E - Macroeconomics and Monetary Economics

• Bitcoin Awareness and Usage in Canada: An Update

  Staff Analytical Note 2018-23 Christopher Henry, Kim Huynh, Gradon Nicholls

  The results of our 2017 Bitcoin Omnibus Survey (December 12 to 15, 2017) when compared with those from 2016 show that Bitcoin “awareness” increased from 64 to 85 per cent, while ownership increased from 2.9 to 5.0 per cent. Most Bitcoin purchasers are using the cryptocurrency as an investment and not as a means of payment for goods or services.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4

• The Neutral Rate in Canada: 2018 Estimates

  Staff Analytical Note 2018-22 Xin Scott Chen, José Dorich

  The neutral nominal policy rate serves as a benchmark for assessing the degree of monetary stimulus and provides a medium- to long-run anchor for the policy rate. Since quantitative measures of the neutral rate are subject to considerable uncertainty, Bank staff rely on four different approaches to estimate the Canadian neutral rate.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41

• Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data

  Staff Working Paper 2018-28 Valéry Dongmo Jiongo, Pierre Nguimkeu

  This paper proposes a new bootstrap procedure for mean squared errors of robust small-area estimators. We formally prove the asymptotic validity of the proposed bootstrap method and examine its finite sample performance through Monte Carlo simulations.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C1, C13, C15, C8, C83, E, E4, E41

• Swedish Riksbank Notes and Enskilda Bank Notes: Lessons for Digital Currencies

  Staff Working Paper 2018-27 Ben Fung, Scott Hendry, Warren E. Weber

  This paper examines the experience of Sweden with government notes and private bank notes to determine how well the Swedish experience corresponds to that of Canada and the United States. Sweden is important to study because it has had government notes in circulation for more than 350 years, and it had government notes before private bank notes.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Financial services JEL Code(s): E, E4, E41, E42, E5, E58

• Reconciling Jaimovich-Rebelo Preferences, Habit in Consumption and Labor Supply

  Staff Working Paper 2018-26 Tom D. Holden, Paul Levine, Jonathan Swarbrick

  This note studies a form of a utility function of consumption with habit and leisure that (a) is compatible with long-run balanced growth, (b) hits a steady-state observed target for hours worked and (c) is consistent with micro-econometric evidence for the inter-temporal elasticity of substitution and the Frisch elasticity of labor supply.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Labour markets JEL Code(s): E, E2, E21, E24

• On the Evolution of the United Kingdom Price Distributions

  Staff Working Paper 2018-25 Ba M. Chu, Kim Huynh, David T. Jacho-Chávez, Oleksiy Kryvtsov

  We propose a functional principal components method that accounts for stratified random sample weighting and time dependence in the observations to understand the evolution of distributions of monthly micro-level consumer prices for the United Kingdom (UK).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C14, C8, C83, E, E3, E31, E37

• Ambiguity, Nominal Bond Yields and Real Bond Yields

  Staff Working Paper 2018-24 Guihai Zhao

  Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12

• Interest Rate and Renewal Risk for Mortgages

  Staff Analytical Note 2018-18 Olga Bilyk, Cameron MacDonald, Brian Peterson

  In this note, we explore two types of risk faced by holders of mortgages and home equity lines of credit (HELOCs) in the context of rising interest rates: interest rate risk and renewal risk.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Credit and credit aggregates, Financial institutions, Interest rates, Recent economic and financial developments JEL Code(s): D, D1, E, E4, E5, G, G2, G21, G28

• Noisy Monetary Policy

  Staff Working Paper 2018-23 Tatjana Dahlhaus, Luca Gambetti

  We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial markets, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52

• Bending the Curves: Wages and Inflation

  Staff Analytical Note 2018-15 Dany Brouillette, Madigan Dockrill, Helen Lao, Laurence Savoie-Chabot

  As economic slack continues to be absorbed and the labour market tightens, wage growth and inflation could increase faster than expected, which would suggest convexity in their Phillips curves. This note investigates whether there is convexity in the Phillips curves for Canadian wage growth and inflation by testing different empirical approaches over the post-inflation-targeting period.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Inflation and prices, Labour markets JEL Code(s): E, E2, E24, E3, E31, J, J3