Sectoral Uncertainty Staff working paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
On the Evolution of Multiple Jobholding in Canada Staff working paper 2019-49 Olena Kostyshyna, Etienne Lalé The number of workers who hold more than one job (a.k.a. multiple jobholders) has increased recently in Canada. While this seems to echo the view that non-standard work arrangements are becoming pervasive, the increase has in fact been trivial compared with the long-run rise of multiple jobholding that has occurred since the mid-1970s. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E24, J, J2, J21, J22, J6, J60 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions Staff working paper 2017-33 Antonio Diez de los Rios This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods, Economic models
Dating Systemic Financial Stress Episodes in the EU Countries Staff working paper 2016-11 Benjamin Klaus, Tuomas Peltonen, Thibaut Duprey This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C54, G, G0, G01, G1, G15 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
October 13, 2007 Estimating the Cost of Equity for Canadian and U.S. Firms Bank of Canada Review - Autumn 2007 Lorie Zorn Financing costs are important for both firms and the economy, affecting investment decisions and, ultimately, economic growth. Despite concern among policy-makers that the cost of equity financing may be higher in Canada than in the United States, empirical evidence supporting this view is mixed. Yet Canadian firms may not undertake as many projects that could potentially enhance growth if the cost of equity financing in Canada is relatively high. The article summarizes research by Jonathan Witmer and Lorie Zorn on the influences on the cost of equity in Canada and the United States, using an updated methodology that controls for firm characteristics and aggregate-level factors. In their sample, the cost of equity was 30–50 basis points higher in Canada over 1988 to 2006 but appears to have dropped in the post-1997 period. The results have policy implications related to such factors as firm size, disclosure, and securities regulation and enforcement. Content Type(s): Publications, Bank of Canada Review articles
December 23, 2005 The Use of Microdata to Assess Risks in the Non-Financial Corporate Sector Financial System Review - December 2005 Meyer Aaron, Dylan Hogg Content Type(s): Publications, Financial System Review articles
Beyond the averages: Measuring underlying wage growth using Labour Force Survey microdata Staff analytical note 2024-23 Fares Bounajm, Tessa Devakos, Gabriela Galassi When it comes to understanding the influence of labour costs on inflation, average wage growth is a misleading indicator because it is affected by composition effects. We propose an alternative measure that corrects for these effects by using microdata from the Labour Force Survey. Our new measure has many desirable properties, including reduced volatility and a better relationship with labour market fundamentals. Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C3, C31, J, J2, J21, J3, J30, J31, J8, J82 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, Demographics and labour supply
Understanding Post-COVID Inflation Dynamics Staff working paper 2022-50 Martin Harding, Jesper Lindé, Mathias Trabandt We propose a macroeconomic model with a nonlinear Phillips curve that has a flat slope when inflationary pressures are subdued and steepens when inflationary pressures are elevated. Our model can generate more sizable inflation surges due to cost-push and demand shocks than a standard linearized model when inflation is high. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E30, E31, E32, E37, E4, E44, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
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 JEL Code(s): D, D8, D84, E, E2, E21, E3, E30, E32, E7, E71 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Monetary Policy Transmission to Small Business Loan Performance: Evidence from Loan-Level Data Staff working paper 2024-41 Rodrigo Sekkel, Tamon Takamura, Yaz Terajima We analyze the dynamic and heterogeneous responses of small-business loan performance to a monetary-policy shock using loan-level data in Canada. We find evidence of monetary policy transmission through the cash-flow channel and the aggregate demand channel as well as some, though limited, impact of collateral to discipline loan repayment. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, E, E1, E17, E3, E37, E5, E52 Research Theme(s): Financial system, Household and business credit, Monetary policy, Monetary policy framework and transmission