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3045 Results

International Business Cycles and Financial Frictions

Staff Working Paper 2012-19 Wen Yao
This paper builds a two-country DSGE model to study the quantitative impact of financial frictions on business cycle co-movements when investors have foreign asset exposure. The investor in each country holds capital in both countries and faces a leverage constraint on her debt.

Reforming the IMF: Lessons from Modern Central Banking

Staff Discussion Paper 2008-6 Philipp Maier, Eric Santor
The authors examine the institutional and governance framework of modern central banks to determine whether there are lessons that can be applied to the International Monetary Fund's (IMF's) institutional framework. Such a comparison is appealing for two reasons. First, both central banks and the IMF carry out tasks that can be described as "delegated responsibilities." […]
Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics JEL Code(s): F, F3

On the Nature and the Stability of the Canadian Phillips Curve

Staff Working Paper 2001-4 Maral Kichian
This paper empirically determines why, during the 1990s, inflation in Canada was consistently more stable than predicted by the fixed-coefficients Phillips curve. A time-varying-coefficient model, where all the parameters adjust simultaneously, shows that the behaviour of expectations was probably a major contributing factor.

Risk and State-Dependent Financial Frictions

Staff Working Paper 2022-37 Martin Harding, Rafael Wouters
Using a nonlinear New Keynesian model with a financial accelerator, we show that financial frictions generate large state-dependent amplification effects. Shocks propagate more strongly in periods of financial stress. We propose an endogenous regime-switching DSGE framework for efficient estimation and improved model fit.

Evaluating Factor Models: An Application to Forecasting Inflation in Canada

Staff Working Paper 2001-18 Marc-André Gosselin, Greg Tkacz
This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation.

Can the Common-Factor Hypothesis Explain the Observed Housing Wealth Effect?

Staff Working Paper 2016-62 Narayan Bulusu, Jefferson Duarte, Carles Vergara-Alert
The common-factor hypothesis is one possible explanation for the housing wealth effect. Under this hypothesis, house price appreciation is related to changes in consumption as long as the available proxies for the common driver of housing and non-housing demand are noisy and housing supply is not perfectly elastic.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Housing JEL Code(s): E, E2, E21, R, R3, R31

Assembling a Real-Financial Micro-Dataset for Canadian Households

Staff Working Paper 2010-6 Umar Faruqui
The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending.
Content Type(s): Staff research, Staff working papers Research Topic(s): Sectoral balance sheet JEL Code(s): C, C8, C81, D, D1, D10
August 18, 2011

Bank of Canada Review - Summer 2011

This special issue, “Real-Financial Linkages,” examines the Bank’s research using theoretical and empirical models to improve its understanding of the linkages between financial and macroeconomic developments in the wake of the recent global financial crisis.
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