Markets Look Beyond the Headline Staff Analytical Note 2018-37 Bruno Feunou, James Kyeong, Raisa Leiderman Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Exchange rates, Interest rates JEL Code(s): E, E4, E43, G, G1, G12, G14
On the Existence and Fragility of Repo Markets Staff Working Paper 2012-17 Hajime Tomura This paper presents a model of an over-the-counter bond market in which bond dealers and cash investors arrange repurchase agreements (repos) endogenously. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability, Payment clearing and settlement systems JEL Code(s): G, G2, G24
April 2, 2012 Exporting in a Post-Crisis World Remarks Mark Carney Greater Kitchener Waterloo Chamber of Commerce Waterloo, Ontario Governor Mark Carney discusses why Canada’s exports are lagging and what can be done to respond to the underlying challenges. Content Type(s): Press, Speeches and appearances, Remarks
Filling in the Blanks: Network Structure and Interbank Contagion Staff Working Paper 2014-26 Kartik Anand, Ben Craig, Goetz von Peter The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C6, C63, D, D8, D85, G, G2, G21, L, L1, L14
Merchant Acceptance, Costs, and Perceptions of Retail Payments: A Canadian Survey Staff Discussion Paper 2008-12 Carlos Arango, Varya Taylor Using the results of a survey on accepted means of payment, the authors examine merchant preferences and perceptions of retail payment reliability, risk, and costs; the share of each type of payment method over total sales; and the costs involved in accepting payments. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes JEL Code(s): E, E4, E41, L, L2
Financial Shocks and the Output Growth Distribution Staff Working Paper 2025-25 Francois-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Econometric and statistical methods, Financial markets, Financial stability, Monetary and financial indicators JEL Code(s): C, C3, C32, C5, C53, E, E3, E32, E4, E44, G, G0, G01
A Micro Approach to the Issue of Hysteresis in Unemployment: Evidence from the 19881990 Labour Market Activity Survey Staff Working Paper 1997-12 Gordon Wilkinson This paper uses a rich set of microeconomic labour market data—the 198890 Labour Market Activity Survey published by Statistics Canada—to test whether there is negative duration dependence in unemployment spells. It updates and extends similar work carried out by Jones (1995) who used the 198687 Labour Market Activity Survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24
The Implications of Transmission and Information Lags for the Stabilization Bias and Optimal Delegation Staff Working Paper 2004-37 Jean-Paul Lam, Florian Pelgrin In two recent papers, Jensen (2002) and Walsh (2003), using a hybrid New Keynesian model, demonstrate that a regime that targets either nominal income growth or the change in the output gap can effectively replicate the outcome under commitment and hence reduce the size of the stabilization bias. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E62
Does Inflation Uncertainty Vary with the Level of Inflation? Staff Working Paper 1996-9 Allan Crawford, Marcel Kasumovich The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy and uncertainty JEL Code(s): C, C5, C52, E, E3, E31
Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers Staff Working Paper 2021-37 Felix Brunner, Ruben Hipp Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, E, E2, E23, E27