Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis Staff Working Paper 2015-13 Michael Ehrmann, Marcel Fratzscher The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates, International financial markets JEL Code(s): E, E5, F, F3, G, G1, G15
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
Adopting Price-Level Targeting under Imperfect Credibility in ToTEM Staff Working Paper 2009-17 Gino Cateau, Oleksiy Kryvtsov, Malik Shukayev, Alexander Ueberfeldt Using the Bank of Canada's main projection and policy-analysis model, ToTEM, this paper measures the welfare gains of switching from inflation targeting to price-level targeting under imperfect credibility. Following the policy change, private agents assign a probability to the event that the policy-maker will revert to inflation-targeting next period. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework, Monetary policy implementation JEL Code(s): E, E3, E31, E5, E52
A Structural Small Open-Economy Model for Canada Staff Working Paper 2004-4 Stephen Murchison, Andrew Rennison, Zhenhua Zhu The authors develop a small open-economy dynamic stochastic general-equilibrium (DSGE) model in an attempt to understand the dynamic relationships in Canadian macroeconomic data. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices JEL Code(s): E, E2, E3, E5, E52
Macroeconomic Experiences and Risk Taking of Euro Area Households Staff Working Paper 2014-10 Miguel Ampudia, Michael Ehrmann This paper studies to what extent the experiences of households shape their willingness to take financial risks. It follows the methodology of Malmendier and Nagel (2011) and applies it to a novel data set on household finances covering euro area households. Content Type(s): Staff research, Staff working papers Research Topic(s): Sectoral balance sheet JEL Code(s): D, D0, D03, D1, D14, D8, D83, G, G1, G11
What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada? Staff Discussion Paper 2023-13 Marc-André Gosselin, Temel Taskin We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Central bank research, Domestic demand and components, Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C1, C3, E, E3, E5
July 21, 2010 Why Monetary Policy Matters: A Canadian Perspective This paper provides a non-technical introduction to monetary policy - what it is, how it works, and why it matters. It discusses inflation volatility and why this is damaging to the economy, as well as why increased stability of output growth is desirable. Content Type(s): Publications, Books and monographs
Timing of Banks’ Loan Loss Provisioning During the Crisis Staff Working Paper 2016-27 Leo de Haan, Maarten van Oordt We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2, G21, G3, G32
A Comprehensive Evaluation of Measures of Core Inflation for Canada Staff Discussion Paper 2015-12 Mikael Khan, Louis Morel, Patrick Sabourin This paper evaluates the usefulness of various measures of core inflation for the conduct of monetary policy. Traditional exclusion-based measures of core inflation are found to perform relatively poorly across a range of evaluation criteria, in part due to their inability to filter unanticipated transitory shocks. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52