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1320
result(s)
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
High-Frequency Trading and Institutional Trading Costs
Staff Working Paper 2018-8
Marie Chen,
Corey Garriott
Using data on Canadian bond futures, we examine how high-frequency traders (HFTs) interact with institutions building large positions. In contrast to recent findings, we find HFTs in the data act as small-sized liquidity suppliers, and we reject the hypothesis that they engage in back running, a predatory trading strategy.
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,
G2,
G20,
L,
L1,
L10
Adverse Selection with Heterogeneously Informed Agents
Staff Working Paper 2018-7
Mohammad Davoodalhosseini
A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial markets,
Financial stability,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
D,
D4,
D40,
D8,
D82,
D83,
G,
G0,
G01,
G1,
G10,
G2,
G20
Home Equity Extraction and the Boom-Bust Cycle in Consumption and Residential Investment
Staff Working Paper 2018-6
Xiaoqing Zhou
The consumption boom-bust cycle in the 2000s coincided with large fluctuations in the volume of home equity borrowing. Contrary to conventional wisdom, I show that homeowners largely borrowed for residential investment and not consumption.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Economic models,
Housing
JEL Code(s):
D,
D1,
E,
E2,
E3