E66 - General Outlook and Conditions

• Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

  Staff Analytical Note 2018-34 Andrew Lee-Poy

  In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18

• Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities

  Staff Analytical Note 2018-6 Thibaut Duprey

  When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Financial system regulation and policies, Monetary and financial indicators, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C11, C15, E, E1, E17, E3, E32, E37, E4, E44, E47, E5, E58, E6, E66, G, G0, G01, G1, G18

• A Barometer of Canadian Financial System Vulnerabilities

  Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts

  This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): C, C1, C14, C4, C40, D, D1, D14, E, E3, E32, E6, E66, F, F0, F01, G, G0, G01, G1, G15, G2, G21, H, H6, H63

• 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
• November 14, 2013

  Assessing Financial System Vulnerabilities: An Early Warning Approach

  Bank of Canada Review - Autumn 2013 Gurnain Pasricha, Tom Roberts, Ian Christensen, Brad Howell

  This article focuses on a quantitative method to identify financial system vulnerabilities, specifically, an imbalance indicator model (IIM) and its application to Canada. An IIM identifies potential vulnerabilities in a financial system by comparing current economic and financial data with data from periods leading up to past episodes of financial stress. It complements other sources of information - including market intelligence and regular monitoring of the economy - that policy-makers use to assess vulnerabilities.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods, Financial stability, Monetary and financial indicators JEL Code(s): E, E6, E66, G, G0, G01

• A Wave of Protectionism? An Analysis of Economic and Political Considerations

  Staff Working Paper 2008-2 Philipp Maier

  In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Recent economic and financial developments, Regional economic developments JEL Code(s): E, E6, E66, F, F3, F32, F4, F47

• Electronic Transactions as High-Frequency Indicators of Economic Activity

  Staff Working Paper 2007-58 John Galbraith, Greg Tkacz

  Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E1, E17, E2, E27, E6, E66

• Oil Price Movements and the Global Economy: A Model-Based Assessment

  Staff Working Paper 2007-34 Selim Elekdag, René Lalonde, Douglas Laxton, Dirk Muir, Paolo Pesenti

  We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the international transmission mechanism of shocks that drive oil prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, International topics JEL Code(s): E, E6, E66, F, F3, F32, F4, F47

• The Bank of Canada's Business Outlook Survey: An Assessment

  Staff Working Paper 2004-15 Monica Martin, Cristiano Papile

  Since the autumn of 1997, the Bank of Canada's regional offices (located in Halifax, Montréal, Toronto, Calgary, and Vancouver) have conducted consultations with businesses across Canada on a quarterly basis. These consultations are now referred to as the Business Outlook Survey (BOS).

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Domestic demand and components JEL Code(s): E, E3, E32, E6, E66