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Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate
Christensen, Ian; Dion, Frédéric; Reid, Christopher - Bank of Canada - 2004
According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations. The authors find that this measure was higher, on average, and more variable than survey measures of inflation...
Persistent link: https://www.econbiz.de/10005162538
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A No-Arbitrage Analysis of Macroeconomic Determinants of Term Structures and the Exchange Rate<br>
Chabi-Yo, Fousseni; Yang, Jun - Bank of Canada - 2007
We study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries...
Persistent link: https://www.econbiz.de/10005162497
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Real and Nominal Frictions within the Firm: How Lumpy Investment Matters for Price Adjustment
Johnston, Michael K. - Bank of Canada - 2009
Real rigidities are an important feature of modern sticky price models and are policyrelevant because of their welfare consequences, but cannot be structurally identified from time series. I evaluate the plausibility of capital specificity as a source of real rigidities using a two-dimensional...
Persistent link: https://www.econbiz.de/10008502641
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The Neutral Rate of Interest in Canada
Mendes, Rhys R. - Bank of Canada - 2014
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. This is a...
Persistent link: https://www.econbiz.de/10010960403
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Improving Overnight Loan Identification in Payments Systems
Rempel, Mark - Bank of Canada - 2014
results suggest that the inferred prices and quantities of overnight loans do provide viable estimates of interbank lending …
Persistent link: https://www.econbiz.de/10010783634
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Exchange Rate Pass-Through and the Inflation Environment in Industrialized Countries: An Empirical Investigation
Bailliu, Jeannine; Fujii, Eiji - Bank of Canada - 2004
monetary policy, results in a decline in the degree of pass-through of exchange rate movements to consumer prices. It differs …
Persistent link: https://www.econbiz.de/10005162449
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The Welfare Implications of Fiscal Dominance
Resende, Carlos De; Rebei, Nooman - Bank of Canada - 2008
This paper studies the interdependence between fiscal and monetary policy in a DSGE model with sticky prices and non … measured by (1 - k), is positively related to trend inflation, and 2) when prices are sticky, k has significant effects on the …
Persistent link: https://www.econbiz.de/10005536893
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Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence
Resende, Carlos de - Bank of Canada - 2007
This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level ...
Persistent link: https://www.econbiz.de/10005673298
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Does Financial Structure Matter for the Information Content of Financial Indicators?
Djoudad, Ramdane; Selody, Jack; Wilkins, Carolyn - Bank of Canada - 2005
financial variables for predicting real GDP growth and inflation. Their assumption is that financial asset prices will dominate … determine the predictive content of common financial asset prices and quantities for 29 countries. They find no systematic … pattern between financial structure and whether financial asset prices or quantities are the best financial indicators for …
Persistent link: https://www.econbiz.de/10005162456
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Monetary Policy in Estimated Models of Small Open and Closed Economies
Dib, Ali - Bank of Canada - 2003
The author develops and estimates a quantitative dynamic-optimizing model of a small open economy (SOE) with domestic and import price stickiness and capital-adjustment costs. A monetary policy rule allows the central bank to systematically manage the short-term nominal interest rate in response...
Persistent link: https://www.econbiz.de/10005673321