Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches Staff Analytical Note 2018-34 Andrew Lee-Poy In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18
Disaggregating Household Sensitivity to Monetary Policy by Expenditure Category Staff Analytical Note 2018-32 Tony Chernis, Corinne Luu Because the Bank of Canada has started withdrawing monetary stimulus, monitoring the transmission of these changes to monetary policy will be important. Subcomponents of consumption and housing will likely respond differently to a monetary policy tightening, both in terms of the aggregate effect and timing. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods, Housing, Interest rates, Monetary policy transmission, Recent economic and financial developments JEL Code(s): C, C3, C32, E, E2, E21, E22, E4, E43, E47, E5, E52
Monetary Policy Uncertainty: A Tale of Two Tails Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty, Monetary policy communications, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52
How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times Staff Working Paper 2018-46 Geneviève Vallée Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C2, C25, C3, C36, C4, C41, D, D2, D23, E, E4, E41, E42
Noisy Monetary Policy Staff Working Paper 2018-23 Tatjana Dahlhaus, Luca Gambetti We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial markets, Monetary policy implementation, Monetary policy transmission JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52
Applying the Wage-Common to Canadian Provinces Staff Analytical Note 2018-16 Jonathan Lachaine As at the national level, available sources of hourly wage data for Canadian provinces sometimes send conflicting signals about wage growth. This note has two objectives. First, we develop a common measure of provincial wages (the provincial wage-common) to better capture the underlying wage pressures, reflecting the overall trend across all data sources. Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Labour markets, Recent economic and financial developments JEL Code(s): C, C3, C38, J, J3
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 Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C3, C31, C36, E, E4, E41
Can Media and Text Analytics Provide Insights into Labour Market Conditions in China? Staff Working Paper 2018-12 Jeannine Bailliu, Xinfen Han, Mark Kruger, Yu-Hsien Liu, Sri Thanabalasingam 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. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics, Labour markets JEL Code(s): C, C3, C38, C5, C55, E, E2, E24, E27
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). Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Labour markets, Recent economic and financial developments JEL Code(s): C, C3, C38, J, J3
Identifying the Degree of Collusion Under Proportional Reduction Staff Working Paper 2017-51 Oleksandr Shcherbakov, Naoki Wakamori Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C3, C36, D, D2, D22, L, L4, L41