Find Bank of Canada research by keyword, author, content type, JEL code, topic or date of publication.
Receive notification by email whenever new research is added to the website.
1785
result(s)
Volatility and Liquidity Costs
Staff Working Paper 2013-29
Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58,
G,
G2,
G20
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
Staff Working Paper 2013-28
Christiane Baumeister,
Lutz Kilian
The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
Q,
Q4,
Q43
Analyzing Fiscal Sustainability
Staff Working Paper 2013-27
Huixin Bi,
Eric M. Leeper
The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy
JEL Code(s):
E,
E6,
E62,
E65,
H,
H6,
H63
Uncertain Fiscal Consolidations
Staff Working Paper 2013-26
Huixin Bi,
Eric M. Leeper,
Campbell Leith
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy,
Monetary policy and uncertainty
JEL Code(s):
E,
E6,
E62,
E63,
H,
H3,
H30,
H6,
H60
Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Staff Working Paper 2013-25
Christiane Baumeister,
Lutz Kilian,
Xiaoqing Zhou
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
G,
G1,
G15,
Q,
Q4,
Q43
Is There a Quality Bias in the Canadian CPI? Evidence from Micro Data
Staff Working Paper 2013-24
Oleksiy Kryvtsov
Rising consumer prices may reflect shifts by consumers to new higher-priced products, mostly for durable and semi-durable goods. I apply Bils’ (2009) methodology to newly available Canadian consumer price data for non-shelter goods and services to estimate how price increases can be divided between quality growth and price inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Potential output
JEL Code(s):
E,
E3,
E31,
M,
M1,
M11,
O,
O4,
O47
A Blessing in Disguise: The Implications of High Global Oil Prices for the North American Market
Staff Working Paper 2013-23
Ron Alquist,
Justin-Damien Guénette
We examine the implications of increased unconventional crude oil production in North America. This production increase has been made possible by the existence of alternative oil-recovery technologies and persistently elevated oil prices that make these technologies commercially viable.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
Q,
Q4,
Q41,
Q43,
Q47
The Threat of Counterfeiting in Competitive Search Equilibrium
Staff Working Paper 2013-22
Enchuan Shao
Recent studies in monetary theory show that if buyers can use lotteries to signal the quality of bank notes, counterfeiting does not occur in a pooling equilibrium. In this paper, I investigate the robustness of this non-existence result by considering an alternative trading mechanism.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes
JEL Code(s):
D,
D8,
D82,
D83,
E,
E4,
E42
Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns
Staff Working Paper 2013-21
Joshua Aizenman,
Gurnain Pasricha
In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may cost their governments the fiscal revenues that external financial repression generates.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Financial system regulation and policies,
International topics,
Recent economic and financial developments
JEL Code(s):
F,
F3,
F32,
G,
G1,
G15