Can Capital Deepening Explain the Global Decline in Labor’s Share? Staff Working Paper 2019-3 Andrew Glover, Jacob Short We estimate an aggregate elasticity of substitution between capital and labor near or below one, which implies that capital deepening cannot explain the global decline in labor's share. Our methodology derives from transition paths in the neo-classical growth model. Content Type(s): Staff research, Staff working papers Research Topic(s): Firm dynamics, International topics, Labour markets JEL Code(s): E, E1, E13, E2, E22, E25, J, J3
May 23, 2004 Bank of Canada Review - Spring 2004 Cover page The Millennial Celebrations in Ancient Rome The coins pictured on the cover range from approximately 20 to 35 mm in diameter and form part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review
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
Heterogeneity and Monetary Policy: A Thematic Review Staff Discussion Paper 2022-2 Felipe Alves, Christian Bustamante, Xing Guo, Katya Kartashova, Soyoung Lee, Thomas Michael Pugh, Kurt See, Yaz Terajima, Alexander Ueberfeldt The theory that rich economic diversity of businesses and households both affects and is shaped by economy-wide fluctuations has strong implications for monetary policy. This review places these insights in a Canadian context. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): D, D2, D25, D3, D31, E, E2, E22, E24, E5, E50, E52
On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model Staff Working Paper 2010-30 Sarah Zubairy This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): C, C1, C11, E, E3, E32, E6, E62, H, H3, H30
Credit Market Frictions and Sudden Stops Staff Working Paper 2014-49 Yuko Imura Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP). Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Financial markets, International topics JEL Code(s): E, E2, E22, E3, E32, F, F4, F41, G, G0, G01
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
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
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12
August 21, 2002 Monetary Policy and Uncertainty Bank of Canada Review - Summer 2002 Paul Jenkins, David Longworth Central banks must cope with considerable uncertainty about what will happen in the economy when formulating monetary policy. This article describes the different types of uncertainty that arise and looks at examples of uncertainty that the Bank has recently encountered. It then reviews the strategies employed by the Bank to deal with this problem. The other articles in this special issue focus on three of these major strategies. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Monetary policy and uncertainty, Monetary policy framework