Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
234
result(s)
Liquidity Management of Canadian Corporate Bond Mutual Funds: A Machine Learning Approach
Staff Analytical Note 2019-7
Rohan Arora,
Chen Fan,
Guillaume Ouellet Leblanc
When redeeming shares for investors, bond fund managers must choose a mix of cash and bond sales to honour their commitments. This note uses machine learning algorithms to uncover new patterns in decisions fund managers make to meet redemptions.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
G,
G1,
G2,
G20,
G23
The Size and Characteristics of Informal (“Gig”) Work in Canada
Staff Analytical Note 2019-6
Olena Kostyshyna,
Corinne Luu
Underlying wage growth has fallen short of what would be consistent with an economy operating with little or no slack. While many factors could explain this weakness, the availability of additional labour resources from informal (“gig”) work—not fully captured in standard measures of employment and hours worked—may play a role.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
E26,
J,
J2,
J20,
J3,
J30,
J4
Canada’s Monetary Policy Report: If Text Could Speak, What Would It Say?
Staff Analytical Note 2019-5
André Binette,
Dmitri Tchebotarev
This note analyzes the evolution of the narrative in the Bank of Canada’s Monetary Policy Report (MPR). It presents descriptive statistics on the core text, including length, most frequently used words and readability level—the three Ls. Although each Governor of the Bank of Canada focuses on the macroeconomic events of the day and the mandate of inflation targeting, we observe that the language used in the MPR varies somewhat from one Governor’s tenure to the next.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Central bank research,
Monetary policy
JEL Code(s):
E,
E0,
E02,
E5,
E52
The State of Labour Market Churn in Canada
Staff Analytical Note 2019-4
Olena Kostyshyna,
Corinne Luu
The literature highlights that labour market churn, including job-to-job transitions, is a key element of wage growth. Using microdata from the Labour Force Survey, we compute measures of labour market churn and compare these with pre-crisis averages to assess implications for wage growth.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J2,
J20,
J3,
J30,
J6,
J63
Drivers of Weak Wage Growth in Advanced Economies
Staff Analytical Note 2019-3
Anne-Katherine Cormier,
Michael Francis,
Kristina Hess,
Guillaume Poulin-Bellisle
Since the global financial crisis, advanced-economy wage growth has been generally low relative to past recoveries, especially after accounting for the evolution of labour market conditions over this period. This paper investigates a variety of potential explanations for this weakness, drawing on findings from the literature as well as analysis of recent labour market data in advanced economies.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Labour markets
JEL Code(s):
E,
E3,
E31,
F,
F0,
J,
J3
Price Caps in Canadian Bond Borrowing Markets
Staff Analytical Note 2019-2
Léanne Berger-Soucy,
Jean-Sébastien Fontaine,
Adrian Walton
Price controls, or caps, can lead to shortages, as 1970’s gasoline price controls illustrate. One million trades show that the market for borrowing bonds in Canada has an implicit price cap: traders are willing to pay no more than the overnight interest rate to borrow a bond. This suggests the probability of a shortage increases when interest rates are very low.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10,
G12
The Secular Decline of Forecasted Interest Rates
Staff Analytical Note 2019-1
Bruno Feunou,
Jean-Sébastien Fontaine
Canadian interest rates show a secular decline since the 1980s. Long-term survey-based forecasts of interest rates also declined, but less so and were more gradual. Our model-based estimates show an endpoint shifting over time in three phases: a decline between 1990 and 1995, a period of stability between 1996 and 2007, and a further decline since 2008. The current endpoint estimate remains clouded with uncertainty; this is an active area of research.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12
The Cost of the Government Bond Buyback and Switch Programs in Canada
Staff Analytical Note 2018-41
Bo Young Chang,
Jun Yang,
Parker Liu
This note examines the costs of the Government of Canada bond buyback and switch programs between 1998 and 2016. Our analysis indicates that the auction design of the buyback program was effective in retiring government debt with minimal costs resulting from bid shading in auctions and price impact.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management
JEL Code(s):
D,
D4,
D44
GDP by Industry in Real Time: Are Revisions Well Behaved?
Staff Analytical Note 2018-40
Patrick Rizzetto
The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
C8,
C82,
E,
E0,
E01