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3035 Results

Common Trends and Common Cycles in Canadian Sectoral Output

Staff Working Paper 2003-44 Francisco Barillas, Christoph Schleicher
The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions.

CBDC: Banking and Anonymity

Staff Working Paper 2024-9 Yuteng Cheng, Ryuichiro Izumi
We examine the optimal amount of user anonymity in a central bank digital currency in the context of bank lending. Anonymity, defined as the lender’s inability to discern an entrepreneur’s actions that enable fund diversion, influences the choice of payment instrument due to its impact on a bank’s lending decisions.
Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech JEL Code(s): E, E4, E42, E5, E58, G, G2, G28

An Empirical Analysis of Liquidity and Order Flow in the Brokered Interdealer Market for Government of Canada Bonds

Staff Working Paper 2003-28 Chris D'Souza, Charles Gaa, Jing Yang
The authors empirically measure Canadian bond market liquidity using a number of indicators proposed in the literature and detail, for the first time, price and trade dynamics in the Government of Canada secondary bond market. They find, consistent with Inoue (1999), that the Canadian brokered interdealer fixed-income market is relatively liquid for its size.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G10, G14

Short-Term Forecasting of the Japanese Economy Using Factor Models

Staff Working Paper 2012-7 Claudia Godbout, Marco J. Lombardi
While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the recent financial crisis.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

Household Risk Management and Actual Mortgage Choice in the Euro Area

Staff Working Paper 2014-1 Michael Ehrmann, Michael Ziegelmeyer
Mortgages constitute the largest part of household debt. An essential choice when taking out a mortgage is between fixed-interest-rate mortgages (FRMs) and adjustable-interest-rate mortgages (ARMs). However, so far, no comprehensive cross‐country study has analyzed what determines household demand for mortgage types, a task that this paper takes up using new data for the euro area.
Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Monetary policy transmission JEL Code(s): D, D1, D12, E, E4, E43, E5, E52, G, G2, G21

Heterogeneity and Monetary Policy: A Thematic Review

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.

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
May 14, 2015

Inflation Dynamics in the Post-Crisis Period

Inflation rates in advanced economies experienced two consecutive puzzles during the period following the global financial crisis—unexpectedly high inflation from the end of 2009 to 2011 and unexpectedly low inflation from 2012 to the middle of 2014. We investigate these developments in two ways. First, we show that accounting for inflation expectations by households explains a significant share of the inflation puzzles at the international level. Second, we find that, for Canada, elevated competition in the retail sector is also important for understanding inflation dynamics in the post-crisis period.
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