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1323
result(s)
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
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
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
The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model
Staff Working Paper 2018-11
Stefan Hohberger,
Romanos Priftis,
Lukas Vogel
This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Interest rates,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
F,
F4,
F41
Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation
Staff Working Paper 2018-10
Lise Pichette,
Marie-Noëlle Robitaille,
Mohanad Salameh,
Pierre St-Amant
We use a new real-time database for Canada to study various output gap measures. This includes recently developed measures based on models incorporating many variables as inputs (and therefore requiring real-time data for many variables).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Potential output
JEL Code(s):
C,
C5,
C53,
E,
E3,
E37
The “Too Big to Fail” Subsidy in Canada: Some Estimates
Staff Working Paper 2018-9
Patricia Palhau Mora
Implicit government guarantees of banking-sector liabilities reduce market discipline by private sector stakeholders and temper the risk sensitivity of funding costs. This potentially increases the likelihood of bailouts from taxpayers, especially in the absence of effective resolution frameworks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G1,
G13,
G2,
G21,
G28