Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data Staff Working Paper 2010-13 James Chapman, Nellie Zhang In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20
Financial Stress, Monetary Policy, and Economic Activity Staff Working Paper 2010-12 Fuchun Li, Pierre St-Amant This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Monetary policy and uncertainty JEL Code(s): C, C0, C01, E, E5, E50, G, G0, G01
Statistical Confidence Intervals for the Bank of Canada's Business Outlook Survey Staff Discussion Paper 2010-7 Daniel de Munnik While a number of central banks publish their own business conditions indicators that rely on non-random sampling, knowledge about their statistical accuracy has been limited. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Central bank research, Regional economic developments JEL Code(s): C, C4, C46, C8, C81
The Fisher BCPI: The Bank of Canada’s New Commodity Price Index Staff Discussion Paper 2010-6 Ilan Kolet, Ryan Macdonald The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI). Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, E, E3
On the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich Environment Staff Working Paper 2010-10 Nikita Perevalov, Philipp Maier The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use the latest revision of over 100 U.S. time series over the period 1974-2009 (monthly and quarterly data). Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate Staff Discussion Paper 2010-2 Alejandro García, Andrei Prokopiw Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Exchange rates, Financial markets JEL Code(s): C, C0, C00, C02, G, G1, G13
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 Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01
Assembling a Real-Financial Micro-Dataset for Canadian Households Staff Working Paper 2010-6 Umar Faruqui The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending. Content Type(s): Staff research, Staff working papers Topic(s): Sectoral balance sheet JEL Code(s): C, C8, C81, D, D1, D10
Macroprudential Regulation and Systemic Capital Requirements Staff Working Paper 2010-4 Céline Gauthier, Alfred Lehar, Moez Souissi In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks. Content Type(s): Staff research, Staff working papers Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21
Estimating DSGE-Model-Consistent Trends for Use in Forecasting Staff Working Paper 2009-35 Jean-Philippe Cayen, Marc-André Gosselin, Sharon Kozicki The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E5, E52