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788
result(s)
Can the Canadian International Investment Position Stabilize a Slowing Economy?
Staff Analytical Note 2017-14
Maxime Leboeuf,
Chen Fan
In this note, we find that valuation effects can act as an important stabilizer, strengthening Canada’s net external wealth when its economic outlook worsens relative to that of other countries.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Balance of payments and components,
International financial markets
JEL Code(s):
F,
F2,
F21,
F3,
F32
Government Spending Multipliers Under the Zero Lower Bound: Evidence from Japan
Staff Working Paper 2017-40
Thuy Lan Nguyen,
Dmitriy Sergeyev,
Wataru Miyamoto
Using a rich data set on government spending forecasts in Japan, we provide new evidence on the effects of unexpected changes in government spending when the nominal interest rate is near the zero lower bound (ZLB).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy
JEL Code(s):
E,
E3,
E32,
E5,
E6,
E62
What’s Up with Unit Non-Response in the Bank of Canada’s Business Outlook Survey? The Effect of Staff Tenure
Staff Discussion Paper 2017-11
Sarah Miller,
David Amirault,
Laurent Martin
Since 1997, the Bank of Canada’s regional offices have been conducting the Business Outlook Survey (BOS), a quarterly survey of business conditions. Survey responses are gathered through face-to-face, confidential consultations with a sample of private sector firms representative of the various sectors, firm sizes and regions across Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Firm dynamics,
Regional economic developments
JEL Code(s):
C,
C2,
C21,
C8,
C81,
D,
D2,
D22
A Dynamic Factor Model for Commodity Prices
Staff Analytical Note 2017-12
Doga Bilgin,
Reinhard Ellwanger
In this note, we present the Commodities Factor Model (CFM), a dynamic factor model for a large cross-section of energy and non-energy commodity prices. The model decomposes price changes in commodities into a common “global” component, a “block” component confined to subgroups of economically related commodities and an idiosyncratic price shock component.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Recent economic and financial developments
JEL Code(s):
C,
C5,
C51,
Q,
Q0,
Q02
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes
Staff Working Paper 2017-38
Tom Roberts
Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G12,
G17,
G19
Did the Renewable Fuel Standard Shift Market Expectations of the Price of Ethanol?
Staff Working Paper 2017-35
Christiane Baumeister,
Reinhard Ellwanger,
Lutz Kilian
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Recent economic and financial developments
JEL Code(s):
Q,
Q1,
Q18,
Q2,
Q28,
Q4,
Q42,
Q5,
Q58
Has Liquidity in Canadian Government Bond Markets Deteriorated?
Staff Analytical Note 2017-10
Sermin Gungor,
Jun Yang
This note presents measures of liquidity used by the Bank of Canada to monitor market conditions and discusses recent trends in Government of Canada (GoC) fixed-income market liquidity. Our results indicate that the Bank’s measures have improved since the financial crisis. Furthermore, GoC market liquidity deteriorated following several stressful events: the euro crisis in 2011, the taper tantrum in 2013 and the oil price shock in 2015. In all three cases, the deterioration remained within historical norms and liquidity returned to normal levels afterwards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
How to Predict Financial Stress? An Assessment of Markov Switching Models
Staff Working Paper 2017-32
Benjamin Klaus,
Thibaut Duprey
This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods,
Financial markets,
Financial stability,
Financial system regulation and policies,
Monetary and financial indicators
JEL Code(s):
C,
C5,
C54,
G,
G0,
G01,
G1,
G15
Quantitative Easing and Long‐Term Yields in Small Open Economies
Staff Working Paper 2017-26
Antonio Diez de los Rios,
Maral Shamloo
We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
E58,
G,
G1,
G12