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Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions.
Armour, J.; Engert, W.; Fung, B.S.C. - Bank of Canada - 1996
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.
Persistent link: https://www.econbiz.de/10005673306
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Testing for financial contagion with applications to the Canadian banking system
Li, Fuchun - 2009
-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore …The author proposes a new test for financial contagion based on a non-parametric measure of the cross … good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is conservative, suggesting that their …
Persistent link: https://www.econbiz.de/10003852845
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Financial conditions indexes for Canada
Gauthier, Céline; Graham, Christopher; Liu, Ying - 2004
Persistent link: https://www.econbiz.de/10002123717
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Commodity Price Co-Movement and Global Economic Activity
Alquist, Ron; Coibion, Olivier - Bank of Canada - 2014
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model yields a factor structure for commodity...
Persistent link: https://www.econbiz.de/10010849946
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Uncertain Fiscal Consolidations
Bi, Huixin; Leeper, Eric M.; Leith, Campbell - Bank of Canada - 2013
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain. We find that the composition of the fiscal consolidation, its duration, the monetary policy stance, the level of government debt, and...
Persistent link: https://www.econbiz.de/10010849954
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Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem; Xu, TengTeng - Bank of Canada - 2013
that, in the steady state, a firm’s default probability rises with its leverage ratio and the level of uncertainty in the …
Persistent link: https://www.econbiz.de/10010849962
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A Policy Model to Analyze Macroprudential Regulations and Monetary Policy
Alpanda, Sami; Cateau, Gino; Meh, Césaire - Bank of Canada - 2014
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. First, it allows for non-trivial...
Persistent link: https://www.econbiz.de/10010849963
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Housing and Tax Policy
Alpanda, Sami; Zubairy, Sarah - Bank of Canada - 2013
In this paper, we investigate the effects of housing-related tax policy measures on macroeconomic aggregates using a dynamic general-equilibrium model. The model features borrowing and lending across heterogeneous households, financial frictions in the form of collateral constraints tied to...
Persistent link: https://www.econbiz.de/10010849964
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ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model
Dorich, José; Johnston, Michael K.; Mendes, Rhys R.; … - Bank of Canada - 2013
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. ToTEM has been improved along a number of...
Persistent link: https://www.econbiz.de/10010849975
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On the Importance of Sales for Aggregate Price Flexibility
Kryvtsov, Oleksiy; Vincent, Nicolas - Bank of Canada - 2014
Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out. We challenge this view. First, using the...
Persistent link: https://www.econbiz.de/10010960391