C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• Monetary Policy Transmission to Small Business Loan Performance: Evidence from Loan-Level Data

  Staff Working Paper 2024-41 Rodrigo Sekkel, Tamon Takamura, Yaz Terajima

  We analyze the dynamic and heterogeneous responses of small-business loan performance to a monetary-policy shock using loan-level data in Canada. We find evidence of monetary policy transmission through the cash-flow channel and the aggregate demand channel as well as some, though limited, impact of collateral to discipline loan repayment.

  Content Type(s): Staff research, Staff working papers Topic(s): Firm dynamics, Monetary policy transmission JEL Code(s): C, C3, C32, E, E1, E17, E3, E37, E5, E52

• Beyond the averages: Measuring underlying wage growth using Labour Force Survey microdata

  Staff Analytical Note 2024-23 Fares Bounajm, Tessa Devakos, Gabriela Galassi

  When it comes to understanding the influence of labour costs on inflation, average wage growth is a misleading indicator because it is affected by composition effects. We propose an alternative measure that corrects for these effects by using microdata from the Labour Force Survey. Our new measure has many desirable properties, including reduced volatility and a better relationship with labour market fundamentals.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C3, C31, J, J2, J21, J3, J30, J31, J8, J82

• Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment

  Staff Working Paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée

  We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel.

  Content Type(s): Staff research, Staff working papers Topic(s): Climate change, Labour markets, Regional economic developments JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54

• Decision Synthesis in Monetary Policy

  Staff Working Paper 2024-30 Tony Chernis, Gary Koop, Emily Tallman, Mike West

  We use Bayesian predictive decision synthesis to formalize monetary policy decision-making. We develop a case-study of monetary policy decision-making of an inflation-targeting central bank using multiple models in a manner that considers decision goals, expectations and outcomes.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Monetary policy JEL Code(s): C, C1, C11, C3, C32, C5, C53

• Untapped Potential: Mobile Device Ownership and Mobile Payments in Canada

  Staff Working Paper 2024-25 Marie-Hélène Felt, Angelika Welte, Katrina Talavera

  We present a two-stage model of mobile phone and mobile payment usage that controls for selectivity. This reveals unobserved factors that work against having a mobile phone and toward mobile paying. Therefore, people who are unable to acquire or choose not to own a mobile device might have unmet payment needs.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C3, C39, D, D1, D12, E, E4, E42

• Decomposing Systemic Risk: The Roles of Contagion and Common Exposures

  Staff Working Paper 2024-19 Grzegorz Halaj, Ruben Hipp

  We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Financial institutions, Financial stability JEL Code(s): C, C3, C32, C5, C51, G, G2, G21, L, L1, L14