The Anatomy of Sentiment-Driven Fluctuations Staff Working Paper 2021-33 Sushant Acharya, Jess Benhabib, Zhen Huo We show that changes in sentiment that aren’t related to fundamentals can drive persistent macroeconomic fluctuations even when all economic agents are rational. Changes in sentiment can also affect how fundamental shocks affect macroeconomic outcomes. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E20, E3, E32, F, F4, F44
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology Staff Working Paper 1996-2 Pierre St-Amant In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates, International topics JEL Code(s): E, E3, E31, E4, E43
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32
December 21, 2006 Are Canadian Banks Efficient? A Canada-U.S. Comparison Financial System Review - December 2006 Jason Allen, Walter Engert, Ying Liu Content Type(s): Publications, Financial System Review articles
December 21, 2006 Using No-Arbitrage Models to Predict Exchange Rates Financial System Review - December 2006 Antonio Diez de los Rios Content Type(s): Publications, Financial System Review articles
Predicting the Demand for Central Bank Digital Currency: A Structural Analysis with Survey Data Staff Working Paper 2021-65 Jiaqi Li How much of a CBDC would Canadian households want to hold, and what design features of a CBDC would they care about? Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Digital currencies and fintech JEL Code(s): E, E5, E50, E58
What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44
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
A Note on Contestability in the Canadian Banking Industry Staff Discussion Paper 2007-7 Jason Allen, Ying Liu The authors examine the degree of contestability in the Canadian banking system using the H-statistic proposed by Panzar and Rosse (1987) and modified by Bikker, Spierdijk, and Finnie (2006). A modification is necessary because the standard approach of controlling for size using total assets leads to an upward bias in the H-statistic. The authors propose […] Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial institutions JEL Code(s): G, G2, G21, L, L1, L11