Market Valuation and Risk Assessment of Canadian Banks Staff Working Paper 2004-34 Ying Liu, Mingwei Yuan, Eli Papakirykos The authors apply the asset-valuation model developed by Rabinovitch (1989) to six publicly traded Canadian banks over the period 1982–2002. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G1, G12, G2, G21
Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996) Staff Working Paper 2000-6 Seamus Hogan, Lise Pichette A number of authors have suggested that economies face a long-run inflation-unemployment trade-off due to downward nominal-wage rigidity. This theory has implications for the nature of the short-run Phillips curve when wage inflation is low. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): C, C5, C52, E, E2, E24, E5, E50
January 14, 2008 Backgrounder on Questions in the Business Outlook Survey Concerning Past Sales and Credit Conditions Starting with the winter 2007–08 survey, the results of two additional questions became included in the Business Outlook Survey (BOS) publication: the balance of opinion on past sales and the balance of opinion on credit conditions. This backgrounder briefly describes the two questions and presents the correlations between the responses and relevant economic data. Content Type(s): Background materials
The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada Staff Working Paper 1999-20 Ron Lange This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […] Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates JEL Code(s): E, E4, E43
What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates Staff Working Paper 2010-5 Jean-Philippe Cayen, Donald Coletti, René Lalonde, Philipp Maier We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): J, J3, J31
Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21
Using Monthly Indicators to Predict Quarterly GDP Staff Working Paper 2006-26 Yi Zheng, James Rossiter The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C2, C22, C5, C53
Complementarities Between Fiscal Policy and Monetary Policy—Literature Review Staff Discussion Paper 2021-4 Wei Dong, Geoffrey R. Dunbar, Christian Friedrich, Dmitry Matveev, Romanos Priftis, Lin Shao This paper surveys and summarizes the literature on how fiscal policy and monetary policy can complement each other in stabilizing economic activity. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Fiscal policy, Monetary policy JEL Code(s): E, E5, E52, E58, E6, E62, E63
Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate Staff Working Paper 2004-43 Ian Christensen, Christopher Reid, Frédéric Dion According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Interest rates, Market structure and pricing JEL Code(s): E, E3, E31, E4, E43
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach Staff Working Paper 2003-8 Andrew Rennison The author evaluates the ability of a variety of output-gap estimators to accurately measure the output gap in a model economy. A small estimated model of the Canadian economy is used to generate artificial data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C1, C15, E, E3, E32