Non-homothetic Preferences and the Demand Channel of Inflation Staff Working Paper 2025-30 Stephen Murchison An alternative to the standard CES aggregator, based on non-homothetic household preferences, is proposed. Specifically, the elasticity of substitution between goods declines during periods of strong per-capita consumption and vice versa, giving firms an incentive to adjust their desired markup in response to the state of demand. Empirical evidence favouring a direct role for per-capita consumption demand in inflation determination for Canada is presented. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Market structure and pricing JEL Code(s): E, E2, E27, E5, E52, Q, Q4, Q43, Q5, Q58
A Model of Housing Stock for Canada Staff Working Paper 2010-19 David Dupuis, Yi Zheng Using an error-correction model (ECM) framework, the authors attempt to quantify the degree of disequilibrium in Canadian housing stock over the period 1961–2008 for the national aggregate and over 1981–2008 for the provinces. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components JEL Code(s): E, E2, E21, J, J0, J00
Price-Level versus Inflation Targeting in a Small Open Economy Staff Working Paper 2001-24 Gabriel Srour This paper compares two types of monetary policy: price-level targeting and inflation targeting. It reviews recent arguments that favour price-level targeting, and examines how certain factors, such as the nature of the shocks affecting the economy and the degree to which agents are forward-looking, bear upon the arguments. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E5, E52
The Institutional and Political Determinants of Fiscal Adjustment Staff Working Paper 2006-1 Robert Lavigne The author empirically assesses the effects of institutional and political factors on the need and willingness of governments to make large fiscal adjustments. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Econometric and statistical methods, Fiscal policy, International topics JEL Code(s): E, E6, E62, O, O1, O17, O19
Uncovered Return Parity: Equity Returns and Currency Returns Staff Working Paper 2018-22 Edouard Djeutem, Geoffrey R. Dunbar We propose an uncovered expected returns parity (URP) condition for the bilateral spot exchange rate. URP implies that unilateral exchange rate equations are misspecified and that equity returns also affect exchange rates. Fama regressions provide evidence that URP is statistically preferred to uncovered interest rate parity (UIP) for nominal bilateral exchange rates between the US dollar and six countries (Australia, Canada, Japan, Norway, Switzerland and the UK) at the monthly frequency. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Exchange rates, International financial markets JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G15
Financial Distress and Hedging: Evidence from Canadian Oil Firms Staff Discussion Paper 2019-4 Kun Mo, Farrukh Suvankulov, Sophie Griffiths The paper explores the link between financial distress and the commodity price hedging behaviour of Canadian oil firms. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Financial markets, Firm dynamics JEL Code(s): G, G3, G32, Q, Q4, Q40
The Government of Canada Debt Securities Data Set Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
Cross-Country Estimates of the Degree of Fiscal Dominance and Central Bank Independence Staff Working Paper 2007-36 Carlos De Resende This paper studies the interdependence between fiscal and monetary policies, and their joint role in the determination of the price level. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Fiscal policy, Inflation: costs and benefits JEL Code(s): E, E3, E31, E4, E42, E5, E50, E6, E63
Price Formation and Liquidity Provision in Short-Term Fixed Income Markets Staff Working Paper 2007-27 Chris D'Souza, Ingrid Lo, Stephen Sapp Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Market structure and pricing JEL Code(s): G, G1, G12, G14, G15
When Is It Less Costly for Risky Firms to Borrow? Evidence from the Bank Risk- Taking Channel of Monetary Policy Staff Working Paper 2012-10 Teodora Paligorova, João Santos In an investigation of banks’ loan pricing policies in the United States over the past two decades, this study finds supporting evidence for the bank risk-taking channel of monetary policy. We show that banks charge lower spreads when they lend to riskier borrowers relative to the spreads they charge on loans to safer borrowers in periods of low short-term rates compared to periods of high short-term rates. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Monetary policy framework JEL Code(s): G, G2, G21