Sources of pandemic-era inflation in Canada: An application of the Bernanke and Blanchard model Staff analytical note 2024-13 Fares Bounajm, Jean Garry Junior Roc, Yang Zhang We explore the drivers of the surge in inflation in Canada during the COVID-19 pandemic. This work is part of a joint effort by 11 central banks using the model developed by Bernanke and Blanchard (2023) to identify similarities and differences across economies. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, E3, E31, E37, E5, E52, E6 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
February 1, 2012 Valuation of Canadian- versus U.S.-Listed Equities: Is There a Discount? Financial System Review - December 2003 Michael R. King, Dan Segal Content Type(s): Publications, Financial System Review articles
Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement Staff working paper 2018-21 Elena Goldman, Xiangjin Shen We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28 Research Theme(s): Financial markets and funds management, Market functioning, Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures
Familiarity with Crypto and Financial Concepts: Cryptoasset Owners, Non-Owners, and Gender Differences Staff working paper 2024-48 Daniela Balutel, Walter Engert, Christopher Henry, Kim Huynh, Doina Rusu, Marcel Voia Measuring cryptoasset knowledge alongside financial knowledge enhances our understanding of individuals' decisions to purchase cryptoassets. This paper uses microdata from the Bank of Canada’s Bitcoin Omnibus Survey to examine gender differences and the interrelationship between crypto and financial knowledge through an empirical joint analysis. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C8, C81, D, D1, D14, D9, D91, G, G5, G53, O, O5, O51 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech
Can Media and Text Analytics Provide Insights into Labour Market Conditions in China? Staff working paper 2018-12 Jeannine Bailliu, Xinfen Han, Mark Kruger, Yu-Hsien Liu, Sri Thanabalasingam The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market conditions index (LMCI) using text analytics applied to mainland Chinese-language newspapers over the period from 2003 to 2017. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C38, C5, C55, E, E2, E24, E27 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
Monetary Policy, Trends in Real Interest Rates and Depressed Demand Staff working paper 2021-27 Paul Beaudry, Césaire Meh Over the last few decades, real interest rates have trended downward. The most common explanation is that this reflects depressed demand due to demographic, technological and other real factors. We explore the claim that these trends may have been amplified by certain features of monetary policy. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E4, E43, E44, E5, E52, E6, E62, E63, H, H3, H6, H63 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting
Security and convenience of a central bank digital currency Staff analytical note 2020-21 Charles M. Kahn, Francisco Rivadeneyra An anonymous token-based central bank digital currency (CBDC) would pose certain security risks to users. These risks arise from how balances are aggregated, from their transactional use and from the competition between suppliers of aggregation solutions. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E42, G, G2, G21 Research Theme(s): Financial system, Financial system regulation and oversight, Money and payments, Digital assets and fintech, Payment and financial market infrastructures
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
Assessing the US and Canadian neutral rates: 2024 update Staff analytical note 2024-9 Frida Adjalala, Felipe Alves, Hélène Desgagnés, Wei Dong, Dmitry Matveev, Laure Simon We assess both the US and Canadian nominal neutral rates to be in the range of 2.25% to 3.25%, somewhat higher than the range of 2.0% to 3.0% in 2023. The assessed range is back to the level it was at in April 2019. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Structural challenges, Demographics and labour supply
The Impact of a Trade War: Assessment of the Current Tariffs and Alternative Scenarios Staff analytical note 2019-20 Karyne B. Charbonneau This note uses Charbonneau and Landry’s (2018) framework to assess the direct impact of the current trade tensions on the Canadian and global economies, as well as possible implications if the conflict escalates further. Overall, my findings show that the estimated impact of current tariffs on real gross domestic product (GDP) remains relatively small, which is in line with the literature on gains from trade, but the impact on trade is much larger. Content Type(s): Staff research, Staff analytical notes JEL Code(s): F, F1, F11, F13, F14, F15, F5, F50, F6, F62, F68 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness