Intégration de plusieurs taux d'intérêt au modèle TOTEM

Standard dynamic stochastic general-equilibrium (DSGE) models, including the first version of ToTEM, typically incorporate a single domestic interest rate. In these models, time variation in term premiums and risk spreads is not an important determinant of macroeconomic fluctuations. Empirical evidence suggests that both short- and long-term rates, as well as the risk spreads faced by households and firms, have significant effects on aggregate demand. The Bank of Canada has developed a new version of ToTEM that incorporates multiple interest rates, as well as several other modifications. This new structure allows Bank staff to use ToTEM to study a broader array of policy questions than was previously possible. For example, staff recently employed the model to assess the macroeconomic impact of higher requirements for bank capital and liquidity. The introduction of a richer interest rate structure in ToTEM has made it possible to study a broader range of policy questions in the model.