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This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. W[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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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 tr[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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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 [...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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4.
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Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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5.
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Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying paramet[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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The goal of this paper is to investigate what type of information from Bank of Canada communication statements or the market commentary based on these statements has a si[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper uses Latent Semantic Analysis to extract information from Bank of Canada communication statements and investigates what type of information affects returns and[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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9.
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This paper empirically assesses the effectiveness of the Bank of Canada's term Purchase and Resale Agreement (PRA) facility in reducing short-term bank funding pressures,[...]
2010 | Text | Staff Working Paper - Document de travail du personnel |
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10.
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This paper examines the relationship between aggregate consumer spending and credit availability in the United States. The author finds that consumer spending falls (rise[...]
2009 | Text | Staff Working Paper - Document de travail du personnel |
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