Staff research

• The Case of Serial Disappointment

  Staff Analytical Note 2016-10 Justin-Damien Guénette, Nicholas Labelle, Martin Leduc, Lori Rennison

  Similar to those of other forecasters, the Bank of Canada’s forecasts of global GDP growth have shown persistent negative errors over the past five years. This is in contrast to the pre-crisis period, when errors were consistently positive as global GDP surprised to the upside. All major regions have contributed to the forecast errors observed since 2011, although the United States has been the most persistent source of notable errors.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Domestic demand and components, Economic models, International topics, Monetary policy and uncertainty, Potential output JEL Code(s): E, E2, E27, E6, E66, F, F0, F01

• Global Macro Risks in Currency Excess Returns

  Staff Working Paper 2016-32 Kimberly Berg, Nelson C. Mark

  We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E2, E21, E4, E43, F, F3, F31, G, G1, G12

• The US Labour Market: How Much Slack Remains?

  Staff Analytical Note 2016-9 Robert Fay, James Ketcheson

  Despite the US unemployment rate being close to estimates of the non-accelerating-inflation rate of unemployment (NAIRU), measures of underemployment remain elevated, which could be an indication of remaining labour market slack. The shares of involuntary part-time workers and long-term unemployment are high relative to the current stage of the business cycle, suggesting available labour inputs are being underutilized.

  Content Type(s): Staff research, Staff analytical notes Topic(s): International topics, Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E24, J, J2, J21, J23

• Housing Market Dynamics and Macroprudential Policy

  Staff Working Paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh

  We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability, Housing, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E42, H, H2, H23

• Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models

  Staff Analytical Note 2016-8 Farrukh Suvankulov

  This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): E, E2, E22, E27, Q, Q4, Q43, Q47

• Financial Inclusion—What’s it Worth?

  Staff Working Paper 2016-30 Miguel Ampudia, Michael Ehrmann

  The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial services, Financial system regulation and policies, Housing JEL Code(s): D, D1, D14, G, G2, G21, G28

• Ce que révèle une analyse sectorielle des dynamiques récentes de l’inflation au Canada

  Staff Analytical Note 2016-7 Laurence Savoie-Chabot

  Decomposing total inflation in Canada as measured by the consumer price index (CPI) into its key macroeconomic factors, as presented in the most recent Monetary Policy Report, is an interesting exercise that shows how the exchange rate pass-through, commodity prices and the output gap have influenced the evolution of the total inflation rate over time. This aggregate approach, however, may mask important sectoral changes.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Exchange rates, Inflation and prices JEL Code(s): E, E3, E31

• Un examen plus approfondi des pressions salariales au Canada

  Staff Analytical Note 2016-6 Dany Brouillette, Laurence Savoie-Chabot

  In this note, we provide a brief outline of the recent developments in wage measures in Canada. We then assess whether wage growth is consistent with its fundamentals.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Labour markets, Productivity JEL Code(s): E, E2, E24, J, J3, J30
• June 30, 2016

  Research Update - June 2016

  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

• Financial Crisis Interventions

  Staff Working Paper 2016-29 Josef Schroth

  This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial stability, Financial system regulation and policies, Lender of last resort JEL Code(s): E, E1, E13, E3, E32, E4, E44