Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks Staff Working Paper 2025-3 Chris Naubert I develop a method for Bayesian estimation of globally solved, non-linear macroeconomic models. The method uses a mixture density network to approximate the initial state distribution. The mixture density network results in more reliable posterior inference compared with the case when the initial states are set to their steady-state values. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C6, C61, C63, E, E3, E37, E4, E47
What do high-frequency expenditure network data reveal about spending and inflation during COVID‑19? Staff Analytical Note 2020-20 Kim Huynh, Helen Lao, Patrick Sabourin, Angelika Welte The official consumer price index (CPI) inflation measure, based on a fixed basket set before the COVID 19 pandemic, may not fully reflect what consumers are currently experiencing. We partnered with Statistics Canada to construct a more representative index for the pandemic with weights based on real-time transaction and survey data. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Inflation and prices, Payment clearing and settlement systems JEL Code(s): D, D1, D12, E, E3, E31, E4, E42, E5, E52
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases Staff Working Paper 2016-46 Martin Kuncl Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2
Has the Inclusion of Forward-Looking Statements in Monetary Policy Communications Made the Bank of Canada More Transparent? Staff Discussion Paper 2010-15 Christine Fay, Toni Gravelle To investigate the extent to which the transparency of the Bank of Canada's monetary policy has improved, the authors examine empirically – over the period 30 October 2000 to 31 May 2007 – the reaction of Canadian financial markets to official Bank communications, and in particular their reaction to the recent inclusion of forward-looking policy-rate guidance in these communications. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Interest rates, Monetary policy communications, Monetary policy transmission JEL Code(s): E, E5, E52, E58
June 13, 2013 The Market for Collateral: The Potential Impact of Financial Regulation Financial System Review - June 2013 Jorge Cruz Lopez, Royce Mendes, Harri Vikstedt Content Type(s): Publications, Financial System Review articles
Do Oil Price Increases Cause Higher Food Prices? Staff Working Paper 2013-52 Christiane Baumeister, Lutz Kilian U.S. retail food price increases in recent years may seem large in nominal terms, but after adjusting for inflation have been quite modest even after the change in U.S. biofuel policies in 2006. In contrast, increases in the real prices of corn, soybeans, wheat and rice received by U.S. farmers have been more substantial and can be linked in part to increases in the real price of oil. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31, Q, Q1, Q11, Q4, Q42, Q43
November 16, 2017 An Update on the Neutral Rate of Interest Bank of Canada Review - Autumn 2017 José Dorich, Abeer Reza, Subrata Sarker The neutral rate serves as a benchmark for measuring monetary stimulus and provides a medium- to long-run anchor for the real policy rate. Global neutral rate estimates have been falling over the past few decades. Factors such as population aging, high corporate savings, and low trend productivity growth are likely to continue supporting a low global neutral rate. These global factors as well as domestic factors are exerting downward pres-sure on the Canadian real neutral rate, which is estimated to be between 0.5 to 1.5 per cent. This low neutral rate has important implications for monetary policy and financial stability. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Interest rates, International topics, Potential output, Recent economic and financial developments JEL Code(s): E, E4, E43, E5, E52, E58, F, F0, F01, F4, F43, O, O4
Convergence in a Stochastic Dynamic Heckscher-Ohlin Model Staff Working Paper 2006-23 Partha Chatterjee, Malik Shukayev The authors characterize the equilibrium for a small economy in a dynamic Heckscher-Ohlin model with uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): F, F4, F43, O, O4, O41
Can the Business Outlook Survey Help Improve Estimates of the Canadian Output Gap? Staff Discussion Paper 2020-14 Calista Cheung, Luke Frymire, Lise Pichette We investigate whether questions in the Bank of Canada’s Business Outlook Survey can provide useful signals for the output gap. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Central bank research, Economic models, Monetary policy and uncertainty, Potential output JEL Code(s): E, E3
June 21, 2009 Procyclicality and Bank Capital Financial System Review - June 2009 Neville Arjani Content Type(s): Publications, Financial System Review articles