Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models Staff Working Paper 2022-31 Xiangjin Shen, Iskander Karibzhanov, Hiroki Tsurumi, Shiliang Li We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit risk management, Econometric and statistical methods JEL Code(s): C, C1, C14, C3, C35, C5, C51, C6, C63, D, D1
Canada’s Experience with Trade Policy Staff Discussion Paper 2018-1 Karyne B. Charbonneau, Daniel de Munnik, Laura Murphy This paper compiles the contemporary view on three major Canadian-led trade policies that have marked Canada’s economic history since Confederation: the National Policy (1879), the Canada–US Agreement on Automotive Products (Auto Pact, 1965) and the Canada–US Free Trade Agreement (FTA, 1989, including its extension to the North American Free Trade Agreement, NAFTA, 1994). Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics, Trade integration JEL Code(s): F, F1, F13, N, N7, N71, N72
Sectoral Uncertainty Staff Working Paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44
The Future Prospects for National Financial Markets and Trading Centres Staff Working Paper 2001-10 Charles Gaa, Stephen Lumpkin, Robert Ogrodnick, Peter Thurlow This paper investigates the effects of the continuation of globalization and technological developments on the future of national-level financial markets and trading centres, particularly in smaller countries such as Canada. We foresee the development of a single global market in the most-liquid assets based on equity-market linkages. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G10
November 6, 2018 External academic consultants Meet the academic consultants and researchers from outside the Bank who are working with us.
How do Canadian Corporate Bond Mutual Funds Meet Investor Redemptions? Staff Analytical Note 2018-14 Guillaume Ouellet Leblanc, Rohan Arora When investors redeem their fund shares for cash, fixed-income fund managers can choose whether to draw on their liquid holdings or sell bonds in the secondary market. We analyze the liquidity-management decisions of Canadian corporate bond mutual funds, focusing on the strategies they use to meet investor redemptions. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, Financial stability JEL Code(s): G, G1, G2, G20, G23
La fiabilité des estimations de l'écart de production au Canada Staff Working Paper 2002-10 Jean-Philippe Cayen, Simon van Norden In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): E, E3, E32
November 16, 2017 Bank of Canada Review - Autumn 2017 Is shale oil production in the United States a factor in the 2014 oil price decline? Which methods of payment are commonly accepted by merchants in Canada? Bank researchers share their insights on these topics. They also provide an update on the neutral rate of interest as well as on changes to the Bank’s operational framework for market operations. Content Type(s): Publications, Bank of Canada Review
January 27, 2012 Simulation Analysis: A Tool for Examining the Balance between Safety and Efficiency in Canada’s Large Value Transfer System Financial System Review - December 2005 Neville Arjani Content Type(s): Publications, Financial System Review articles
Estimating the Effect of Exchange Rate Changes on Total Exports Staff Working Paper 2019-17 Thierry Mayer, Walter Steingress This paper shows that real effective exchange rate (REER) regressions, the standard approach for estimating the response of aggregate exports to exchange rate changes, imply biased estimates of the underlying elasticities. We provide a new aggregate regression specification that is consistent with bilateral trade flows micro-founded by the gravity equation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, International topics JEL Code(s): F, F1, F11, F12, F3, F31, F32