May 16, 2018 The (Mostly) Long and Short of Potential Output Remarks Lawrence L. Schembri Ottawa Economics Association and CFA Society Ottawa Ottawa, Ontario Deputy Governor Lawrence Schembri discusses the importance of potential output to monetary policy, as well as policy challenges and opportunities in a world of low potential output growth. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Inflation targets, Interest rates, Labour markets, Monetary policy, Monetary policy framework, Potential output, Productivity
December 24, 2004 Government of Canada Yield-Curve Dynamics, 1986-2003 Bank of Canada Review - Winter 2004-2005 Grahame Johnson A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Debt management, Econometric and statistical methods, Financial markets
Technology Shocks, Labour Mobility and Aggregate Fluctuations Staff Working Paper 2014-4 Daniela Hauser We provide evidence regarding the dynamic behaviour of net labour flows across U.S. states in response to a positive technology shock. Technology shocks are identified as disturbances that increase relative state productivity in the long run for 226 state pairs, encompassing 80 per cent of labour flows across U.S. states in the 1976 - 2008 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Labour markets JEL Code(s): E, E2, E24, E3, E32, J, J6, J61
Does Indexation Bias the Estimated Frequency of Price Adjustment? Staff Working Paper 2007-15 Maral Kichian, Oleksiy Kryvtsov We assess the implications of price indexation for estimated frequency of price adjustment in sticky price models of business cycles. These models predominantly assume that non-reoptimized prices are indexed to lagged or average inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Inflation and prices JEL Code(s): E, E3, E31, E37
On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk Staff Working Paper 2008-16 Fousseni Chabi-Yo, Eric Ghysels, Eric Renault The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C5, C52, D, D5, D58, G, G1, G11, G12
Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models Staff Analytical Note 2016-8 Farrukh Suvankulov This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): E, E2, E22, E27, Q, Q4, Q43, Q47
January 24, 2012 Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Financial System Review - June 2007 Miroslav Misina, David Tessier, Shubhasis Dey Content Type(s): Publications, Financial System Review articles
Capital Flows to Developing Countries: Is There an Allocation Puzzle? Staff Working Paper 2016-53 Josef Schroth Foreign direct investment inflows are positively related to growth across developing countries—but so are savings in excess of investment. I develop an explanation for this well-established puzzle by focusing on the limited availability of consumer credit in developing countries together with general equilibrium effects. Content Type(s): Staff research, Staff working papers Research Topic(s): Foreign reserves management, Interest rates, International financial markets JEL Code(s): E, E1, E13, E2, E21, F, F4, F43
January 24, 2012 Sectoral Default Rates under Stress: The Importance of Non-Linearities Financial System Review - June 2007 Miroslav Misina, David Tessier Content Type(s): Publications, Financial System Review articles
The Economic Theory of Retail Pricing: A Survey Staff Working Paper 2004-8 Oana Secrieru The types of contracts that arise in a typical vertical manufacturer–retailer relationship are more sophisticated than usually assumed in standard macroeconomic models. Content Type(s): Staff research, Staff working papers Research Topic(s): Market structure and pricing JEL Code(s): D, D4, D40, L, L2, L22, L4, L42