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3029 Results

Monetary Shocks in the G-6 Countries: Is There a Puzzle?

Staff Working Paper 1997-7 Ben Fung, Marcel Kasumovich
This paper attempts to reduce the uncertainty about the dynamics of the monetary transmission mechanism. Central to this attempt is the identification of monetary policy shocks. Recently, VAR approaches that use over-identifying restrictions have shown success in isolating such shocks.

On the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich Environment

Staff Working Paper 2010-10 Nikita Perevalov, Philipp Maier
The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use the latest revision of over 100 U.S. time series over the period 1974-2009 (monthly and quarterly data).
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

The Microstructure of Multiple-Dealer Equity and Government Securities Markets: How They Differ

Staff Working Paper 2002-9 Toni Gravelle
Although dealership government and equity securities have, on the surface, similar market structures, the author demonstrates that some subtle differences exist between them that are likely to significantly affect the way market-makers trade, and as such have an impact on the liquidity that they provide.

Fundamentals, Contagion and Currency Crises: An Empirical Analysis

Staff Working Paper 1998-10 Mark Kruger, Patrick Osakwe, Jennifer Page
This paper examines the determinants of currency crises in Latin America, Asia and Africa. It asks two basic questions: (a) Are currency crises linked to economic fundamentals? and; (b) Is there any evidence of a contagion effect after controlling for the potential effects of economic fundamentals? Using pooled annual data for 19 developing countries spanning […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): F, F3
September 15, 2008

Productivity in Canada: Does Firm Size Matter?

The research findings highlighted in this article suggest that firm-size differences play a significant role in explaining the productivity gap between Canada and the United States. The authors review factors that lead to a positive relationship between productivity and size and then look at Canadian evidence of this relationship at the firm level. They quantify the extent to which the change in Canadian productivity as well as the Canada-U.S. productivity differences can be accounted for by the change in the importance of large firms and identify several factors that play a role in determining average firm size and aggregate productivity.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Productivity

High-Frequency Real Economic Activity Indicator for Canada

Staff Working Paper 2013-42 Gitanjali Kumar
I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.

The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets

Staff Working Paper 2014-50 Vikram Rai, Lena Suchanek
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.
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