April 16, 2006 Bank of Canada Review - Spring 2006 Cover page Depression Scrip The examples of Depression scrip illustrated here are part of the National Currency Collection of the Bank of Canada. Content Type(s): Publications, Bank of Canada Review
Output Comovement and Inflation Dynamics in a Two-Sector Model with Durable Goods: The Role of Sticky Information and Heterogeneous Factor Markets Staff working paper 2016-36 Tomiyuki Kitamura, Tamon Takamura In a simple two-sector New Keynesian model, sticky prices generate a counterfactual negative comovement between the output of durable and nondurable goods following a monetary policy shock. We show that heterogeneous factor markets allow any combination of strictly positive price stickiness to generate positive output comovement. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E31, E32, E5, E52 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission
October 25, 2005 Bank of Canada Review - Autumn 2005 Cover page Ready References The book is part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa. Content Type(s): Publications, Bank of Canada Review
Examining the Links Between Firm Performance and Insolvency Staff discussion paper 2025-10 Dylan Hogg, Hossein Hosseini Jebeli Assessing insolvency dynamics is essential for evaluating the financial health of non-financial corporations and mitigating macroeconomic and financial stability risks. This study leverages a newly created Statistics Canada dataset linking insolvency records with firm-level financial data to develop a robust framework for monitoring insolvency risk Content Type(s): Staff research, Staff discussion papers JEL Code(s): D, D2, D22, G, G3, G33, L, L2, L20 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Econometric, statistical and computational methods
Adoption of a New Payment Method: Theory and Experimental Evidence Staff working paper 2017-28 Jasmina Arifovic, John Duffy, Janet Hua Jiang We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C35, C8, C83, C9, C92, E, E4, E41 Research Theme(s): Money and payments, Digital assets and fintech, Payment and financial market infrastructures, Retail payments
December 24, 2004 Government of Canada Yield-Curve Dynamics, 1986-2003 Bank of Canada Review - Winter 2004-2005 Grahame Johnson A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period. Content Type(s): Publications, Bank of Canada Review articles
The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates Staff working paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C38, E, E1, E17, E3, E32 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Has wage setting changed in Canada? Evidence from the pre-pandemic 2020 Wage-Setting Survey Staff analytical note 2022-10 David Amirault, Sarah Miller, Matthieu Verstraete Just before the pandemic began, the Bank of Canada conducted the 2020 Wage-Setting Survey. The goal was to explore the unusual trend of subdued wage growth in 2018 and 2019 despite a tightening in the labour market. Although this wage puzzle was beginning to resolve at the time of the survey, results highlight changes in several factors that may have important impacts on wage dynamics. Content Type(s): Staff research, Staff analytical notes JEL Code(s): J, J3, J31, J32, J33, J6, J63 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Structural challenges, Demographics and labour supply, Digitalization and productivity
Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models Staff working paper 2017-55 Bruno Feunou, Cédric Okou This paper provides a novel methodology for estimating option pricing models based on risk-neutral moments. We synthesize the distribution extracted from a panel of option prices and exploit linear relationships between risk-neutral cumulants and latent factors within the continuous time affine stochastic volatility framework. Content Type(s): Staff research, Staff working papers JEL Code(s): G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Market structure, Models and tools, Econometric, statistical and computational methods
June 23, 2005 Financial System Review - June 2005 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report