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2400
result(s)
Global Macro Risks in Currency Excess Returns
Staff Working Paper 2016-32
Kimberly Berg,
Nelson C. Mark
We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E2,
E21,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12
The US Labour Market: How Much Slack Remains?
Staff Analytical Note 2016-9
Robert Fay,
James Ketcheson
Despite the US unemployment rate being close to estimates of the non-accelerating-inflation rate of unemployment (NAIRU), measures of underemployment remain elevated, which could be an indication of remaining labour market slack. The shares of involuntary part-time workers and long-term unemployment are high relative to the current stage of the business cycle, suggesting available labour inputs are being underutilized.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J2,
J21,
J23
Housing Market Dynamics and Macroprudential Policy
Staff Working Paper 2016-31
Gabriel Bruneau,
Ian Christensen,
Césaire Meh
We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Financial stability,
Housing,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E3,
E31,
E4,
E42,
H,
H2,
H23
Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models
Staff Analytical Note 2016-8
Farrukh Suvankulov
This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Domestic demand and components,
Econometric and statistical methods
JEL Code(s):
E,
E2,
E22,
E27,
Q,
Q4,
Q43,
Q47
Financial Inclusion—What’s it Worth?
Staff Working Paper 2016-30
Miguel Ampudia,
Michael Ehrmann
The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial services,
Financial system regulation and policies,
Housing
JEL Code(s):
D,
D1,
D14,
G,
G2,
G21,
G28
Ce que révèle une analyse sectorielle des dynamiques récentes de l’inflation au Canada
Staff Analytical Note 2016-7
Laurence Savoie-Chabot
Decomposing total inflation in Canada as measured by the consumer price index (CPI) into its key macroeconomic factors, as presented in the most recent Monetary Policy Report, is an interesting exercise that shows how the exchange rate pass-through, commodity prices and the output gap have influenced the evolution of the total inflation rate over time. This aggregate approach, however, may mask important sectoral changes.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Exchange rates,
Inflation and prices
JEL Code(s):
E,
E3,
E31
Un examen plus approfondi des pressions salariales au Canada
Staff Analytical Note 2016-6
Dany Brouillette,
Laurence Savoie-Chabot
In this note, we provide a brief outline of the recent developments in wage measures in Canada. We then assess whether wage growth is consistent with its fundamentals.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Productivity
JEL Code(s):
E,
E2,
E24,
J,
J3,
J30
Financial Crisis Interventions
Staff Working Paper 2016-29
Josef Schroth
This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial stability,
Financial system regulation and policies,
Lender of last resort
JEL Code(s):
E,
E1,
E13,
E3,
E32,
E4,
E44
The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates
Staff Working Paper 2016-28
Julien Champagne,
Guillaume Poulin-Bellisle,
Rodrigo Sekkel
We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C3,
C38,
E,
E1,
E17,
E3,
E32