C38 - Classification Methods; Cluster Analysis; Factor Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:29:21+00:00Household financial vulnerabilities and physical climate risks
https://www.bankofcanada.ca/2021/08/staff-analytical-note-2021-19/
Natural disasters occur more often than before, potentially exposing households to financial distress. We study the intersection between household financial vulnerabilities and severe weather events.2021-08-23T13:00:51+00:00enHousehold financial vulnerabilities and physical climate risks2021-08-23Applying the Wage-Common to Canadian Provinces
https://www.bankofcanada.ca/2018/05/staff-analytical-note-2018-16/
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.2018-05-30T13:48:15+00:00enApplying the Wage-Common to Canadian Provinces2018-05-30Can Media and Text Analytics Provide Insights into Labour Market Conditions in China?
https://www.bankofcanada.ca/2018/03/staff-working-paper-2018-12/
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 2017.2018-03-12T14:28:11+00:00enCan Media and Text Analytics Provide Insights into Labour Market Conditions in China?2018-03-12Econometric and statistical methodsInternational topicsLabour marketsStaff Working Paper 2018-12https://www.bankofcanada.ca/wp-content/uploads/2018/03/swp2018-12.pdfCan Media and Text Analytics Provide Insights into Labour Market Conditions in China?Jeannine BailliuXinfen HanMark KrugerYu-Hsien LiuSri ThanabalasingamMarch 2018CC3C38C5C55EE2E24E27Wages: Measurement and Key Drivers
https://www.bankofcanada.ca/2018/01/staff-analytical-note-2018-2/
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).2018-01-17T10:00:23+00:00enWages: Measurement and Key Drivers2018-01-17A Dynamic Factor Model for Nowcasting Canadian GDP Growth
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-2/
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.2017-02-02T13:04:19+00:00enA Dynamic Factor Model for Nowcasting Canadian GDP Growth2017-02-02Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2017-2https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-2.pdfA Dynamic Factor Model for Nowcasting Canadian GDP GrowthTony ChernisRodrigo SekkelFebruary 2017CC3C32C38C5C53EE3E37The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates
https://www.bankofcanada.ca/2016/06/staff-working-paper-2016-28/
We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.2016-06-24T12:14:48+00:00enThe Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates2016-06-24Central bank researchEconometric and statistical methodsPotential outputStaff Working Paper 2016-28https://www.bankofcanada.ca/wp-content/uploads/2016/06/swp2016-28.pdfThe Real-Time Properties of the Bank of Canada’s Staff Output Gap EstimatesJulien ChampagneGuillaume Poulin-BellisleRodrigo SekkelJune 2016CC3C38EE1E17E3E32Macroeconomic Uncertainty Through the Lens of Professional Forecasters
https://www.bankofcanada.ca/2016/02/staff-working-paper-2016-5/
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.2016-02-25T07:54:56+00:00enMacroeconomic Uncertainty Through the Lens of Professional Forecasters2016-02-25Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2016-5 https://www.bankofcanada.ca/wp-content/uploads/2016/02/swp2016-5.pdfMacroeconomic Uncertainty Through the Lens of Professional ForecastersSoojin JoRodrigo SekkelFebruary 2016CC3C38EE1E17E3E32Improving Overnight Loan Identification in Payments Systems
https://www.bankofcanada.ca/2014/06/working-paper-2014-25/
Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.2014-06-18T11:43:53+00:00enImproving Overnight Loan Identification in Payments Systems2014-06-18Econometric and statistical methodsFinancial marketsInterest ratesPayment clearing and settlement systemsWorking Paper 2014-25https://www.bankofcanada.ca/wp-content/uploads/2014/06/wp2014-25.pdfImproving Overnight Loan Identification in Payments SystemsMark RempelJune 2014CC3C38C5C53EE4E42E44GG1G10High-Frequency Real Economic Activity Indicator for Canada
https://www.bankofcanada.ca/2013/11/working-paper-2013-42/
I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.2013-11-22T08:43:13+00:00enHigh-Frequency Real Economic Activity Indicator for Canada2013-11-22Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2013-42https://www.bankofcanada.ca/wp-content/uploads/2013/11/wp2013-42.pdfHigh-Frequency Real Economic Activity Indicator for CanadaGitanjali KumarNovember 2013CC3C38EE3E32