Endogenous Borrowing Constraints and Consumption Volatility in a Small Open Economy Staff Working Paper 2006-37 Carlos De Resende Consumption volatility relative to output volatility is consistently higher in emerging economies than in developed economies. Content Type(s): Staff research, Staff working papers Research Topic(s): International topics JEL Code(s): F, F3, F32, F34, F4, F41
Oil-Price Shocks and Retail Energy Prices in Canada Staff Working Paper 2002-38 Marwan Chacra The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Market structure and pricing JEL Code(s): C, C2, C22, C5, C51, C53, Q, Q4, Q40
The Role of Corporate Saving over the Business Cycle: Shock Absorber or Amplifier? Staff Working Paper 2018-59 Xiaodan Gao, Shaofeng Xu We document countercyclical corporate saving behavior with the degree of countercyclicality varying nonmonotonically with firm size. We then develop a dynamic stochastic general equilibrium model with heterogeneous firms to explain the pattern and study its implications for business cycles. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E20, E22, E3, E32, G, G3, G31, G32
Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations Staff Working Paper 2008-6 Donald Coletti, René Lalonde, Dirk Muir This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy framework JEL Code(s): C, C5, C51, C52, E, E1, E17, E3, E31, E5, E52
Sample Calibration of the Online CFM Survey Technical Report No. 118 Marie-Hélène Felt, David Laferrière The Canadian Financial Monitor (CFM) survey uses non-probability sampling for data collection, so selection bias is likely. We outline methods for obtaining survey weights and discuss the conditions necessary for these weights to eliminate selection bias. We obtain calibration weights for the 2018 and 2019 online CFM samples. Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C81, C83
The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies Staff Working Paper 2014-53 Tatjana Dahlhaus, Garima Vasishtha The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs). Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, F, F3, F33, F4, F42
What Affects MFP in the Long-Run? Evidence from Canadian Industries Staff Working Paper 2008-4 Danny Leung, Yi Zheng In this paper we explore variables that may have an impact on multifactor productivity (MFP) in the long-run using the KLEMS database for Canada. We estimate a dynamic heterogeneous panel error-correction model of twelve 2-digit level industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): C, C2, C23, D, D2, D24, O, O3, O30
Introducing the Bank of Canada's Projection Model for the Global Economy Technical Report No. 99 Jeannine Bailliu, Patrick Blagrave, James Rossiter To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund. Content Type(s): Staff research, Technical reports Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01
Default Dependence: The Equity Default Relationship Staff Working Paper 2008-1 Stuart Turnbull, Jun Yang The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): G, G1, G12, G13
Has Exchange Rate Pass-Through Really Declined in Canada? Staff Working Paper 2005-29 Hafedh Bouakez, Nooman Rebei Several empirical studies suggest that exchange rate pass-through has declined in recent years in industrialized countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rates, Inflation and prices, International topics JEL Code(s): F, F3, F4