Staff research, Publications
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August 30, 2013
Research Update - August 2013
This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. -
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August 29, 2013
Quarterly Financial Report - Second Quarter 2013
Quarterly Financial Report - Second Quarter 2013 - For the period ended 30 June 2013 -
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Volatility and Liquidity Costs
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance. -
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil. -
Analyzing Fiscal Sustainability
The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt. -
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Uncertain Fiscal Consolidations
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain.