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2400
result(s)
A Dynamic Factor Model for Nowcasting Canadian GDP Growth
Staff Working Paper 2017-2
Tony Chernis,
Rodrigo Sekkel
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
C38,
C5,
C53,
E,
E3,
E37
Repo Market Functioning when the Interest Rate Is Low or Negative
Staff Discussion Paper 2017-3
Jean-Sébastien Fontaine,
James Hately,
Adrian Walton
This paper investigates how a low or negative overnight interest rate might affect the Canadian repo markets. The main conclusion is that the repo market for general collateral will continue to function effectively.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Financial markets,
Interest rates,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G1,
G10,
G12
Global Real Activity for Canadian Exports: GRACE
Staff Discussion Paper 2017-2
André Binette,
Tony Chernis,
Daniel de Munnik
Canadian exports have often disappointed since the Great Recession. The apparent disconnect between exports and the Bank of Canada’s current measure of foreign demand has created an impetus to search for an alternative.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Balance of payments and components,
Econometric and statistical methods,
Exchange rates
JEL Code(s):
F,
F1,
F10,
F14,
F4,
F43
An Improved Equation for Predicting Canadian Non-Commodity Exports
Staff Discussion Paper 2017-1
Patrick Alexander,
Jean-Philippe Cayen,
Alex Proulx
We estimate two new equations for Canadian non-commodity exports (NCX) that incorporate three important changes relative to the current equation used at the Bank of Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Balance of payments and components,
Exchange rates,
International topics
JEL Code(s):
F,
F1,
F10,
F14,
F17
Terms-of-Trade and House Price Fluctuations: A Cross-Country Study
Staff Working Paper 2017-1
Paul Corrigan
Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994–2015 period.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Housing,
International topics
JEL Code(s):
C,
C3,
C32,
E,
E3,
E32,
E5,
E51,
F,
F3,
F36,
F4,
F41
Information Sharing and Bargaining in Buyer-Seller Networks
Staff Working Paper 2016-63
Sofia Priazhkina,
Frank H. Page
This paper presents a model of strategic buyer-seller networks with information exchange between sellers. Prior to engaging in bargaining with buyers, sellers can share access to buyers for a negotiated transfer. We study how this information exchange affects overall market prices, volumes and welfare, given different initial market conditions and information sharing rules.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Firm dynamics,
Market structure and pricing
JEL Code(s):
C,
C7,
C71,
C78,
D,
D2,
D21,
D4,
D43,
D8,
D85,
L,
L1,
L13
Can the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?
Staff Working Paper 2016-62
Narayan Bulusu,
Jefferson Duarte,
Carles Vergara-Alert
The common-factor hypothesis is one possible explanation for the housing wealth effect. Under this hypothesis, house price appreciation is related to changes in consumption as long as the available proxies for the common driver of housing and non-housing demand are noisy and housing supply is not perfectly elastic.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Housing
JEL Code(s):
E,
E2,
E21,
R,
R3,
R31
What Fed Funds Futures Tell Us About Monetary Policy Uncertainty
Staff Working Paper 2016-61
Jean-Sébastien Fontaine
The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
E44,
E47,
G,
G1,
G12,
G13
Non-Bank Investors and Loan Renegotiations
Staff Working Paper 2016-60
Teodora Paligorova,
João Santos
We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G23