Staff working papers

• High-Frequency Real Economic Activity Indicator for Canada

  Staff Working Paper 2013-42 Gitanjali Kumar

  I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E3, E32

• Central Bank Communications Before, During and After the Crisis: From Open-Market Operations to Open-Mouth Policy

  Staff Working Paper 2013-41 Ianthi Vayid

  The days when secrecy and opacity were the bywords of central banking are gone. The advent of inflation targeting in the early 1990s acted as the catalyst for enhanced transparency and communications in the conduct of monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Credibility, Financial stability, Inflation targets, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E5, E52, E58

• Unemployment Fluctuations in a Small Open-Economy Model with Segmented Labour Markets: The Case of Canada

  Staff Working Paper 2013-40 Yahong Zhang

  The recent financial crisis and subsequent recession have spurred great interest in the sources of unemployment fluctuations. Previous studies predominantly assume a single economy-wide labour market, and therefore abstract from differences across sectorspecific labour markets in the economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6

• The Financialization of Food?

  Staff Working Paper 2013-39 Valentina G. Bruno, Bahattin Buyuksahin, Michel A. Robe

  Commodity-equity and cross-commodity return co-movements rose dramatically after the 2008 financial crisis. This development took place following what has been dubbed the “financialization” of commodity markets.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Recent economic and financial developments JEL Code(s): G, G1, G12, G13, Q, Q1, Q11, Q13

• Some Economics of Private Digital Currency

  Staff Working Paper 2013-38 Joshua S. Gans, Hanna Halaburda

  This paper reviews some recent developments in digital currency, focusing on platform-sponsored currencies such as Facebook Credits.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Economic models, Payment clearing and settlement systems JEL Code(s): D, D4, D42, E, E4, L, L5, L51

• Measuring Uncertainty in Monetary Policy Using Implied Volatility and Realized Volatility

  Staff Working Paper 2013-37 Bo Young Chang, Bruno Feunou

  We measure uncertainty surrounding the central bank’s future policy rates using implied volatility computed from interest rate option prices and realized volatility computed from intraday prices of interest rate futures.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators, Monetary policy and uncertainty JEL Code(s): E, E4

• Public/Private Transitions and Firm Financing

  Staff Working Paper 2013-36 Kim Huynh, Teodora Paligorova, Robert Petrunia

  A large body of empirical literature investigates differences in financing structures across firms. Private firms’ financing receives little attention due to the lack of data.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Financial markets JEL Code(s): G, G3, G30, L, L1, L11

• The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada

  Staff Working Paper 2013-35 Mikael Khan, Louis Morel, Patrick Sabourin

  In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy framework JEL Code(s): C, C1, E, E3, E31, E32, E5, E52, E58

• The Safety of Government Debt

  Staff Working Paper 2013-34 Kartik Anand, Prasanna Gai

  We examine the safety of government bonds in the presence of Knightian uncertainty amongst financial market participants. In our model, the information insensitivity of government bonds is driven by strategic complementarities across counterparties and the structure of trading relationships.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Financial stability, International financial markets JEL Code(s): D, D8, D81, E, E4, E44, F, F0, F02, F4, F41, G, G1, G15

• Housing and Tax Policy

  Staff Working Paper 2013-33 Sami Alpanda, Sarah Zubairy

  In this paper, we investigate the effects of housing-related tax policy measures on macroeconomic aggregates using a dynamic general-equilibrium model.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Fiscal policy, Housing JEL Code(s): E, E6, E62, H, H2, H24, R, R3, R38