Household Stockholding Behavior During the Great Financial Crisis Staff Working Paper 2015-15 Jie Zhou Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G01, G1, G11
An Econometric Examination of the Trend Unemployment Rate in Canada Staff Working Paper 1996-7 Denise Côté, Doug Hostland This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): E, E2, E24
Reviewing Canada’s Monetary Policy Implementation System: Does the Evolving Environment Support Maintaining a Floor System? Staff Discussion Paper 2023-10 Toni Gravelle, Ron Morrow, Jonathan Witmer At the onset of the pandemic, the Bank of Canada transitioned its framework for monetary policy implementation from a corridor system to a floor system, which it has since decided to maintain. We provide a comprehensive analysis of both frameworks and assess their relative merits based on five key criteria that define a sound framework. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Market structure and pricing, Monetary policy implementation, Payment clearing and settlement systems JEL Code(s): D, D4, D47, E, E4, E42, E5, E58
Government of Canada Securities in the Cash, Repo and Securities Lending Markets Staff Discussion Paper 2018-4 Narayan Bulusu, Sermin Gungor This paper documents the properties of Government of Canada securities in cash, repo and securities lending transactions over their life cycle. By tracking every security from issuance to maturity, we are able to highlight inter-linkages between the markets for cash and for specific securities. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Wholesale funding JEL Code(s): G, G1, G12, G2, G21, G23
Counterfeiting: A Canadian Perspective Staff Working Paper 2004-33 John Chant Counterfeiting is a significant public policy issue, because paper money, despite rumours of its demise, remains an important part of our payments system. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes JEL Code(s): E, E5, E58
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
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
December 14, 2007 The Costs of Inflation in New Keynesian Models Bank of Canada Review - Winter 2007-2008 Steve Ambler Ambler describes three new channels through which inflation affects economic welfare in New Keynesian models. These channels were absent from traditional analyses and may have caused researchers to underestimate the costs associated with variable inflation, even at relatively low levels of inflation. The article concludes with a preliminary assessment of the quantitative importance of the new channels and their significance for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation: costs and benefits, Monetary policy framework
Optimal Taylor Rules in an Estimated Model of a Small Open Economy Staff Working Paper 2004-36 Steve Ambler, Ali Dib, Nooman Rebei The authors compute welfare-maximizing Taylor rules in a dynamic general-equilibrium model of a small open economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Inflation targets JEL Code(s): F, F2, F3, F31, F33
August 27, 2007 The Bank of Canada's Research Agenda and the Future of Inflation Targeting Remarks Pierre Duguay Canadian Association for Business Economics Kingston, Ontario The last few weeks have been a time of turbulence in financial markets. In times such as these, it is common for people to focus on day-by-day or even hour-by-hour events, and to lose sight of the future. But tonight, I want to focus on the future; specifically, the future of inflation targeting in Canada. Content Type(s): Press, Speeches and appearances, Remarks