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
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
Deriving Longer-Term Inflation Expectations and Inflation Risk Premium Measures for Canada Staff Discussion Paper 2024-9 Bruno Feunou, Zabi Tarshi We present two models for long-term inflation expectations and inflation risk premiums for Canada. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C58, E, E4, E43, E47, G, G1, G12
Has Exchange Rate Pass-Through Really Declined in Canada? Staff Working Paper 2005-29 Hafedh Bouakez, Nooman Rebei Several empirical studies suggest that exchange rate pass-through has declined in recent years in industrialized countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rates, Inflation and prices, International topics JEL Code(s): F, F3, F4
Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles Staff Working Paper 2009-32 Hajime Tomura This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial stability, Inflation targets JEL Code(s): E, E4, E44, E5, E52
Domestic and Multilateral Effects of Capital Controls in Emerging Markets Staff Working Paper 2015-37 Gurnain Pasricha, Matteo Falagiarda, Martin Bijsterbosch, Joshua Aizenman Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial system regulation and policies, International financial markets, International topics, Monetary policy framework JEL Code(s): F, F3, F32, F4, F41, F42, G, G1, G15
June 11, 2009 The Changing Pace of Labour Reallocation in Canada: Causes and Consequences Bank of Canada Review - Summer 2009 Danny Leung, Shutao Cao The number of job gains and losses across firms in Canada each year is roughly one-fifth the total number of jobs and generally occurs within sectors (industries) rather than across sectors. Since labour reallocation within sectors has been strongly related to productivity growth in Canada, defining the key drivers of this type of reallocation is important, given the higher rates of reallocation and productivity growth in the Untied States than in Canada. This article finds that the appreciation of the Canadian dollar and rising commodity prices led to above-average reallocation of labour across sectors over the 2005-08 period, but that the impact on productivity has been minor. Labour reallocation across firms, however, generates substantial labour productivity gains in manufacturing and the business sector as a whole. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Labour markets, Productivity
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
The Turning Black Tide: Energy Prices and the Canadian Dollar Staff Working Paper 2006-29 Ramzi Issa, Robert Lafrance, John Murray The authors revisit the relationship between energy prices and the Canadian dollar in the Amano and van Norden (1995) equation, which shows a negative relationship such that higher real energy prices lead to a depreciation of the Canadian dollar. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): F, F3, F31
Asset Allocation Using Extreme Value Theory Staff Working Paper 2002-2 Younes Bensalah This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C0, C4, C5, G, G1