Bank Lending, Credit Shocks, and the Transmission of Canadian Monetary Policy Staff Working Paper 2003-9 Joseph Atta-Mensah, Ali Dib The authors use a dynamic general-equilibrium model to study the role financial frictions play as a transmission mechanism of Canadian monetary policy, and to evaluate the real effects of exogenous credit shocks. Financial frictions, which are modelled as spreads between deposit and loan interest rates, are assumed to depend on economic activity as well as on credit shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E32, E4, E5, E51
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach Staff Working Paper 2003-8 Andrew Rennison The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C1, C15, E, E3, E32
Valuation of Canadian- vs. U.S.-Listed Equity: Is There a Discount? Staff Working Paper 2003-6 Michael R. King, Dan Segal The authors examine how the valuation multiples assigned to the equity of Canadian-listed firms compare with the equity of comparable firms listed in the United States. They find that Canadian-listed firms trade at a discount to U.S.-listed firms across a range of valuation measures. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G12, G15
Modélisation et prévision du taux de change réel effectif américain Staff Working Paper 2003-3 René Lalonde, Patrick Sabourin This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Exchange rates, International topics JEL Code(s): E, E1, E17, F, F3, F31, F4, F47
Banking Crises and Contagion: Empirical Evidence Staff Working Paper 2003-1 Eric Santor Recent events, such as the East Asian, Mexican, Scandinavian, and Argentinian crises, have sparked considerable interest in exploring how shocks experienced by one country can spread vis-à-vis real and nominal links to other countries' banking systems. Given the large costs associated with banking-system failures, both economists and policy-makers are interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3, F30, G, G2, G20
Consumption, Housing Collateral, and the Canadian Business Cycle Staff Working Paper 2009-26 Ian Christensen, Paul Corrigan, Caterina Mendicino, Shin-Ichi Nishiyama Using Bayesian methods, we estimate a small open economy model in which consumers face limits to credit determined by the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in the Canadian business cycle. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Monetary policy transmission JEL Code(s): E, E2, E21, E3, E32, E4, E44, E5, E52, R, R2, R21
The Macroeconomic Effects of Military Buildups in a New Neoclassical Synthesis Framework Staff Working Paper 2003-12 Alain Paquet, Louis Phaneuf, Nooman Rebei The authors study the macroeconomic consequences of large military buildups using a New Neoclassical Synthesis (NNS) approach that combines nominal rigidities within imperfectly competitive goods and labour markets. They show that the predictions of the NNS framework generally are consistent with the sign, timing, and magnitude of how hours worked, after-tax real wages, and output actually respond to an upsurge in military purchases. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Fiscal policy JEL Code(s): E, E3, E32, E6, E62, H, H2
June 21, 2006 Global Economic Forces and the Need for Adjustment Remarks David Dodge Chambre de commerce du Montréal métropolitain and the Fédération des chambres de commerce du Québec Montréal, Quebec Since the start of the millennium, developments in the global economy have led to important changes throughout the Canadian economy and to serious challenges for many sectors and regions. Because nobody can anticipate precisely how the world will unfold, the best we can do is to ensure that our economy is as flexible as possible. Content Type(s): Press, Speeches and appearances, Remarks
May 30, 2006 Opening Statement before the House of Commons Standing Committee on Industry, Science and Technology Opening statement David Dodge House of Commons Standing Committee on Industry, Science and Technology The Bank of Canada Act calls on us to "mitigate … fluctuations in the general level of production, trade, prices and employment, so far as may be possible within the scope of monetary action, and generally to promote the economic and financial welfare of Canada." Over time, it has become clear that the best way for us to fulfill this mandate is to keep inflation low, stable, and predictable. Content Type(s): Press, Speeches and appearances, Opening statements
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy Staff Working Paper 2003-10 David Bolder Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63