Staff research

• 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
• September 30, 2014

  Research Update - September 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 Role of Card Acceptance in the Transaction Demand for Money

  Staff Working Paper 2014-44 Kim Huynh, Philipp Schmidt-Dengler, Helmut Stix

  The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

  Staff Working Paper 2014-43 Tatjana Dahlhaus, Abeer Reza, Kristina Hess

  The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, E58, F, F4, F42, F44

• The Neutral Rate of Interest in Canada

  Staff Discussion Paper 2014-5 Rhys R. Mendes

  A measure of the neutral policy interest rate can be used to gauge the stance of monetary policy. We define the neutral rate as the real policy rate consistent with output at its potential level and inflation equal to target after the effects of all cyclical shocks have dissipated.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Interest rates, Monetary policy transmission JEL Code(s): E, E4, E40, E42, E43, E5, E50, E52, E58

• What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?

  Staff Working Paper 2014-42 Ron Alquist, Gregory Bauer, Antonio Diez de los Rios

  Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, International topics JEL Code(s): C, C5, C53, G, G1, G12, G13, Q, Q4, Q43

• Improving Public Equity Markets? No Pain, No Gain

  Staff Working Paper 2014-41 Katya Kartashova

  This paper quantifies the effects of improving public equity markets on macroeconomic aggregates and welfare. I use an open-economy extension of Angeletos (2007), where entrepreneurs face idiosyncratic productivity risk in privately held firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Financial institutions, Financial markets JEL Code(s): E, E4, E44, G, G1, G11, O, O1, O11, O16

• Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?

  Staff Working Paper 2014-40 Rodrigo Sekkel

  This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.

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