The Bank of Canada's Business Outlook Survey: An Assessment Staff Working Paper 2004-15 Monica Martin, Cristiano Papile Since the autumn of 1997, the Bank of Canada's regional offices (located in Halifax, Montréal, Toronto, Calgary, and Vancouver) have conducted consultations with businesses across Canada on a quarterly basis. These consultations are now referred to as the Business Outlook Survey (BOS). Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Domestic demand and components JEL Code(s): E, E3, E32, E6, E66
Measuring Limits of Arbitrage in Fixed-Income Markets Staff Working Paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, International financial markets JEL Code(s): G, G1, G12
The Macroeconomic Effects of Quantitative Easing in the Euro Area: Evidence from an Estimated DSGE Model Staff Working Paper 2018-11 Stefan Hohberger, Romanos Priftis, Lukas Vogel This paper estimates an open-economy dynamic stochastic general equilibrium model with Bayesian techniques to analyse the macroeconomic effects of the European Central Bank’s (ECB’s) quantitative easing (QE) programme. Using data on government debt stocks and yields across maturities, we identify the parameter governing portfolio adjustment in the private sector. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Interest rates, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, F, F4, F41
The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data Staff Working Paper 2012-20 Shutao Cao, Wei Dong, Ben Tomlin This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the impact of movements in the exchange rate on both domestic and export producer prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Inflation and prices, Market structure and pricing JEL Code(s): E, E3, E30, F, F3, F31, F4, F41, L, L1, L11
Household Heterogeneity and the Performance of Monetary Policy Frameworks Staff Working Paper 2022-12 Edouard Djeutem, Mario He, Abeer Reza, Yang Zhang Consumption inequality and a low interest rate environment are two important trends in today’s economy. But the implications they may have—and how those implications interact—within different monetary policy frameworks are not well understood. We study the ranking of alternative frameworks that take these trends into account. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Monetary policy and uncertainty, Monetary policy framework, Monetary policy transmission JEL Code(s): D, D3, D31, D5, D52, E, E2, E21, E3, E31, E5, E52, E58
Beyond the averages: Measuring underlying wage growth using Labour Force Survey microdata Staff Analytical Note 2024-23 Fares Bounajm, Tessa Devakos, Gabriela Galassi When it comes to understanding the influence of labour costs on inflation, average wage growth is a misleading indicator because it is affected by composition effects. We propose an alternative measure that corrects for these effects by using microdata from the Labour Force Survey. Our new measure has many desirable properties, including reduced volatility and a better relationship with labour market fundamentals. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Labour markets JEL Code(s): C, C3, C31, J, J2, J21, J3, J30, J31, J8, J82
Determinants of Financial Stress and Recovery during the Great Recession Staff Working Paper 2011-24 Joshua Aizenman, Gurnain Pasricha In this paper, we explore the link between stress in the domestic financial sector and the capital flight faced by countries in the 2008-9 global crisis. Both the timing of emergence of internal financial stress in developing economies, and the size of the peak-trough declines in the stock price indices was comparable to that in high income countries, indicating that there was no decoupling, even before Lehman Brothers’ demise. Content Type(s): Staff research, Staff working papers Research Topic(s): Balance of payments and components, Financial markets, International topics JEL Code(s): F, F3, F32, G, G1, G15
The COVID-19 Consumption Game-Changer: Evidence from a Large-Scale Multi-Country Survey Staff Working Paper 2021-57 Alexander Hodbod, Cars Hommes, Stefanie J. Huber, Isabelle Salle A multi-country consumer survey investigates why and how much households decreased their consumption in five key sectors after pandemic-related restrictions were lifted in Europe in July 2020. Beyond infection risk and precautionary saving motives, households also reported not missing some consumption items, which may indicate preference shifts and structural changes in the post-COVID-19 economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Coronavirus disease (COVID-19), Domestic demand and components, Firm dynamics, Fiscal policy, Recent economic and financial developments JEL Code(s): D, D1, D12, D8, D81, D84, E, E2, E21, E6, E60, E7, E71
Consumer Interest Rates and Retail Mutual Fund Flows Staff Working Paper 2012-39 Jesus Sierra This paper documents a link between the real and financial sides of the economy. We find that retail equity mutual fund flows in Canada are negatively related to current and past changes in a component of the prime and 5-year mortgage rates that is uncorrelated with government rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial services, Interest rates JEL Code(s): G, G2, G21, G23
Simple Monetary Policy Rules in an Open-Economy, Limited-Participation Model Staff Working Paper 2003-38 Scott Hendry, Wai-Ming Ho, Kevin Moran The authors assess the stabilization properties of simple monetary policy rules within the context of a small open-economy model constructed around the limited-participation assumption and calibrated to salient features of the Canadian economy. By relying on limited participation as the main nominal friction that affects the artificial economy, the authors provide an important check of the robustness of the results obtained using alternative environments in the literature on monetary policy rules, most notably the now-standard "New Keynesian" paradigm that emphasizes rigidities in the price-setting mechanism. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, E58, F, F3, F31