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2999 Results

Oil-Price Shocks and Retail Energy Prices in Canada

Staff Working Paper 2002-38 Marwan Chacra
The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices.

On the Wedge Between the PPI and CPI Inflation Indicators

Staff Working Paper 2022-5 Shang-Jin Wei, Yinxi Xie
We find that the CPI and PPI inflation indexes co-moved strongly throughout the late 20th century, but their correlation has fallen substantially since the early 2000s. We offer a structural explanation for this divergence based on the growth of global supply chains since 2000. This finding offers a unique perspective for the future design of optimal monetary policy.

The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness

Staff Working Paper 2009-20 Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tedongap
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G12, G13

Aggregate Fluctuations and the Role of Trade Credit

Staff Working Paper 2017-37 Lin Shao
In an economy where production takes place in multiple stages and is subject to financial frictions, how firms finance intermediate inputs matters for aggregate outcomes. This paper focuses on trade credit—the lending and borrowing of input goods between firms—and quantifies its aggregate impacts during the Great Recession.

CBDC in the Market for Payments at the Point of Sale: Equilibrium Impact and Incumbent Responses

Staff Working Paper 2024-52 Walter Engert, Oleksandr Shcherbakov, André Stenzel
We simulate introducing a central bank digital currency (CBDC) and consider consumer adoption, merchant acceptance and usage at the point of sale. Modest adoption frictions significantly inhibit CBDC market penetration along all three dimensions. Incumbent responses to restore pre-CBDC market shares are moderate to small and further reduce the impact of a CBDC.

Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data

Staff Working Paper 2023-4 Lorenzo Pozzi, Barbara Sadaba
Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times.
May 15, 1999

Recent developments in the monetary aggregates and their implications

In its conduct of monetary policy, the Bank of Canada carefully monitors the pace of monetary expansion for indications about the outlook for inflation and economic activity. In recent years, a number of factors have distorted the growth of the traditional broad and narrow aggregates. In this article, the authors discuss the uncertainty surrounding the classification of deposit instruments that has resulted from the elimination of reserve requirements and from other financial innovations. They introduce two new measures of transactions balances, M1+ and M1++ (described more fully in a technical note in this issue of the Review), that internalize some of the substitutions that have occurred. They attribute the deceleration in M1 growth in 1998 partly to the declining influence of special factors, partly to a lagged response to interest rate increases in 1997 and early 1998, and partly to some temporary tightening in credit conditions in the autumn of 1998. The broad monetary aggregate M2++, which includes all personal savings deposits, life insurance annuities, and mutual funds, grew at a steady pace in 1998, presaging growth of about 4 to 5 per cent in total dollar spending and inflation inside the target range.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Monetary aggregates

The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages

Staff Working Paper 2010-40 Kimberly Beaton, René Lalonde, Stephen Snudden
This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions.

Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching

Staff Discussion Paper 2007-12 Michael Dolega
The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to […]
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Productivity JEL Code(s): C, C3, C32, O, O4, O5, O51
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