Household balance sheets and mortgage payment shocks Staff Analytical Note 2025-23 Thomas Michael Pugh, Saarah Sheikh, Taylor Webley Household savings in Canada have increased significantly since 2019, especially among homeowners without a mortgage. We assess how savings buffers can mitigate households’ financial risk in relation to asset repricing, mortgage payment renewal and unemployment. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Credit and credit aggregates, Financial stability, Housing, Recent economic and financial developments JEL Code(s): D, D3, D31, E, E2, E21, G, G5, G51
The Endogenous Relative Price of Investment Staff Working Paper 2015-30 Joel Wagner This paper takes a full-information model-based approach to evaluate the link between investment-specific technology and the inverse of the relative price of investment. The two-sector model presented includes monopolistic competition where firms can vary the markup charged on their product depending on the number of firms competing. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E32, L, L1, L11, L16
International Capital Flows and Bond Risk Premia Staff Working Paper 2010-14 Jesus Sierra This paper studies the impact of international capital flows on asset prices through risk premia. We investigate whether foreign purchases of U.S. Treasury securities significantly contributed to the decline in excess returns on long-term bonds between 1995 and 2008. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C2, C22, F, F3, F31, F32, F34, G, G1, G11, G12, G15
Narrative-Driven Fluctuations in Sentiment: Evidence Linking Traditional and Social Media Staff Working Paper 2023-23 Alistair Macaulay, Wenting Song News media present competing interpretations of what breaking news implies for the macroeconomy. Recent examples include news reporting on high inflation and yield curve inversions. Do these narratives shape macroeconomic sentiment? In this paper, we highlight the importance of narratives using evidence linking traditional media and social media. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Inflation and prices, Monetary policy JEL Code(s): D, D8, D84, E, E3, E32, E4, E43, E44, E5, G, G1
Mesures du taux d'inflation tendanciel Staff Working Paper 1997-9 Thérèse Laflèche In this paper, the author calculates new measures of the trend inflation rate using changes in the components of total CPI; the hypothesis is that extreme fluctuations in certain prices reflect temporary supply shocks rather than any basic price trend. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31
September 13, 2006 Weathering Economic Shocks: The Importance of Flexibility Remarks Paul Jenkins Vancouver Board of Trade Vancouver, British Columbia First, I should explain what I mean by flexibility. As most of you are surely aware, the Bank of Canada has been openly discussing the importance of promoting policies that support economic efficiency, including financial system efficiency. Efficiency refers to the allocation of scarce economic resources to the most productive uses, in a cost-effective way. Content Type(s): Press, Speeches and appearances, Remarks
Adverse Selection with Heterogeneously Informed Agents Staff Working Paper 2018-7 Mohammad Davoodalhosseini A model of over-the-counter markets is proposed. Some asset buyers are informed in that they can identify high quality assets. Heterogeneous sellers with private information choose what type of buyers they want to trade with. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Financial stability, Financial system regulation and policies, Market structure and pricing JEL Code(s): D, D4, D40, D8, D82, D83, G, G0, G01, G1, G10, G2, G20
The Distributional Origins of the Canada-US GDP and Labour Productivity Gaps Staff Working Paper 2024-49 James (Jim) C. MacGee, Joel Rodrigue We find the top 10% of the income distribution accounts for three-quarters of the gap in GDP per adult between Canada and the United States. The large gaps in income for high-income earners help distinguish between alternative explanations of this persistent gap in GDP per adult. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): D, D3, D31, E, E2, E24, J, J2, J24, J6, J61, N, N1, N12, O, O4, O47, O5, O51
Identifying Nascent High-Growth Firms Using Machine Learning Staff Working Paper 2023-53 Stéphanie Houle, Ryan Macdonald Firms that grow rapidly have the potential to usher in new innovations, products or processes (Kogan et al. 2017), become superstar firms (Haltiwanger et al. 2013) and impact the aggregate labour share (Autor et al. 2020; De Loecker et al. 2020). We explore the use of supervised machine learning techniques to identify a population of nascent high-growth firms using Canadian administrative firm-level data. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Firm dynamics JEL Code(s): C, C5, C55, C8, C81, L, L2, L25
Volatility and Liquidity Costs Staff Working Paper 2013-29 Selma Chaker Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Market structure and pricing JEL Code(s): C, C1, C14, C5, C51, C58, G, G2, G20