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. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Econometric and statistical methods JEL Code(s): C, C2, C23, E, E2, E21
Preferences, Monetary Policy and Household Inflation Staff Working Paper 2024-45 Geoffrey R. Dunbar I quantify the importance of changes in household preferences on household inflation rates using 11 years of scanner data for 11,000 US households. My results suggest that changes in household preferences are an important driver of inflation dynamics at the household level. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): D, D1, D12, E, E5, E52, E58
August 17, 2001 The Changing Effects of Energy-Price Shocks on Economic Activity and Inflation Bank of Canada Review - Summer 2001 Gerald Stuber In this article the author examines the effects that major changes in energy prices in recent years have had on inflation and on the pace of economic expansion. These are then compared with the effects of the oil-price shocks that occurred in the 1970s and early 1980s. Changes in the intensity of energy use are examined, as well as developments in Canada's merchandise trade surplus in energy commodities and products. The author also considers the effects that a monetary policy anchored to low and stable inflation could have on price-setting behaviour and thus on the pass-through of higher energy costs to core inflation in Canada and in other industrial countries. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Business fluctuations and cycles
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. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Market structure and pricing JEL Code(s): C, C2, C22, C5, C51, C53, Q, Q4, Q40
Price Competition and Concentration in Search and Negotiation Markets: Evidence from Mortgage Lending Staff Working Paper 2012-4 Jason Allen, Robert Clark, Jean-François Houde This paper examines the impact of bank consolidation on mortgage rates in order to evaluate the extent to which mortgage markets are competitive. Mortgage markets are decentralized and so rates are determined through a search and negotiation process. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Interest rates JEL Code(s): G, G2, L, L1
Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions Staff Discussion Paper 2014-3 Maxime Leboeuf, Louis Morel In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47
A Look Inside the Box: Combining Aggregate and Marginal Distributions to Identify Joint Distributions Staff Working Paper 2018-29 Marie-Hélène Felt This paper proposes a method for estimating the joint distribution of two or more variables when only their marginal distributions and the distribution of their aggregates are observed. Nonparametric identification is achieved by modelling dependence using a latent common-factor structure. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C14, D, D1, D14, E, E4, E41
December 10, 2013 Margining for Non-Centrally Cleared Over-the-Counter Derivatives Financial System Review - December 2013 Nikil Chande, Stéphane Lavoie, Thomas Thorn Content Type(s): Publications, Financial System Review articles
Central Bank Digital Currency and Banking: Macroeconomic Benefits of a Cash-Like Design Staff Working Paper 2021-63 Jonathan Chiu, Mohammad Davoodalhosseini Should a CBDC be more like cash or bank deposits? An interest-bearing, cash-like CBDC not only makes payments more efficient but also increases total demand. This has positive effects on other transactions, inducing more deposit taking and lending and, thus, bank intermediation. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Monetary policy, Monetary policy framework JEL Code(s): E, E5, E50, E58
A Consistent Test for Multivariate Conditional Distributions Staff Working Paper 2009-34 Fuchun Li, Greg Tkacz We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22