Staff research

• November 30, 2014

  Research Update - November 2014

  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.

  Content Type(s): Staff research, Research newsletters

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

• The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets

  Staff Working Paper 2014-50 Vikram Rai, Lena Suchanek

  The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.

  Content Type(s): Staff research, Staff working papers Topic(s): International financial markets, International topics, Monetary policy transmission JEL Code(s): C, C3, C33, E, E5, E58, F, F3, F32, G, G1, G14

• Credit Market Frictions and Sudden Stops

  Staff Working Paper 2014-49 Yuko Imura

  Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP).

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, International topics JEL Code(s): E, E2, E22, E3, E32, F, F4, F41, G, G0, G01
• October 31, 2014

  Research Update - October 2014

  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.

  Content Type(s): Staff research, Research newsletters

• The Propagation of Industrial Business Cycles

  Staff Working Paper 2014-48 Maximo Camacho, Danilo Leiva-Leon

  This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C2, C22, E, E2, E27, E3, E32

• Labour Share Fluctuations in Emerging Markets: The Role of the Cost of Borrowing

  Staff Working Paper 2014-47 Serdar Kabaca

  This paper contributes to the literature by documenting labour income share fluctuations in emerging-market economies and proposing an explanation for them. Time-series data indicate that emerging markets differ from developed markets in terms of changes in the labour share over the business cycle.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Development economics, Interest rates, International topics, Labour markets JEL Code(s): E, E2, E25, E4, E44, F, F4, F41

• Are There Gains from Pooling Real-Time Oil Price Forecasts?

  Staff Working Paper 2014-46 Christiane Baumeister, Lutz Kilian, Thomas K. Lee

  The answer as to whether there are gains from pooling real-time oil price forecasts depends on the objective. The approach of combining five of the leading forecasting models with equal weights dominates the strategy of selecting one model and using it for all horizons up to two years.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, Q, Q4, Q43

• On the Importance of Sales for Aggregate Price Flexibility

  Staff Working Paper 2014-45 Oleksiy Kryvtsov, Nicolas Vincent

  Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52, L, L1, L11, L2, L25, L8, L81, M, M3, M31

• Integrating Uncertainty and Monetary Policy-Making: A Practitioner’s Perspective

  Staff Discussion Paper 2014-6 Stephen S. Poloz

  This paper discusses how central banking is evolving in light of recent experience, with particular emphasis on the incorporation of uncertainty into policy decision-making.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Financial stability, Monetary policy and uncertainty, Monetary policy communications, Monetary policy framework JEL Code(s): C, C5, C50, E, E3, E37, E5, E6, E61