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2020 Results

Volatility and Liquidity Costs

Staff Working Paper 2013-29 Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.

Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis

Staff Working Paper 2013-25 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.

Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data

Staff Working Paper 2013-24 Oleksiy Kryvtsov
Rising consumer prices may reflect shifts by consumers to new higher-priced products, mostly for durable and semi-durable goods. I apply Bils’ (2009) methodology to newly available Canadian consumer price data for non-shelter goods and services to estimate how price increases can be divided between quality growth and price inflation.
Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Potential output JEL Code(s): E, E3, E31, M, M1, M11, O, O4, O47

A Blessing in Disguise: The Implications of High Global Oil Prices for the North American Market

Staff Working Paper 2013-23 Ron Alquist, Justin-Damien Guénette
We examine the implications of increased unconventional crude oil production in North America. This production increase has been made possible by the existence of alternative oil-recovery technologies and persistently elevated oil prices that make these technologies commercially viable.
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