Gazing at r-star: A Hysteresis Perspective Staff Working Paper 2023-5 Paul Beaudry, Katya Kartashova, Césaire Meh Many explanations for the decline in real interest rates over the last 30 years point to the role that population aging or rising income inequality plays in increasing the long-run aggregate demand for assets. Notwithstanding the importance of such factors, the starting point of this paper is to show that the major change driving household asset demand over this period is instead an increased desire—for a given age and income level—to hold assets. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy, Inflation and prices, Inflation targets, Interest rates, Monetary policy, Monetary policy framework JEL Code(s): E, E2, E21, E3, E31, E4, E43, E5, E52, E58, E6, E62, G, G5, G51, H, H6
A New Linear Estimator for Gaussian Dynamic Term Structure Models Staff Working Paper 2013-10 Antonio Diez de los Rios This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12
Production Networks and the Propagation of Commodity Price Shocks Staff Working Paper 2020-44 Shutao Cao, Wei Dong We examine the macro implications of commodity price shocks in a model with multiple production sectors that are interconnected within a commodity-exporting small open economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, International topics JEL Code(s): D, D5, D57, F, F4, F41
Housing Market Cycles and Duration Dependence in the United States and Canada Staff Working Paper 2007-2 Rose Cunningham, Ilan Kolet Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C4, C41, E, E3, E32, R, R2, R21
May 13, 1997 Capacity constraints, price adjustment, and monetary policy Bank of Canada Review - Spring 1997 Tiff Macklem The short-run Phillips curve describes a positive short-run relationship between the level of economic activity and inflation. When the level of demand in the economy as a whole runs ahead of the level of output that the economy can supply in the short run, price pressures increase and inflation rises. This article reviews the origins of the short-run Phillips curve with particular emphasis on the long-standing idea that the shape of this curve may be non-linear, with inflation becoming more sensitive to changes in output when the cycle of economic activity is high than when it is low. This type of non-linearity in the short-run Phillips curve, which is typically motivated by the effects of capacity constraints that limit the ability of the economy to expand in the short run, has recently attracted renewed attention. The article surveys recent research that finds some evidence of this type of non-linearity in the Phillips curve in Canada and considers the potential implications for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation and prices, Monetary policy transmission, Potential output
Inflation and Unemployment in Competitive Search Equilibrium Staff Working Paper 2010-15 Mei Dong Using a monetary search model, Rocheteau, Rupert and Wright (2007) show that the relationship between inflation and unemployment can be positive or negative depending on the primitives of the model. The key features are indivisible labor, nonseparable preferences and bargaining. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E1, E12, E13, E4, E40, E5, E52
Where Does Price Discovery Occur in FX Markets? Staff Working Paper 2007-52 Chris D'Souza Trades in foreign exchange markets are initiated around the world and around the clock. This study illustrates that trades are more informative when initiated in a local country or in major foreign exchange centers like London and New York. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G15
June 23, 2004 Competition in Banking Financial System Review - June 2004 Carol Ann Northcott Content Type(s): Publications, Financial System Review articles
Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation Staff Working Paper 2014-24 Heng Chen Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C14, C2, C21
May 13, 2004 Business Outlook Survey - Spring 2004 Businesses’ expectations for the pace of economic activity over the next 12 months remain positive, although somewhat less so than in the winter survey.Supplemental questions on the appreciation of the Canadian dollar - April 2004Supplemental questions on the appreciation of the Canadian dollar - February 2004 Content Type(s): Publications, Business Outlook Survey