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Heterogeneous beliefs and housing-market boom-bust cycles in a small open economy
Tomura, Hajime - 2009
emerge when credit-constrained mortgage borrowers expect that future house prices will rise and this expectation is neither … amplify housing-market boom-bust cycles by encouraging speculative housing investments by mortgage borrowers during housing …
Persistent link: https://www.econbiz.de/10003852849
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Consumption, housing collateral, and the Canadian business cycle
Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - 2009
Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the...
Persistent link: https://www.econbiz.de/10003933334
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Price movements in the Canadian residential mortgage market
Allen, Jason; McVanel, Darcey - 2009
The authors empirically analyze the price-setting behaviour of the major Canadian banks in the residential mortgage … market over the period 19912007. They use weekly posted prices of the major mortgage providers to study the degree of … competition in mortgage price setting. Their results suggest that the residential mortgage market is imperfectly competitive. They …
Persistent link: https://www.econbiz.de/10003852802
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Risk premium shocks and the zero bound on nominal interest rates
Amano, Robert A.; Shukayev, Malik - 2009
There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that...
Persistent link: https://www.econbiz.de/10003933335
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Consumption, Housing Collateral, and the Canadian Business Cycle
Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - Bank of Canada - 2009
Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Our findings show that the...
Persistent link: https://www.econbiz.de/10008566348
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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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Has the Inclusion of Forward-Looking Statements in Monetary Policy Communications Made the Bank of Canada More Transparent?
Fay, Christine; Gravelle, Toni - Bank of Canada - 2010
To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically -- over the period 30 October 2000 to 31 May 2007 -- the reaction of Canadian financial markets to official Bank communications, and in particular their...
Persistent link: https://www.econbiz.de/10008694963
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The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
Garcia, René; Luger, Richard - Bank of Canada - 2005
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...
Persistent link: https://www.econbiz.de/10005673296
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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
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The Zero Bound on Nominal Interest Rates: Implications for the Optimal Monetary Policy in Canada
Lavoie, Claude; Pioro, Hope - Bank of Canada - 2007
The authors assess the performance of the Canadian economy under a variety of interest rate rules when the zero bound on nominal interest rates can bind. Their assessment is based on numerical simulations of a dynamic stochastic general-equilibrium model in a stochastic environment. Consistent...
Persistent link: https://www.econbiz.de/10005162377