Reconciling the Differences in Aggregate U.S. Wage Series Staff working paper 2016-1 Julien Champagne, André Kurmann, Jay Stewart Average hourly real wage series from the Labor Productivity and Costs (LPC) program and the Current Employment Statistics (CES) program have evolved very differently over the past decades. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E0, E01, E2, E24, E3, E30, J, J3, J30 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
May 13, 2014 The Art and Science of Forecasting the Real Price of Oil Bank of Canada Review - Spring 2014 Christiane Baumeister Forecasts of the price of crude oil play a significant role in the conduct of monetary policy, especially for commodity producers such as Canada. This article presents a range of recently developed forecasting models that, when pooled together, can generate, on average, more accurate forecasts of the price of oil than the oil futures curve. It also illustrates how policy-makers can evaluate the risks associated with the baseline oil price forecast and how they can determine the causes of past oil price fluctuations. Content Type(s): Publications, Bank of Canada Review articles JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
Central Bank Digital Currency and Banking: Macroeconomic Benefits of a Cash-Like Design Staff working paper 2021-63 Jonathan Chiu, Mohammad Davoodalhosseini Should a CBDC be more like cash or bank deposits? An interest-bearing, cash-like CBDC not only makes payments more efficient but also increases total demand. This has positive effects on other transactions, inducing more deposit taking and lending and, thus, bank intermediation. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E5, E50, E58 Research Theme(s): Financial system, Financial stability and systemic risk, Monetary policy, Monetary policy framework and transmission, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
The Power of Helicopter Money Revisited: A New Keynesian Perspective Staff discussion paper 2020-1 Thomas J. Carter, Rhys R. Mendes We analyze money financing of fiscal transfers (helicopter money) in two simple New Keynesian models: a “textbook” model in which all money is non-interest-bearing (e.g., all money is currency), and a more realistic model with interest-bearing reserves. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E1, E12, E4, E41, E43, E5, E51, E52, E58, E6, E61, E63 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Monetary policy tools and implementation
Grasping De(centralized) Fi(nance) Through the Lens of Economic Theory Staff working paper 2022-43 Jonathan Chiu, Charles M. Kahn, Thorsten Koeppl We analyze the value proposition and limitations of decentralized finance (DeFi). Based on a distributed ledger and smart contracts, DeFi can guarantee the execution of financial contracts, potentially lowering the costs of intermediation and improving financial inclusion. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G2 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures
Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data Staff working paper 2023-4 Lorenzo Pozzi, Barbara Sadaba Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C23, E, E2, E21 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Markets Look Beyond the Headline Staff analytical note 2018-37 Bruno Feunou, James Kyeong, Raisa Leiderman Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E43, G, G1, G12, G14 Research Theme(s): Financial markets and funds management, Market functioning, Monetary policy, Monetary policy framework and transmission
A Look Inside the Box: Combining Aggregate and Marginal Distributions to Identify Joint Distributions Staff working paper 2018-29 Marie-Hélène Felt This paper proposes a method for estimating the joint distribution of two or more variables when only their marginal distributions and the distribution of their aggregates are observed. Nonparametric identification is achieved by modelling dependence using a latent common-factor structure. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, D, D1, D14, E, E4, E41 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
September 15, 2008 The Bank of Canada's Senior Loan Officer Survey Bank of Canada Review - Autumn 2008 Umar Faruqui, Paul Gilbert, Wendy Kei The Bank of Canada maintains regular contact with financial institutions as part of the information-gathering process that feeds into the larger set of information used to arrive at its monetary policy decision. Since 1999, the Bank has been conducting a quarterly survey of the business-lending practices of major Canadian financial institutions. Analysis of the information collected shows that it is correlated with future growth in both credit and business investment. This article focuses on how the survey is conducted and describes the construction of the summary statistics, highlighting the key statistical relationships in the historical survey data. Content Type(s): Publications, Bank of Canada Review articles