The Scale and Scope of Online Retail Staff Analytical Note 2018-19 Alex Chernoff This paper studies the growth of online retail over the period 1999–2012, using confidential firm-product-level data for Canada. The revenue of online retailers is decomposed into the contributions of product scope (the number of product categories) and product scale (average revenue per product category). Content Type(s): Staff research, Staff analytical notes Topic(s): Digital currencies and fintech, Firm dynamics, International topics JEL Code(s): D, D2, D22, L, L1, L11, L8, L81
A Primer on the Canadian Bankers’ Acceptance Market Staff Discussion Paper 2018-6 Kaetlynd McRae, Danny Auger This paper discusses how the bankers’ acceptance (BA) market in Canada is organized and its essential link to the Canadian Dollar Offered Rate (CDOR). Globally, BAs are a niche product used only in a limited number of jurisdictions. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G18, G2, G21, G23
Ambiguity, Nominal Bond Yields and Real Bond Yields Staff Working Paper 2018-24 Guihai Zhao Equilibrium bond-pricing models rely on inflation being bad news for future growth to generate upward-sloping nominal yield curves. We develop a model that can generate upward-sloping nominal and real yield curves by instead using ambiguity about inflation and growth. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12
Interest Rate and Renewal Risk for Mortgages Staff Analytical Note 2018-18 Olga Bilyk, Cameron MacDonald, Brian Peterson In this note, we explore two types of risk faced by holders of mortgages and home equity lines of credit (HELOCs) in the context of rising interest rates: interest rate risk and renewal risk. Content Type(s): Staff research, Staff analytical notes Topic(s): Credit and credit aggregates, Financial institutions, Interest rates, Recent economic and financial developments JEL Code(s): D, D1, E, E4, E5, G, G2, G21, G28
Measuring Vulnerabilities in the Non-Financial Corporate Sector Using Industry- and Firm-Level Data Staff Analytical Note 2018-17 Timothy Grieder, Michal Lipsitz Aggregate non-financial corporate debt-to-GDP has been growing rapidly in recent years and is at an all-time high. This growth began in 2011 and accelerated as the oil price shock affected the Canadian economy. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial stability, Monetary and financial indicators, Recent economic and financial developments, Sectoral balance sheet JEL Code(s): G, G0, G01, G3, G32
May 31, 2018 Research Update - May 2018 This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website. Content Type(s): Staff research, Research newsletters
Noisy Monetary Policy Staff Working Paper 2018-23 Tatjana Dahlhaus, Luca Gambetti We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial markets, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52
Applying the Wage-Common to Canadian Provinces Staff Analytical Note 2018-16 Jonathan Lachaine As at the national level, available sources of hourly wage data for Canadian provinces sometimes send conflicting signals about wage growth. This note has two objectives. First, we develop a common measure of provincial wages (the provincial wage-common) to better capture the underlying wage pressures, reflecting the overall trend across all data sources. Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Labour markets, Recent economic and financial developments JEL Code(s): C, C3, C38, J, J3
Bending the Curves: Wages and Inflation Staff Analytical Note 2018-15 Dany Brouillette, Madigan Dockrill, Helen Lao, Laurence Savoie-Chabot As economic slack continues to be absorbed and the labour market tightens, wage growth and inflation could increase faster than expected, which would suggest convexity in their Phillips curves. This note investigates whether there is convexity in the Phillips curves for Canadian wage growth and inflation by testing different empirical approaches over the post-inflation-targeting period. Content Type(s): Staff research, Staff analytical notes Topic(s): Inflation and prices, Labour markets JEL Code(s): E, E2, E24, E3, E31, J, J3
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions? Staff Analytical Note 2018-14 Guillaume Ouellet Leblanc, Rohan Arora When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions. Content Type(s): Staff research, Staff analytical notes Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23