Interpreting Volatility Shocks as Preference Shocks Staff Working Paper 2016-45 Shaofeng Xu This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times Staff Working Paper 2018-46 Geneviève Vallée Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C2, C25, C3, C36, C4, C41, D, D2, D23, E, E4, E41, E42
October 24, 2016 Renewal of the Inflation-Control Target (October 2016) Commentary and technical data relating to the 2016 target renewal. Content Type(s): Background materials Research Topic(s): Inflation and prices, Monetary policy
The Optimal Level of the Inflation Target: A Selective Review of the Literature and Outstanding Issues Staff Discussion Paper 2015-8 Oleksiy Kryvtsov, Rhys R. Mendes Bank of Canada research done prior to the most recent renewal of the inflation-control agreement in 2011 concluded that the benefits associated with a target below 2 per cent were insufficient to justify the increased risk of being constrained by the zero lower bound (ZLB) on nominal interest rates. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation targets, Inflation: costs and benefits, Monetary policy framework JEL Code(s): E, E5, E52, E58
Bank Failures and Bank Fundamentals: A Comparative Analysis of Latin America and East Asia during the Nineties using Bank-Level Data Staff Working Paper 2005-19 Marco Arena The author develops the first comparative empirical study of bank failures during the nineties between East Asia and Latin America using bank-level data, in order to address the following two questions: (i) To what extent did individual bank conditions explain bank failures? (ii) Did mainly the weakest banks, in terms of their fundamentals, fail in the crisis countries? Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions JEL Code(s): G, G2, N, N2
Credit in a Tiered Payments System Staff Working Paper 2006-36 Alexandra Lai, Nikil Chande, Sean O'Connor Payments systems are typically characterized by some degree of tiering, with upstream firms (clearing agents) providing settlement accounts to downstream institutions that wish to clear and settle payments indirectly in these systems (indirect clearers). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial services, Market structure and pricing, Payment clearing and settlement systems JEL Code(s): G, G2, G21, L, L1, L12, L13, L2, L22
Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money Staff Working Paper 2005-30 Ali Dib, Louis Phaneuf The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Labour markets JEL Code(s): C, C5, C52, E, E2, E24, E3, E32, J, J2, J22
The Government of Canada Debt Securities Data Set Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
Does US or Canadian Macro News Drive Canadian Bond Yields? Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni-Donfack We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial markets, International topics, Monetary policy JEL Code(s): C, C2, C22, E, E4, E43
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. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, E, E3, E32