Search

Content Types

Research Topics

JEL Codes

Locations

Departments

Authors

Sources

Statuses

Published After

Published Before

417 Results

The (Un)Demand for Money in Canada

Staff Working Paper 2018-20 Casey Jones, Geoffrey R. Dunbar
A novel dataset from the Bank of Canada is used to estimate the deposit functions for banknotes in Canada for three denominations: $1,000, $100 and $50. The broad flavour of the empirical findings is that denominations are different monies, and the structural estimates identify the underlying sources of the non-neutrality.
Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C3, C31, C36, E, E4, E41

State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models

Staff Working Paper 2018-14 Luis Uzeda
Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood.

Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities

Staff Analytical Note 2018-6 Thibaut Duprey
When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.

Can Media and Text Analytics Provide Insights into Labour Market Conditions in China?

The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market conditions index (LMCI) using text analytics applied to mainland Chinese-language newspapers over the period from 2003 to 2017.

Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation

We use a new real-time database for Canada to study various output gap measures. This includes recently developed measures based on models incorporating many variables as inputs (and therefore requiring real-time data for many variables).

A Calibrated Model of Intraday Settlement

Staff Discussion Paper 2018-3 Héctor Pérez Saiz, Siddharth Untawala, Gabriel Xerri
This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems.

Tail Risk in a Retail Payment System: An Extreme-Value Approach

Staff Discussion Paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri
The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015.

Modeling Fluctuations in the Global Demand for Commodities

Staff Working Paper 2018-4 Lutz Kilian, Xiaoqing Zhou
It is widely understood that the real price of globally traded commodities is determined by the forces of demand and supply. One of the main determinants of the real price of commodities is shifts in the demand for commodities associated with unexpected fluctuations in global real economic activity.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): F, F4, F44, Q, Q1, Q11, Q3, Q31, Q4, Q41, Q43

Wages: Measurement and Key Drivers

Staff Analytical Note 2018-2 Dany Brouillette, Jonathan Lachaine, Benoit Vincent
Available sources of hourly wage data in Canada sometimes send conflicting signals about wage growth. This note thus has two objectives: first, we develop a wage measure—the wage-common—to better capture the (underlying) wage pressures reflecting the common trend across the available data sources. Second, we re-examine the relationship between wage growth and macro drivers (labour market slack and labour productivity).
Go To Page