August 30, 2013
Staff research
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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. -
Uncertain Fiscal Consolidations
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain. -
Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date. -
July 30, 2013
Research Update - July 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. -
Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data
Rising consumer prices may reflect shifts by consumers to new higher-priced products, mostly for durable and semi-durable goods. I apply Bils’ (2009) methodology to newly available Canadian consumer price data for non-shelter goods and services to estimate how price increases can be divided between quality growth and price inflation. -
A Blessing in Disguise: The Implications of High Global Oil Prices for the North American Market
We examine the implications of increased unconventional crude oil production in North America. This production increase has been made possible by the existence of alternative oil-recovery technologies and persistently elevated oil prices that make these technologies commercially viable. -
The Threat of Counterfeiting in Competitive Search Equilibrium
Recent studies in monetary theory show that if buyers can use lotteries to signal the quality of bank notes, counterfeiting does not occur in a pooling equilibrium. In this paper, I investigate the robustness of this non-existence result by considering an alternative trading mechanism.