BoC–BoE Sovereign Default Database: Appendix and References Technical Report No. 125 David Beers, Obiageri Ndukwe, Joe Berry Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE). Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Development economics, Financial stability, International financial markets JEL Code(s): F, F3, F34, G, G1, G10, G14, G15
Corporate Bond Spreads and the Business Cycle Staff Working Paper 2002-15 Zhiwei Zhang This paper examines the predictive power of credit spreads from the corporate bond market. The high-yield bond spread and investment-grade spread can explain 68 per cent and 42 per cent of output variations one year ahead, while the term spread based on government debts can explain only 12 per cent of them. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary and financial indicators, Monetary policy transmission JEL Code(s): E, E3, E5, G, G1
A New Measure of Monetary Policy Shocks Staff Working Paper 2021-29 Xu Zhang Combining various high frequency financial data with central bank projections, I construct a new measure of monetary policy shocks not predictable by the public information preceding a central bank’s announcements. I then study the causal effects of monetary policy on the macro economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Interest rates, Monetary policy JEL Code(s): E, E5, G, G0
Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities Staff Analytical Note 2018-6 Thibaut Duprey When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Financial system regulation and policies, Monetary and financial indicators, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C11, C15, E, E1, E17, E3, E32, E37, E4, E44, E47, E5, E58, E6, E66, G, G0, G01, G1, G18
Semi-Structural Models for Inflation Forecasting Staff Working Paper 2010-34 Maral Kichian, Rumler Fabio, Paul Corrigan We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C53, E, E3, E31
February 21, 2013 Bank of Canada Review - Winter 2012-2013 This issue features a summary of the Bank’s annual conference, Financial Intermediation and Vulnerabilities, which took place in October 2012, as well as two articles that present analysis of international macroeconomic coordination since the global financial crisis and the U.S. recovery from the Great Recession. Content Type(s): Publications, Bank of Canada Review
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
Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation Staff Working Paper 2007-8 Frédérick Demers, Calista Cheung This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, 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