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198
result(s)
What do high-frequency expenditure network data reveal about spending and inflation during COVID‑19?
Staff Analytical Note 2020-20
Kim Huynh,
Helen Lao,
Patrick Sabourin,
Angelika Welte
The official consumer price index (CPI) inflation measure, based on a fixed basket set before the COVID 19 pandemic, may not fully reflect what consumers are currently experiencing. We partnered with Statistics Canada to construct a more representative index for the pandemic with weights based on real-time transaction and survey data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
Payment clearing and settlement systems
JEL Code(s):
D,
D1,
D12,
E,
E3,
E31,
E4,
E42,
E5,
E52
Endogenous Time Variation in Vector Autoregressions
Staff Working Paper 2020-16
Danilo Leiva-Leon,
Luis Uzeda
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
C,
C1,
C11,
C3,
C32,
E,
E3,
E31,
E5,
E52
Multi-Product Pricing: Theory and Evidence from Large Retailers in Israel
Staff Working Paper 2020-12
Marco Bonomo,
Carlos Carvalho,
Oleksiy Kryvtsov,
Sigal Ribon,
Rodolfo Rigato
Standard theories of price adjustment are based on the problem of a single-product firm, and therefore they may not be well suited to analyze price dynamics in the economy with multiproduct firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Market structure and pricing,
Monetary policy
JEL Code(s):
D,
D2,
D21,
D22,
E,
E3,
E31,
E5,
E52,
L,
L1,
L11
A Portfolio-Balance Model of Inflation and Yield Curve Determination
Staff Working Paper 2020-6
Antonio Diez de los Rios
How does the supply of nominal government debt affect the macroeconomy? To answer this question, we propose a portfolio-balance model of the yield curve in which inflation is determined through an interest rate rule.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Debt management,
Inflation and prices,
Interest rates,
Monetary policy
JEL Code(s):
E,
E4,
E43,
E5,
E52,
G,
G1,
G12,
H,
H6,
H63
A Comprehensive Evaluation of Measures of Core Inflation in Canada: An Update
Staff Discussion Paper 2019-9
Helen Lao,
Ceciline Steyn
We provide an updated evaluation of the value of various measures of core inflation that could be used in the conduct of monetary policy. We find that the Bank of Canada’s current preferred measures of core inflation—CPI-trim, CPI-median and CPI-common—continue to outperform alternative core measures across a range of criteria.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation and prices,
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E5,
E52
Exploring Wage Phillips Curves in Advanced Economies
Staff Discussion Paper 2019-8
Rose Cunningham,
Vikram Rai,
Kristina Hess
We investigate the extent to which excess supply (demand) in labour markets contributes to a lower (higher) growth rate of average nominal wages for workers. Using panel methods on data from 10 advanced economies for 1992–2018, we produce reduced-form estimates of a wage Phillips curve specification that is consistent with a New Keynesian framework.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Inflation and prices,
Labour markets,
Monetary policy
JEL Code(s):
C,
C3,
C33,
E,
E3,
E31,
E32
The Trend Unemployment Rate in Canada: Searching for the Unobservable
Staff Working Paper 2019-13
Dany Brouillette,
Marie-Noëlle Robitaille,
Laurence Savoie-Chabot,
Pierre St-Amant,
Bassirou Gueye,
Elise Nelson
In this paper, we assess several methods that have been used to measure the Canadian trend unemployment rate (TUR). We also consider improvements and extensions to some existing methods.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Inflation and prices,
Labour markets
JEL Code(s):
C,
C5,
C52,
C53,
E,
E2,
E24,
E27
Introducing a Systematic Measure of Idiosyncratic Prices
Staff Analytical Note 2018-33
Madigan Dockrill,
Laurence Savoie-Chabot
There is a risk that Bank of Canada staff may inadvertently be biased when analyzing inflation: when inflation surprises on the downside, staff might emphasize negative idiosyncratic factors. When inflation surprises on the upside, staff might emphasize the positive idiosyncratic factors.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
Recent economic and financial developments
JEL Code(s):
E,
E3,
E31
Price Selection
Staff Working Paper 2018-44
Carlos Carvalho,
Oleksiy Kryvtsov
We propose a simple, model-free way to measure selection in price setting and its contribution to inflation dynamics. The proposed measure of price selection is based on the observed comovement between inflation and the average level from which adjusting prices depart.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E5,
E51