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2378
result(s)
Personal Experiences and House Price Expectations: Evidence from the Canadian Survey of Consumer Expectations
Staff Analytical Note 2018-8
Mikael Khan,
Matthieu Verstraete
In this work, we use novel Canadian survey data to study how expectations of future changes in house prices are influenced by personal experiences. We find that recently experienced changes in local house prices are routinely extrapolated into expectations of year-ahead changes in national house prices.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial stability,
Housing
Could a Higher Inflation Target Enhance Macroeconomic Stability?
Staff Working Paper 2018-17
José Dorich,
Nicholas Labelle,
Vadym Lepetyuk,
Rhys R. Mendes
Recent international experience with the effective lower bound on nominal interest rates has rekindled interest in the benefits of inflation targets above 2 per cent. We evaluate whether an increase in the inflation target to 3 or 4 per cent could improve macroeconomic stability in the Canadian economy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Inflation targets,
Monetary policy framework
JEL Code(s):
E,
E3,
E32,
E37,
E4,
E43,
E5,
E52
Order Flow Segmentation, Liquidity and Price Discovery: The Role of Latency Delays
Staff Working Paper 2018-16
Michael Brolley,
David Cimon
Latency delays—known as “speed bumps”—are an intentional slowing of order flow by exchanges. Supporters contend that delays protect market makers from high-frequency arbitrage, while opponents warn that delays promote “quote fading” by market makers. We construct a model of informed trading in a fragmented market, where one market operates a conventional order book and the other imposes a latency delay on market orders.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G18
Firm Dynamics and Multifactor Productivity: An Empirical Exploration
Staff Working Paper 2018-15
Pierre St-Amant,
David Tessier
There are indications that business dynamism has declined in advanced economies. In particular, firm entry and exit rates have fallen, suggesting that the creative destruction process has lost some of its vitality. Meanwhile, productivity growth has slowed. Some believe that lower entry and exit rates partly explain the weaker productivity growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Firm dynamics,
Productivity
JEL Code(s):
D,
D2,
D24,
M,
M1,
M13,
O,
O4,
O47
Did Canadian Corporate Bond Funds Increase their Exposures to Risks?
Staff Analytical Note 2018-7
Rohan Arora,
Nadeem Merali,
Guillaume Ouellet Leblanc
Canadian corporate bond mutual funds have rapidly increased in number and size in recent years. Their holdings have also become riskier, increasing their exposures to credit risk, interest rate risk and liquidity risk. We also briefly discuss financial stability implications.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models
Staff Working Paper 2018-14
Luis Uzeda
Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C1,
C11,
C15,
C5,
C51,
C53
Did U.S. Consumers Respond to the 2014–2015 Oil Price Shock? Evidence from the Consumer Expenditure Survey
Staff Working Paper 2018-13
Patrick Alexander,
Louis Poirier
The impact of oil price shocks on the U.S. economy is a topic of considerable debate. In this paper, we examine the response of U.S. consumers to the 2014–2015 negative oil price shock using representative survey data from the Consumer Expenditure Survey.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Domestic demand and components,
Recent economic and financial developments
JEL Code(s):
D,
D1,
D12,
E,
E2,
E21,
Q,
Q4,
Q43
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
Can Media and Text Analytics Provide Insights into Labour Market Conditions in China?
Staff Working Paper 2018-12
Jeannine Bailliu,
Xinfen Han,
Mark Kruger,
Yu-Hsien Liu,
Sri Thanabalasingam
The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market conditions index (LMCI) using text analytics applied to mainland Chinese-language newspapers over the period from 2003 to 2017.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics,
Labour markets
JEL Code(s):
C,
C3,
C38,
C5,
C55,
E,
E2,
E24,
E27