Inventories, Stockouts, and ToTEM Staff Discussion Paper 2010-8 Oleksiy Kryvtsov, Yang Zhang Inventory investment is an important component of the Canadian business cycle. Despite its small average size – less than 1 per cent of output – it exhibits volatile procyclical fluctuations, accounting for almost one-third of output variance. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E31, E32
Is the Discretionary Income Effect of Oil Price Shocks a Hoax? Staff Working Paper 2017-50 Christiane Baumeister, Lutz Kilian, Xiaoqing Zhou The transmission of oil price shocks has been a question of central interest in macroeconomics since the 1970s. There has been renewed interest in this question after the large and persistent fall in the real price of oil in 2014–16. In the context of this debate, Ramey (2017) makes the striking claim that the existing literature on the transmission of oil price shocks is fundamentally confused about the question of how to quantify the effect of oil price shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C51, Q, Q4, Q43
Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market-Based Stress Tests Staff Working Paper 2018-54 Maarten van Oordt How much capital do banks need as a buffer to absorb severe shocks? By using historical stock market data, market-based stress tests help estimate the magnitude of capital buffers necessary to absorb severe but plausible shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G21, G28
Firm Size and Productivity Staff Working Paper 2008-45 Danny Leung, Césaire Meh, Yaz Terajima This paper examines the relationship between firm size and productivity. In contrast to previous studies, this paper offers evidence of the relationship not only from manufacturing firms, but from non-manufacturing firms as well. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): L, L1, L11, L2, L25, O, O4, O47
September 18, 2017 How Canada’s International Trade is Changing with the Times Remarks Timothy Lane Saskatoon Regional Economic Development Authority Saskatoon, Saskatchewan Deputy Governor Timothy Lane discusses the changing nature of international trade and the factors that are propelling it. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Business fluctuations and cycles, International topics, Productivity, Recent economic and financial developments, Trade integration
Housing Price Network Effects from Public Transit Investment: Evidence from Vancouver Staff Working Paper 2018-18 Alex Chernoff, Andrea Craig In this paper, we estimate the effect on housing prices of the expansion of the Vancouver SkyTrain rapid transit network during the period 2001–11. We extend the canonical residential sorting equilibrium framework to include commuting time in the household utility function. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Economic models, Housing JEL Code(s): H, H4, H41, R, R2, R21, R4, R41
June 11, 2015 Assessing Vulnerabilities in the Canadian Financial System Financial System Review - June 2015 Ian Christensen, Gitanjali Kumar, Césaire Meh, Lorie Zorn The authors present the four common cyclical vulnerabilities that appear in financial systems, providing examples of qualitative and quantitative indicators used to monitor these vulnerabilities across different sectors. They also discuss other inputs to the vulnerability assessment and to the internal process used at the Bank of Canada for identifying, evaluating and communicating vulnerabilities and risks, and highlight some of the key challenges in assessing financial system vulnerabilities and risks. Content Type(s): Publications, Financial System Review articles Research Topic(s): Financial stability JEL Code(s): G, G0, G01, G1, G10, G2, G20
Risk Premium Shocks and the Zero Bound on Nominal Interest Rates Staff Working Paper 2009-27 Robert Amano, Malik Shukayev There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52
Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks Staff Discussion Paper 2009-12 Alejandro García, Andrei Prokopiw Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credit and credit aggregates, Financial markets, Financial stability JEL Code(s): G, G1, G10, G12, G13
Simulations du ratio du service de la dette des consommateurs en utilisant des données micro Staff Working Paper 2009-18 Ramdane Djoudad The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C15, C3, C31, D, D1, D14, E, E5, E51