Real Time Detection of Structural Breaks in GARCH Models Staff Working Paper 2009-31 Zhongfang He, John M. Maheu A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53
On the Nexus of Monetary Policy and Financial Stability: Is the Financial System More Resilient? Staff Discussion Paper 2016-12 Patricia Palhau Mora, Michael Januska Monetary policy and financial stability are closely intertwined, and the resilience of the financial system carries weight in this relationship. This paper explores whether the financial system is more resilient as a result of the G20’s post-crisis agenda for financial regulatory reform. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial stability, Financial system regulation and policies, Monetary policy framework JEL Code(s): E, E5, E52, G, G0, G01, G2, G21, G23, G28
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator Staff Working Paper 2000-5 Greg Tkacz The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43
Why Does Private Consumption Rise After a Government Spending Shock? Staff Working Paper 2003-43 Hafedh Bouakez, Nooman Rebei Recent empirical evidence suggests that private consumption is crowded-in by government spending. This outcome violates existing macroeconomic theory, according to which the negative wealth effect brought about by a rise in public expenditure should decrease consumption. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Fiscal policy JEL Code(s): E, E3, E32, E6, E62
Natural disasters and inflation in Canada Staff Analytical Note 2025-8 Thibaut Duprey, Victoria Fernandes How do storms, floods and wildfires affect consumer prices? In the short term, natural disasters can significantly increase volatility in Canada-wide inflation. Over the long term, natural disasters influence inflation in shelter prices, especially when provincial output is already weak relative to trend. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Climate change, Inflation and prices JEL Code(s): E, E3, E31, Q, Q5, Q54
November 15, 2012 Access, Competition and Risk in Centrally Cleared Markets Bank of Canada Review - Autumn 2012 Jean-Sébastien Fontaine, Héctor Pérez Saiz, Joshua Slive Central counterparties can make over-the-counter markets more resilient and reduce systemic risk by mitigating and managing counterparty credit risk. These benefits are maximized when access to central counterparties is available to a wide range of market participants. In an over-the-counter market, there is an important trade-off between risk and competition. A model of an over-the-counter market shows how risk and competition could be influenced by the incentives of market participants as they move to central clearing. In a centrally cleared market, there may be less risk when participation is high. This helps to explain why regulators have put in place requirements for fair, open and risk-based access criteria. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial markets, Financial system regulation and policies, Market structure and pricing JEL Code(s): G, G1, G18, G2, G21, L, L1, L13
Uncovering Subjective Models from Survey Expectations Staff Working Paper 2025-31 Chenyu Hou, Tao Wang This paper shows that survey expectations can be used to uncover how households subjectively think about inflation and unemployment dynamics jointly. The commonly documented "stagflation view", namely the households' tendency to associate inflation with a worse labor market, implies amplified impacts of supply shocks and dampened ones of demand shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Inflation and prices, Labour markets, Monetary policy JEL Code(s): D, D8, D84, E, E2, E21, E3, E30, E32, E7, E71
August 19, 2010 Should Monetary Policy Be Used to Counteract Financial Imbalances? Bank of Canada Review - Summer 2010 Jean Boivin, Césaire Meh, Timothy Lane The authors examine whether monetary policy should and could do more to lean against financial imbalances (such as those associated with asset-price bubbles or unsustainable credit expansion) as they are building up, or whether its role should be limited to cleaning up the economic consequences as the imbalances unwind. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Financial system regulation and policies, Monetary policy framework
May 11, 2017 Why Is Global Business Investment So Weak? Some Insights from Advanced Economies Bank of Canada Review - Spring 2017 Robert Fay, Justin-Damien Guénette, Martin Leduc, Louis Morel Various drivers of business investment can be used to explain the underwhelming performance of investment in advanced economies since the global financial crisis, particularly since 2014. The slow growth in aggregate demand cannot by itself explain the full extent of the recent weakness in investment, which appears to be linked primarily to the collapse of global commodity prices and a rise in economic uncertainty. Looking ahead, business investment growth is likely to remain slower than in the pre-crisis period, largely because of structural factors such as population aging. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Economic models, International topics, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C2, C22, D, D2, D24, D8, D80, E, E2, E22, F, F0, F01, G, G3, G31
Perceived Inflation Persistence Staff Working Paper 2013-43 Monica Jain The Survey of Professional Forecasters (SPF) has had vast influence on research related to better understanding expectation formation and the behaviour of macroeconomic agents. Inflation expectations, in particular, have received a great deal of attention, since they play a crucial role in determining real interest rates, the expectations-augmented Phillips curve and monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E31, E37