Staff research

• A Comprehensive Evaluation of Measures of Core Inflation for Canada

  Staff Discussion Paper 2015-12 Mikael Khan, Louis Morel, Patrick Sabourin

  This paper evaluates the usefulness of various measures of core inflation for the conduct of monetary policy. Traditional exclusion-based measures of core inflation are found to perform relatively poorly across a range of evaluation criteria, in part due to their inability to filter unanticipated transitory shocks.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52

• Domestic and Multilateral Effects of Capital Controls in Emerging Markets

  Staff Working Paper 2015-37 Gurnain Pasricha, Matteo Falagiarda, Martin Bijsterbosch, Joshua Aizenman

  Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial system regulation and policies, International financial markets, International topics, Monetary policy framework JEL Code(s): F, F3, F32, F4, F41, F42, G, G1, G15

• Trends in Firm Entry and New Entrepreneurship in Canada

  Staff Discussion Paper 2015-11 Shutao Cao, Mohanad Salameh, Mai Seki, Pierre St-Amant

  Recently released data show downward trends for both the firm entry rate and the rate of new entrepreneurship since the early 1980s in Canada. This paper documents these trends and discusses potential explanations.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Firm dynamics, Market structure and pricing, Productivity JEL Code(s): L, L1, L11, M, M1, M13

• Downside Variance Risk Premium

  Staff Working Paper 2015-36 Bruno Feunou, Mohammad R. Jahan-Parvar, Cédric Okou

  We decompose the variance risk premium into upside and downside variance risk premia. These components reflect market compensation for changes in good and bad uncertainties. Their difference is a measure of the skewness risk premium (SRP), which captures asymmetric views on favorable versus undesirable risks.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing JEL Code(s): G, G1, G12

• An Update - Canadian Non-Energy Exports: Past Performance and Future Prospects

  Staff Discussion Paper 2015-10 André Binette, Daniel de Munnik, Julie Melanson

  In light of the fact that Canada was continuing to lose market share in the United States, Binette, de Munnik and Gouin-Bonenfant (2014) studied 31 Canadian non-energy export (NEX) categories to assess their individual performance.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Balance of payments and components, Exchange rates, International topics JEL Code(s): F, F1, F10, F14, F4, F43

• Exchange Rate Pass-Through to Consumer Prices: Theory and Recent Evidence

  Staff Discussion Paper 2015-9 Laurence Savoie-Chabot, Mikael Khan

  In an open economy such as Canada’s, exchange rate movements can have a material impact on consumer prices. This is particularly important in the current context, with the significant depreciation of the Canadian dollar vis-a-vis the U.S. dollar since late 2012.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31, E5, E52, F, F3, F31

• The Optimal Level of the Inflation Target: A Selective Review of the Literature and Outstanding Issues

  Staff Discussion Paper 2015-8 Oleksiy Kryvtsov, Rhys R. Mendes

  Bank of Canada research done prior to the most recent renewal of the inflation-control agreement in 2011 concluded that the benefits associated with a target below 2 per cent were insufficient to justify the increased risk of being constrained by the zero lower bound (ZLB) on nominal interest rates.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Inflation targets, Inflation: costs and benefits, Monetary policy framework JEL Code(s): E, E5, E52, E58
• September 30, 2015

  Research Update - September 2015

  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

• On the Nexus of Monetary Policy and Financial Stability: Recent Developments and Research

  Staff Discussion Paper 2015-7 Oleksiy Kryvtsov, Miguel Molico, Ben Tomlin

  Because financial and macroeconomic conditions are tightly interconnected, financial stability considerations are an important element of any monetary policy framework. Yet, the circumstances under which it would be appropriate for the Bank to use monetary policy to lean against financial risks need to be more fully specified (Côté 2014).

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial stability, Monetary policy framework JEL Code(s): E, E0, E4, E44, E5, E52, E58, G, G1, G18

• Shock Transmission Through International Banks: Canada

  Technical Report No. 105 James Chapman, H. Evren Damar

  In this paper, we investigate how liquidity conditions in Canada may affect domestic and/or foreign lending of globally active banks and whether this transmission is influenced by individual bank characteristics.

  Content Type(s): Staff research, Technical reports Topic(s): Financial institutions, Financial stability JEL Code(s): E, E4, E44, F, F3, F36, G, G2, G21, G3, G32