Posts
-
-
Fractional Cointegration and the Demand for M1
Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure. -
September 4, 2015
Portraits in time
As we honour Queen Elizabeth II’s historic reign with a commemorative $20 note, explore eight decades of her portraits on Canada’s bank notes. -
January 18, 2012
Monetary Policy Report – January 2012
The Canadian economy is estimated to have grown by 2.4 per cent in 2011, and is projected to grow by 2.0 per cent in 2012, and 2.8 per cent in 2013, returning to full capacity by the third quarter of 2013. Total CPI inflation is expected to return to the 2 per cent target by the 3rd quarter of 2013. -
Fixed-income dealing and central bank interventions
We summarize the theoretical model of central bank asset purchases developed in Cimon and Walton (2022). The model helps us understand how asset purchases ease pressures on investment dealers to restore market conditions in a crisis. -
Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey
Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada’s Business Outlook Survey, spanning the 2001 to 2015 period. -
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. -
Is the stock market pricing in a V‑shaped recovery?
Major stock indexes have bounced back from their March 23 trough to about 10 percent below their peaks. However, stocks that are more sensitive to the business cycle have not performed as well during this market rally. This suggests that stock markets are pricing in a slower, shallower economic recovery. -
August 31, 2015
Research Update - August 2015
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. -
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model
The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.