C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

• Endogenous Credibility and Wage-Price Spirals

  Staff Working Paper 2024-14 Olena Kostyshyna, Tolga Özden, Yang Zhang

  We quantitively assess the risks of a wage-price spiral occurring in Canada over history. We find the risk of a wage-price spiral increases when the inflation expectations become unanchored and the credibility of central banks declines.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credibility, Inflation and prices, Monetary policy JEL Code(s): C, C2, C22, E, E0, E00, E4, E47, E7

• Climate Variability and International Trade

  Staff Working Paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin

  This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection.

  Content Type(s): Staff research, Staff working papers Topic(s): Climate change, International topics JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54

• Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model

  Technical Report No. 122 Gabriel Bruneau, Thibaut Duprey, Ruben Hipp

  We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C2, C22, C5, C52, C53, G, G1, G17, G2, G21, G28

• Weather the Storms? Hurricanes, Technology and Oil Production

  Staff Working Paper 2022-36 Johan Brannlund, Geoffrey R. Dunbar, Reinhard Ellwanger, Matthew Krutkiewicz

  Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Climate change, Potential output JEL Code(s): C, C2, C22, C23, Q, Q4, Q40, Q48, Q5, Q54

• Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data

  Staff Working Paper 2021-43 Tatjana Dahlhaus, Angelika Welte

  We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs.

  Content Type(s): Staff research, Staff working papers Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Payment clearing and settlement systems, Recent economic and financial developments JEL Code(s): C, C2, C22, C5, C55, D, D1, D12, E, E2, E21, E4, E42, E5, E52

• Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers

  Staff Working Paper 2021-37 Felix Brunner, Ruben Hipp

  Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, E, E2, E23, E27

• Evolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data

  Staff Working Paper 2021-22 Robert Amano, Marc-André Gosselin, Julien McDonald-Guimond

  Are summers getting hotter? Do daily temperatures change more than they used to? Using daily Canadian temperature data from 1960 to 2020 and modern econometric methods, we provide economists and policy-makers evidence on the important climate change issue of evolving temperatures.

  Content Type(s): Staff research, Staff working papers Topic(s): Climate change, Econometric and statistical methods JEL Code(s): C, C2, C22, Q, Q5, Q54

• How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections

  Staff Discussion Paper 2019-6 Olivier Gervais

  We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43

• Disentangling the Factors Driving Housing Resales

  Staff Analytical Note 2019-12 Mikael Khan, Taylor Webley

  We use a recently developed model and loan-level microdata to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, Housing, Recent economic and financial developments JEL Code(s): C, C2, C22, E, E2, R, R2, R21

• Fundamental Drivers of Existing Home Sales in Canada

  Staff Discussion Paper 2018-16 Taylor Webley

  Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Economic models, Housing JEL Code(s): C, C2, C22, C23, E, E2, E27, R, R2, R21