Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects Staff Working Paper 2019-16 Kerem Tuzcuoglu Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals. Content Type(s): Staff research, Staff working papers Topic(s): Credit risk management, Econometric and statistical methods, Economic models JEL Code(s): C, C2, C23, C25, C5, C58, G, G2, G24
May 2, 2019 Central Banks of Canada and Singapore conduct successful experiment for cross-border payments using Distributed Ledger Technology This joint press release highlights the findings of the Jasper-Ubin experiment on cross-border, cross-currency payments using distributed ledger technology (DLT). Content Type(s): Press, Press releases Topic(s): Digital currencies and fintech
Financial Distress and Hedging: Evidence from Canadian Oil Firms Staff Discussion Paper 2019-4 Kun Mo, Farrukh Suvankulov, Sophie Griffiths The paper explores the link between financial distress and the commodity price hedging behaviour of Canadian oil firms. Content Type(s): Staff research, Staff discussion papers Topic(s): Financial markets, Firm dynamics JEL Code(s): G, G3, G32, Q, Q4, Q40
April 24, 2019 Monetary Policy Report Press Conference Opening Statement Opening statement Stephen S. Poloz Ottawa, Ontario Governor Stephen S. Poloz discusses key issues involved in the Governing Council’s deliberations about the policy rate decision and the MPR. Content Type(s): Press, Speeches and appearances, Opening statements
The Neutral Rate in Canada: 2019 Update Staff Analytical Note 2019-11 Thomas J. Carter, Xin Scott Chen, José Dorich This note provides an update on Bank of Canada staff’s assessment of the Canadian neutral rate. The neutral rate is the policy rate needed to keep output at its potential level and inflation at target once the effects of any cyclical shocks have dissipated. This medium- to long-run concept serves as a benchmark for gauging the degree of monetary stimulus provided by a given policy setting. Content Type(s): Staff research, Staff analytical notes Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41
Labor Mobility in a Monetary Union Staff Working Paper 2019-15 Daniela Hauser, Martin Seneca The optimal currency literature has stressed the importance of labor mobility as a precondition for the success of monetary unions. But only a few studies formally link labor mobility to macroeconomic adjustment and policy. In this paper, we study macroeconomic dynamics and optimal monetary policy in an economy with cyclical labor flows across two distinct regions that share trade links and a common monetary framework. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Labour markets, Monetary policy framework, Regional economic developments JEL Code(s): E, E3, E32, E5, E52, F, F4
Firm-level Investment Under Imperfect Capital Markets in Ukraine Staff Working Paper 2019-14 Oleksandr Shcherbakov This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Firm dynamics JEL Code(s): C, C6, C61, C63, D, D2, D24, G, G3, G31
April 8, 2019 Why Do Central Banks Care About Market Power? Presentation Carolyn A. Wilkins G7 conference hosted by Banque de France Paris, France Senior Deputy Governor Carolyn A. Wilkins discusses how the competitive landscape and digitalization affect monetary policy and why central banks care about market power. Content Type(s): Press, Speeches and appearances, Presentations Topic(s): Firm dynamics, Inflation and prices, Labour markets, Market structure and pricing, Monetary policy transmission, Potential output, Productivity, Service sector
Global Commodity Markets and Rebalancing in China: The Case of Copper Staff Discussion Paper 2019-3 Jeannine Bailliu, Doga Bilgin, Kun Mo, Kurt Niquidet, Benjamin Sawatzky Given that China accounts for about half of global copper consumption, it is reasonable to expect that any significant change in Chinese copper consumption will have an impact on the global market. Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): O, O1, O13, O14, Q, Q0, Q02
The Trend Unemployment Rate in Canada: Searching for the Unobservable Staff Working Paper 2019-13 Dany Brouillette, Marie-Noëlle Robitaille, Laurence Savoie-Chabot, Pierre St-Amant, Bassirou Gueye, Elise Nelson In this paper, we assess several methods that have been used to measure the Canadian trend unemployment rate (TUR). We also consider improvements and extensions to some existing methods. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Labour markets JEL Code(s): C, C5, C52, C53, E, E2, E24, E27