2020 US Neutral Rate Assessment Staff Discussion Paper 2020-12 James Bootsma, Thomas J. Carter, Xin Scott Chen, Christopher Hajzler, Argyn Toktamyssov This paper presents Bank of Canada staff’s current assessment of the US neutral rate, along with a newly developed set of models on which that assessment is based. The overall assessment is that the US neutral rate currently lies in a range of 1.75 to 2.75 percent. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Interest rates, Monetary policy JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41
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
Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined? Technical Report No. 76 John Murray, Simon van Norden, Robert Vigfusson Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system. Content Type(s): Staff research, Technical reports Research Topic(s): Exchange rates JEL Code(s): C, C4, C40, F, F3, F31
Sequencing Extended Monetary Policies at the Effective Lower Bound Staff Discussion Paper 2021-10 Yang Zhang, Lena Suchanek, Jonathan Swarbrick, Joel Wagner, Tudor Schlanger In this analysis, we use simulations in the Bank of Canada’s projection model—the Terms-of-Trade Economic Model—to consider a suite of extended monetary policies to support the economy following the COVID-19 crisis. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Coronavirus disease (COVID-19), Monetary policy, Monetary policy transmission JEL Code(s): E, E3, E4, E5, E52, E58
Finance Constraints and Inventory Investment: Empirical Tests with Panel Data Staff Working Paper 2004-38 Rose Cunningham The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial institutions JEL Code(s): E, E2, E22, G, G1, G14
Electronic Transactions as High-Frequency Indicators of Economic Activity Staff Working Paper 2007-58 John Galbraith, Greg Tkacz Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles JEL Code(s): E, E1, E17, E2, E27, E6, E66
International Cross-Listing and the Bonding Hypothesis Staff Working Paper 2004-17 Michael R. King, Dan Segal The authors describe a new view of cross-listing that links the impact on firm valuation to the firm's ability to develop an active secondary market for its shares in the U.S. markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15
June 11, 2015 Canadian Open-End Mutual Funds: An Assessment of Potential Vulnerabilities Financial System Review - June 2015 Sandra Ramirez, Jesus Sierra, Jonathan Witmer The authors examine the liquidity and leverage characteristics of Canadian long-term, open-end mutual funds in terms of their potential systemic effects on the Canadian mutual fund sector and on the Canadian financial system more broadly. In their overall assessment of this sector, they consider the regulation, market size and ownership structure of mutual funds in Canada and provide observations about the industry globally. Content Type(s): Publications, Financial System Review articles Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G2, G23, G28
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples Staff Working Paper 1997-1 Marie-Josée Godbout, Simon van Norden This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, F, F3, F31
An Equilibrium Analysis of the Rise in House Prices and Mortgage Debt Staff Working Paper 2013-9 Shaofeng Xu This paper examines the contributions of population aging, mortgage innovation and historically low interest rates to the sharp rise in U.S. house prices and mortgage debt between 1994 and 2005. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Credit and credit aggregates, Economic models JEL Code(s): E, E2, E21, E4, E44, G, G1, G11, R, R2, R21