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 Research Topic(s): Balance of payments and components, Econometric and statistical methods, Exchange rates JEL Code(s): F, F1, F10, F14, F4, F43
December 21, 2006 Financial System Review - December 2006 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
The Intergenerational Correlation of Employment: Is There a Role for Work Culture? Staff Working Paper 2019-33 Gabriela Galassi, David Koll, Lukas Mayr We document a substantial positive correlation of employment status between mothers and their children in the United States, linking data from the National Longitudinal Survey of Youth 1979 (NLSY79) and the NLSY79 Children and Young Adults. After controlling for ability, education and wealth, a one-year increase in a mother’s employment is associated with six weeks more employment of her child on average. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Labour markets JEL Code(s): E, E2, E24, J, J2, J21, J22, J6, J62
Identifying Policy-makers' Objectives: An Application to the Bank of Canada Staff Working Paper 2000-11 Nicholas Rowe, James Yetman In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets JEL Code(s): E, E5, E52, E6, E61
December 23, 2004 Monetary Policy, Private Information, and International Stock Markets Financial System Review - December 2004 Gregory Bauer, Clara Vega Content Type(s): Publications, Financial System Review articles
February 1, 2012 Measuring Financial Stress Financial System Review - December 2003 Mark Illing, Ying Liu Content Type(s): Publications, Financial System Review articles
Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy Staff Working Paper 1995-2 Alain DeSerres, Alain Guay, Pierre St-Amant In this paper the authors show how potential output can be estimated and projected through an approach derived from the structural vector autoregression methodology. This approach is applied to the Mexican economy. To identify demand, supply and world oil shocks, the authors assume that demand shocks do not have a permanent effect on output and […] Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Potential output
The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Economy Technical Report No. 92 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant In this report, we evaluate several simple monetary policy rules in twelve private and public sector models of the Canadian economy. Our results indicate that none of the simple policy rules we examined is robust to model uncertainty, in that no single rule performs well in all models. Content Type(s): Staff research, Technical reports Research Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58
Price Discovery in Canadian and U.S. 10-Year Government Bond Markets Staff Working Paper 2007-43 Bryan Campbell, Scott Hendry This paper presents some new results on the price discovery process in both the Canadian and U.S. 10-year Government bond markets using high-frequency data not previously analyzed. Using techniques introduced by Hasbrouck (1995) and Gonzalo-Granger (1995), we look at the relative information content of cash and futures prices in the market for Canadian Government bonds using futures market data from the Montreal Exchange and OTC cash market data reflecting the inter-dealer market covered by CanPx. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13, G14
The U.S. Stock Market and Fundamentals: A Historical Decomposition Staff Working Paper 2003-20 David Dupuis, David Tessier The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1