The Effect of Adjustment Costs and Organizational Change on Productivity in Canada: Evidence from Aggregate Data Staff Working Paper 2004-1 Danny Leung A basic neoclassical model of production is often used to assess the contribution of investment to output growth. In the model, investment raises the capital stock and output growth increases in proportion to the growth in capital. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): O, O3, O31, O4, O49
Firm Dynamics and Multifactor Productivity: An Empirical Exploration Staff Working Paper 2018-15 Pierre St-Amant, David Tessier There are indications that business dynamism has declined in advanced economies. In particular, firm entry and exit rates have fallen, suggesting that the creative destruction process has lost some of its vitality. Meanwhile, productivity growth has slowed. Some believe that lower entry and exit rates partly explain the weaker productivity growth. Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, Productivity JEL Code(s): D, D2, D24, M, M1, M13, O, O4, O47
Affine Term-Structure Models: Theory and Implementation Staff Working Paper 2001-15 David Bolder Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics. Content Type(s): Staff research, Staff working papers Research Topic(s): Debt management, Econometric and statistical methods, Interest rates JEL Code(s): C, C0, C5, G, G0
Macroeconomic Uncertainty Through the Lens of Professional Forecasters Staff Working Paper 2016-5 Soojin Jo, Rodrigo Sekkel We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E1, E17, E3, E32
The Quantity of Money and Monetary Policy Staff Working Paper 1999-5 David Laidler The relationships among the quantity theory of money, monetarism and policy regimes based on money-growth and inflation targeting are briefly discussed as a prelude to an exposition of alternative views of money's role in the transmission mechanism of monetary policy. The passive-money view treats the money supply as an endogenous variable that plays no role […] Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary aggregates, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E51, E52
How to Predict Financial Stress? An Assessment of Markov Switching Models Staff Working Paper 2017-32 Benjamin Klaus, Thibaut Duprey This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15
Effects of macroprudential policy announcements on perceptions of systemic risks Staff Analytical Note 2025-4 Thibaut Duprey, Victoria Fernandes, Kerem Tuzcuoglu, Ruhani Walia We introduce a history of macroprudential policy (MPP) events in Canada since the 1980s. We document the short-run effects of MPP announcements on market-based measures of systemic risk and find that MPPs can influence the market’s perception of large banks’ resilience. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): E, E5, E58, G, G2, G21, G28, G3, G32
February 16, 2023 No two ways about it: Why the Bank is committed to getting back to 2% Remarks Paul Beaudry Alberta School of Business Edmonton, Alberta Deputy Governor Paul Beaudry discusses the benefits of being near the Bank’s 2% inflation target and the dangers of straying from it for too long. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Exchange rates, Inflation targets
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components? Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, E, E3, E37
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