Global Real Activity for Canadian Exports: GRACE Staff Discussion Paper 2017-2 André Binette, Tony Chernis, Daniel de Munnik Canadian exports have often disappointed since the Great Recession. The apparent disconnect between exports and the Bank of Canada’s current measure of foreign demand has created an impetus to search for an alternative. Content Type(s): Staff research, Staff discussion papers Topic(s): Balance of payments and components, Econometric and statistical methods, Exchange rates JEL Code(s): F, F1, F10, F14, F4, F43
GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide Staff Working Paper 2000-2 Maral Kichian State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […] Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89
February 17, 2011 Payment Networks: A Review of Recent Research Bank of Canada Review - Winter 2010-2011 James Chapman, Lana Embree, Tom Roberts, Nellie Zhang In this article, the authors review work done at the Bank of Canada and at other central banks with the relatively new application of network analysis to the study of payments systems. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Central bank research, Payment clearing and settlement systems
An Introduction to Wavelets for Economists Staff Working Paper 2002-3 Christoph Schleicher Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1
February 1, 2012 Income Trusts: Understanding the Issues Financial System Review - December 2003 Michael R. King Content Type(s): Publications, Financial System Review articles
September 7, 2012 Dutch Disease Remarks Mark Carney Spruce Meadows Round Table Calgary, Alberta Governor Mark Carney discusses the impact of high commodity prices for the Canadian economy. Content Type(s): Press, Speeches and appearances, Remarks
Do Low Interest Rates Sow the Seeds of Financial Crises? Staff Working Paper 2011-31 Simona Cociuba, Malik Shukayev, Alexander Ueberfeldt A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries. Content Type(s): Staff research, Staff working papers Topic(s): Financial system regulation and policies, Monetary policy transmission JEL Code(s): D, D5, D53, E, E4, E44, E5, E52, G, G2, G28
State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle Staff Working Paper 2005-9 Fousseni Chabi-Yo, René Garcia, Eric Renault The authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000). Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13
December 21, 2006 Are Canadian Banks Efficient? A Canada-U.S. Comparison Financial System Review - December 2006 Jason Allen, Walter Engert, Ying Liu Content Type(s): Publications, Financial System Review articles
Estimating and Comparing the Implied Cost of Equity for Canadian and U.S. Firms Staff Working Paper 2007-48 Jonathan Witmer, Lorie Zorn This paper estimates the implied cost of equity for Canadian and U.S. firms using a methodology based on the dividend discount model and utilizing firms' current stock price and analysts' forecasted earnings. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G3, G30, G38