Accounting for Real Exchange Rates Using Micro‐Data Staff working paper 2017-12 Mario J. Crucini, Anthony Landry The classical dichotomy predicts that all of the time-series variance in the aggregate real exchange rate is accounted for by non-traded goods in the consumer price index (CPI) basket because traded goods obey the Law of One Price. In stark contrast, Engel (1999) claimed the opposite: that traded goods accounted for all of the variance. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F3 Research Theme(s): Financial markets and funds management, International markets and currencies, Structural challenges, International trade, finance and competitiveness
Imperfect Banking Competition and Macroeconomic Volatility: A DSGE Framework Staff working paper 2021-12 Jiaqi Li How do banks adjust their loan rate markup in response to macroeconomic shocks? Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E32, E4, E44, G, G2, G21, L, L1, L13 Research Theme(s): Financial system, Financial institutions and intermediation, Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission
December 9, 2010 The Countercyclical Bank Capital Buffer: Insights for Canada Financial System Review - December 2010 David Xiao Chen, Ian Christensen Content Type(s): Publications, Financial System Review articles
Monetary Policy Transmission Through Shadow and Traditional Banks Staff working paper 2024-8 Amina Enkhbold I investigate how monetary policy transmits to mortgage rates via the mortgage market concentration channel for both traditional and shadow banks in the United States from 2009 to 2019. On average, shadow and traditional banks exhibit only a slight disparity in transmitting monetary shocks to mortgage rates. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E44, E5, E52, G, G2, G21 Research Theme(s): Financial system, Financial institutions and intermediation, Household and business credit, Monetary policy, Monetary policy framework and transmission
March 28, 2005 The Thiessen Lectures Lectures delivered by Gordon G. Thiessen, Governor of the Bank of Canada 1994 to 2001 Content Type(s): Publications, Books and monographs
Benchmarks for assessing labour market health Staff analytical note 2022-2 Erik Ens, Corinne Luu, Kurt See, Shu Lin Wee We propose a range of benchmarks for assessing labour market strength for monetary policy. This work builds on a previous framework that considers how diverse and segmented the labour market is. We apply these benchmarks to the Canadian labour market and find that it has more than recovered from the COVID-19 shock. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, J, J2, J21, J6 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions Staff working paper 2017-33 Antonio Diez de los Rios This paper proposes a novel asymptotic least-squares estimator of multi-country Gaussian dynamic term structure models that is easy to compute and asymptotically efficient, even when the number of countries is relatively large—a situation in which other recently proposed approaches lose their tractability. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods, Economic models
Beating the “pros” with a semi-structural model of their own inflation forecasts Staff working paper 2026-11 Sergio A. Lago Alves, Waldyr Dutra Areosa, Carlos Viana de Carvalho How can Surveys of Professional Forecasters (SPF) be used to improve inflation forecasts? By using US historical quarterly data on SPF forecasts, we provide better understanding of how we can use forecast disagreement to improve our own forecasts. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C5, C53, E, E3, E31, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Sectoral Uncertainty Staff working paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
The Role of Central Banks in Promoting Financial Stability: An International Perspective Staff discussion paper 2016-15 Rose Cunningham, Christian Friedrich The 2007–09 global financial crisis has led policy-makers around the world, including central banks, to refocus their efforts to promote financial stability. As part of this process, central banks became quite active in supporting financial stability in a variety of ways, such as publicly sharing their assessments of financial system vulnerabilities and risks and helping to strengthen regulation, supervision and macroprudential measures. Content Type(s): Staff research, Staff discussion papers JEL Code(s): E, E5, G, G0, G01, G2, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Financial system regulation and oversight, Monetary policy, Monetary policy framework and transmission