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
Overlooking the online world: Does mismeasurement of the digital economy explain the productivity slowdown? Staff Analytical Note 2021-10 Alejandra Bellatin, Stéphanie Houle Since the mid-2000s, labour productivity has slowed down in Canada despite enormous technological advances that were expected to improve it. This note investigates whether mismeasurement of the digital economy can explain this paradox. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Productivity JEL Code(s): E, E0, E01, L, L8, L86, O, O3, O33, O4, O5, O51
Adopting Price-Level Targeting under Imperfect Credibility Staff Working Paper 2008-3 Oleksiy Kryvtsov, Malik Shukayev, Alexander Ueberfeldt This paper measures the welfare gains of switching from inflation-targeting to price-level targeting under imperfect credibility. Vestin (2006) shows that when the monetary authority cannot commit to future policy, price-level targeting yields higher welfare than inflation targeting. Content Type(s): Staff research, Staff working papers Research Topic(s): Credibility, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52
Price Movements in the Canadian Residential Mortgage Market Staff Working Paper 2009-13 Jason Allen, Darcey McVanel The authors empirically analyze the price-setting behaviour of the major Canadian banks in the residential mortgage market over the period 1991–2007. They use weekly posted prices of the major mortgage providers to study the degree of competition in mortgage price setting. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services JEL Code(s): D, D4, G, G2
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
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
Habit Formation and the Persistence of Monetary Shocks Staff Working Paper 2002-27 Hafedh Bouakez, Emanuela Cardia, Francisco Ruge-Murcia This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general-equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E4, E5
Entrepreneurial Incentives and the Role of Initial Coin Offerings Staff Working Paper 2019-18 Rodney J. Garratt, Maarten van Oordt Initial coin offerings (ICOs) are a new mode of financing start-ups that saw an explosion in popularity in 2017 but declined in popularity in the second half of 2018 as regulatory pressure, instances of fraud and reports of poor performance began to undermine their reputation. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates JEL Code(s): G, G3, G32
Searching for the Liquidity Effect in Canada Staff Working Paper 1994-12 Ben Fung, Rohit Gupta This paper examines the empirical evidence of the liquidity effect in Canada. In the presence of the liquidity effect, the initial impact of an unanticipated expansionary monetary policy is to lower nominal and real interest rates for a short period of time. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary aggregates