ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model Technical Report No. 100 José Dorich, Michael K. Johnston, Rhys R. Mendes, Stephen Murchison, Yang Zhang This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
Digitalization: Productivity Staff Discussion Paper 2023-17 Jeffrey Mollins, Temel Taskin We examine the relationship between digitalization and productivity, the factors that influence this relationship, and how digitalization’s effect on productivity could change firm behaviour. Content Type(s): Staff research, Staff discussion papers Topic(s): Digitalization, Productivity JEL Code(s): E, E2, L, L1, L11, O, O4, O47, O5, O51
A Structural Small Open-Economy Model for Canada Staff Working Paper 2004-4 Stephen Murchison, Andrew Rennison, Zhenhua Zhu The authors develop a small open-economy dynamic stochastic general-equilibrium (DSGE) model in an attempt to understand the dynamic relationships in Canadian macroeconomic data. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices JEL Code(s): E, E2, E3, E5, E52
Corporate Risk Taking and Ownership Structure Staff Working Paper 2010-3 Teodora Paligorova This paper investigates the determinants of corporate risk taking. Shareholders with substantial equity ownership in a single company may advocate conservative investment policies due to greater exposure to firm risk. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G31, G34
Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market Staff Working Paper 2011-8 Ingrid Lo, Stephen Sapp This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets. Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Market structure and pricing JEL Code(s): D, D4, G, G1
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times Staff Working Paper 2018-46 Geneviève Vallée Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C2, C25, C3, C36, C4, C41, D, D2, D23, E, E4, E41, E42
Non-Bank Investors and Loan Renegotiations Staff Working Paper 2016-60 Teodora Paligorova, João Santos We document that the structure of syndicates affects loan renegotiations. Lead banks with large retained shares have positive effects on renegotiations. In contrast, more diverse syndicates deter renegotiations, but only for credit lines. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial system regulation and policies JEL Code(s): G, G2, G21, G23
ToTEM: The Bank of Canada's New Quarterly Projection Model Technical Report No. 97 Stephen Murchison, Andrew Rennison The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
The Anatomy of Sentiment-Driven Fluctuations Staff Working Paper 2021-33 Sushant Acharya, Jess Benhabib, Zhen Huo We show that changes in sentiment that aren’t related to fundamentals can drive persistent macroeconomic fluctuations even when all economic agents are rational. Changes in sentiment can also affect how fundamental shocks affect macroeconomic outcomes. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E20, E3, E32, F, F4, F44
May 13, 2014 Bank of Canada Review - Spring 2014 The five articles in this issue present research and analysis by Bank staff covering a variety of topics: the growth of Canadian-dollar-denominated assets in official foreign reserves; the emergence of platform-based digital currencies; methods of forecasting the real price of oil; measures of uncertainty in monetary policy; and the recent performance of the labour market in Canada and the United States. Content Type(s): Publications, Bank of Canada Review