A New Linear Estimator for Gaussian Dynamic Term Structure Models Staff Working Paper 2013-10 Antonio Diez de los Rios This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12
Monetary Policy, Credit Constraints and SME Employment Staff Working Paper 2022-49 Julien Champagne, Émilien Gouin-Bonenfant We revisit an old question: how do financial constraints affect the transmission of monetary policy to the real economy? To answer this question, we propose a simple empirical strategy that combines firm-level employment and balance sheet data, identified monetary policy shocks and survey data on financing activities. Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Econometric and statistical methods, Firm dynamics, Labour markets, Monetary policy JEL Code(s): E, E2, E3, E4, E43, E5, E52, G, G3
Equilibrium in Two-Sided Markets for Payments: Consumer Awareness and the Welfare Cost of the Interchange Fee Staff Working Paper 2022-15 Kim Huynh, Gradon Nicholls, Oleksandr Shcherbakov We construct and estimate a structural two-stage model of equilibrium in a market for payments in order to quantify the network externalities and identify the main determinants of consumer and merchant decisions. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14
Monetary Policy and Government Debt Dynamics Without Commitment Staff Working Paper 2019-52 Dmitry Matveev I show that maturity considerations affect the optimal conduct of monetary and fiscal policy during a period of government debt reduction. I consider a New Keynesian model and study a dynamic game of monetary and fiscal policy authorities without commitment, characterizing the incentives that drive the choice of interest rate. Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Monetary policy JEL Code(s): E, E5, E52, E6, E62, E63
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 Topic(s): Asset pricing, Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
Semi-Structural Models for Inflation Forecasting Staff Working Paper 2010-34 Maral Kichian, Rumler Fabio, Paul Corrigan We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C53, E, E3, E31
December 31, 2004 Summary of Government of Canada - Outstanding as at 31 December 2004 Content Type(s): Publications, Historical: Securities and loans
Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada Staff Working Paper 2000-3 Gilles Bérubé, Denise Côté This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […] Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C2, C22, E, E2, E21
A Model of Housing Boom and Bust in a Small Open Economy Staff Working Paper 2008-9 Hajime Tomura This paper considers a dynamic stochastic general equilibrium model for a small open economy and finds that an improvement in the terms of trade causes a housing boom-bust cycle if the duration of the improvement is uncertain. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates JEL Code(s): E, E4, E44, F, F4, F41
How Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data Staff Discussion Paper 2012-9 Umar Faruqui, Samah Torchani Using a unique micro-dataset containing real and financial information on Canadian households for 2000–07, the authors address two questions: (1) What is the proportion of households whose consumption displays excess sensitivity to income, and who are likely liquidity constrained? Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Sectoral balance sheet JEL Code(s): C, C3, C35, D, D1, D12, D3, D30