014-47 Serdar Kabaca

  This paper contributes to the literature by documenting labour income share fluctuations in emerging-market economies and proposing an explanation for them. Time-series data indicate that emerging markets differ from developed markets in terms of changes in the labour share over the business cycle.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Development economics, Interest rates, International topics, Labour markets JEL Code(s): E, E2, E25, E4, E44, F, F4, F41

• The Neutral Rate of Interest in Canada

  Staff Discussion Paper 2014-5 Rhys R. Mendes

  A measure of the neutral policy interest rate can be used to gauge the stance of monetary policy. We define the neutral rate as the real policy rate consistent with output at its potential level and inflation equal to target after the effects of all cyclical shocks have dissipated.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Interest rates, Monetary policy transmission JEL Code(s): E, E4, E40, E42, E43, E5, E50, E52, E58

• Search Frictions, Financial Frictions and Labour Market Fluctuations in Emerging Markets

  Staff Working Paper 2014-35 Sumru Altug, Serdar Kabaca

  This paper examines the role of the extensive and intensive margins of labour input in the context of a business cycle model with a financial friction. We document significant variation in the hours worked per worker for many emerging-market economies. Both employment and hours worked per worker are positively correlated with each other and with output.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Development economics, Interest rates, International topics, Labour markets JEL Code(s): E, E4, E44, F, F4, F41, J, J4, J40

• Improving Overnight Loan Identification in Payments Systems

  Staff Working Paper 2014-25 Mark Rempel

  Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates, Payment clearing and settlement systems JEL Code(s): C, C3, C38, C5, C53, E, E4, E42, E44, G, G1, G10

• Bond Risk Premia and Gaussian Term Structure Models

  Staff Working Paper 2014-13 Bruno Feunou, Jean-Sébastien Fontaine

  Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12

• Funding Advantage and Market Discipline in the Canadian Banking Sector

  Staff Working Paper 2013-50 Mehdi Beyhaghi, Chris D'Souza, Gordon S. Roberts

  We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Interest rates JEL Code(s): G, G0, G01, G2, G21, G28, G3, G32, G33

• A New Linear Estimator for Gaussian Dynamic Term Structure Models

  Staff Working Paper 2013-10 Antonio Diez de los Rios

  This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

• Real-financial Linkages through Loan Default and Bank Capital

  Staff Working Paper 2013-3 Tamon Takamura

  Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies, Interest rates JEL Code(s): E, E3, E32, E4, E44, E6, E69