Volatility Risk and Economic Welfare Staff working paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E3 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Real economy and forecasting
Assessing global potential output growth and the US neutral rate: April 2022 Staff analytical note 2022-4 Kyle Boutilier, Thomas J. Carter, Xin Scott Chen, Eshini Ekanayake, Louis Poirier, Peter Shannon, Akash Uppal, Lin Xiang We expect global potential output growth to increase from 2.7% in 2021 to 2.9% by 2024. Compared with the April 2021 assessment, global potential output growth is marginally slower. The current range for the US neutral rate is 2% to 3%, 0.25 percentage points higher than staff’s last assessment. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E1, E2, E4, E5, F, F0, O, O4 Research Theme(s): Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
A Counterfactual Valuation of the Stock Index as a Predictor of Crashes Staff working paper 2017-38 Tom Roberts Stock market fundamentals would not seem to meaningfully predict returns over a shorter-term horizon—instead, I shift focus to severe downside risk (i.e., crashes). Content Type(s): Staff research, Staff working papers JEL Code(s): G, G0, G01, G1, G12, G17, G19 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk
Measuring Limits of Arbitrage in Fixed-Income Markets Staff working paper 2017-44 Jean-Sébastien Fontaine, Guillaume Nolin We use relative value to measure limits to arbitrage in fixed-income markets. Relative value captures apparent deviations from no-arbitrage relationships. It is simple, intuitive and can be computed model-free for any bond. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, International markets and currencies, Market functioning, Market structure
December 21, 2006 Financial System Review - December 2006 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report
April 7, 2009 Price-Level Uncertainty, Price-Level Targeting, and Nominal Debt Contracts Bank of Canada Review - Spring 2009 Allan Crawford, Césaire Meh, Yaz Terajima Many central banks around the world have embraced inflation targeting as a monetary policy framework. Interest is growing, however, in price-level targeting as an alternative. The choice of frameworks has important consequences for financial contracts, most of which are not fully indexed to the price level. Changes in the price level therefore lead to changes in the real value of contracts. Content Type(s): Publications, Bank of Canada Review articles
The Size and Destination of China’s Portfolio Outflows Staff discussion paper 2018-11 Rose Cunningham, Eden Hatzvi, Kun Mo The size of China’s financial system raises the possibility that the liberalization of its capital account could have a large effect on the global financial system. This paper provides a counterfactual scenario analysis that estimates what the size and direction of China’s overseas portfolio investments would have been in 2015 if China had had no restrictions on these outflows. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C2, C23, F, F2, F21, F3, F32, G, G1, G15 Research Theme(s): Financial system, Financial stability and systemic risk, Structural challenges, International trade, finance and competitiveness
Did U.S. Consumers Respond to the 2014–2015 Oil Price Shock? Evidence from the Consumer Expenditure Survey Staff working paper 2018-13 Patrick Alexander, Louis Poirier The impact of oil price shocks on the U.S. economy is a topic of considerable debate. In this paper, we examine the response of U.S. consumers to the 2014–2015 negative oil price shock using representative survey data from the Consumer Expenditure Survey. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D1, D12, E, E2, E21, Q, Q4, Q43 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
February 10, 2015 Minding the Labour Gap Remarks Carolyn A. Wilkins Ottawa Economics Association Ottawa, Ontario Senior Deputy Governor Carolyn Wilkins discusses the state of the labour market, the impact of lower oil prices on Canada’s economic outlook and the importance of both for monetary policy. Content Type(s): Press, Speeches and appearances, Remarks
Limiting Sender’s Information in Bayesian Persuasion Staff working paper 2019-10 Shota Ichihashi This paper studies how the outcome of Bayesian persuasion depends on a sender’s information. I study a game in which, prior to the sender’s information disclosure, the designer can restrict the most informative signal that the sender can generate. Content Type(s): Staff research, Staff working papers JEL Code(s): D, D8, D82, D83 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission