A New Data Set of Quarterly Total Factor Productivity in the Canadian Business Sector Staff Working Paper 2015-6 Shutao Cao, Sharon Kozicki In this paper, a quarterly growth-accounting data set is built for the Canadian business sector with the top-down approach of Diewert and Yu (2012). Inputs and outputs are measured and used to estimate the quarterly total factor productivity (TFP). Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): D, D2, D24, F, F4, F43, O, O4, O47
Information Contagion and Systemic Risk Staff Working Paper 2017-29 Co-Pierre Georg, Toni Ahnert We examine the effect of ex-post information contagion on the ex-ante level of systemic risk defined as the probability of joint bank default. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G1, G11, G2, G21
Do hedge funds support liquidity in the Government of Canada bond market? Staff Analytical Note 2023-11 Jabir Sandhu, Rishi Vala While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Coronavirus disease (COVID-19), Financial markets, Financial stability, Market structure and pricing JEL Code(s): D, D4, D47, D5, D53, G, G1, G12, G14, G2, G23
The reliance of Canadians on credit card debt as a predictor of financial stress Staff Analytical Note 2024-18 Jia Qi Xiao I analyze the relationship between carrying a credit card balance and future financial stress. I find that carrying a balance significantly increases the likelihood that credit card holders miss future debt payments. This likelihood tends to rise as credit card balances grow and are held for long periods. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Credit and credit aggregates, Financial institutions, Interest rates, Recent economic and financial developments JEL Code(s): D, D1, E, E4, E5, G, G2, G21
The impact of trading flows on Government of Canada bond prices Staff Analytical Note 2025-20 Andreas Uthemann, Rishi Vala, Jun Yang Trading flows affect Government of Canada bond prices. Our estimates suggest a sale of 1% of the available supply of bonds typically lowers bond prices by 0.2%. From 2000 to 2025, demand from institutional investors, such as Canadian pension funds and foreign investors, explains 69% of quarterly price variation, with the remainder explained by changes in the supply of bonds. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Debt management, Econometric and statistical methods, Financial institutions, Financial markets, Financial stability, Market structure and pricing, Sectoral balance sheet JEL Code(s): C, C0, C01, C3, C36, C5, C58, D, D5, D53, E, E6, E62, G, G1, G11, G12, G2, G23
Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis Staff Working Paper 1998-3 Pierre St-Amant, David Tessier The authors' purpose in this paper is to isolate the respective contributions of budgetary and monetary policy in Canada and the United States to the behaviour of unemployment rates in the two countries. Their method consists of estimating VAR models and using long-term identification restrictions to perform a structural analysis. Budgetary policy shocks are defined […] Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy JEL Code(s): E, E6
Product Sophistication and the Slowdown in Chinese Export Growth Staff Discussion Paper 2017-15 Mark Kruger, Walter Steingress, Sri Thanabalasingam Chinese real export growth decelerated considerably during the last decade. This paper argues that the slowdown largely resulted from China moving to a more sophisticated mix of exports: China produced more sophisticated goods over which it had pricing power instead of producing greater volumes of less sophisticated products. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Development economics, Exchange rates, International topics JEL Code(s): F, F1, F14, F17, O, O1, O10
What Explains Month-End Funding Pressure in Canada? Staff Discussion Paper 2017-9 Christopher S. Sutherland The Canadian overnight repo market persistently shows signs of latent funding pressure around month-end periods. Both the overnight repo rate and Bank of Canada liquidity provision tend to rise in these windows. This paper proposes three non-mutually exclusive hypotheses to explain this phenomenon. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Interest rates, Monetary policy framework, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E41, E43, E5, E52, E58, F, F3, F36, G, G1, G14, G15, G2, G21
Corporate Risk Taking and Ownership Structure Staff Working Paper 2010-3 Teodora Paligorova This paper investigates the determinants of corporate risk taking. Shareholders with substantial equity ownership in a single company may advocate conservative investment policies due to greater exposure to firm risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G3, G31, G34
Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates Staff Working Paper 2015-17 Fuchun Li The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C12, C14, E, E1, E17, E4, E43, G, G1, G12, G2, G20