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.
1776
result(s)
Fooled by Search: Housing Prices, Turnover and Bubbles
Staff Working Paper 2012-3
Brian Peterson
his paper develops and estimates a model to explain the behaviour of house prices in the United States. The main finding is that over 70% of the increase in house prices relative to trend during the increase of house prices in the United States from 1995 to 2006 can be explained by a pricing mechanism where market participants are ‘Fooled by Search.’
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Business fluctuations and cycles
JEL Code(s):
E,
E3,
R,
R2,
R21
A Foreign Activity Measure for Predicting Canadian Exports
Staff Discussion Paper 2012-1
Louis Morel
The author constructs a measure of foreign activity that takes into account the composition of foreign demand for Canadian exports. It has a number of interesting features.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Balance of payments and components,
Exchange rates,
Recent economic and financial developments
JEL Code(s):
E,
E0,
E00,
F,
F1,
F17
Time-Varying Effects of Oil Supply Shocks on the U.S. Economy
Staff Working Paper 2012-2
Christiane Baumeister,
Gert Peersman
We use vector autoregressions with drifting coefficients and stochastic volatility to investigate how the dynamic effects of oil supply shocks on the U.S. economy have changed over time. We find a substantial decline in the short-run price elasticity of oil demand since the mid-eighties.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
E,
E3,
E31,
E32,
Q,
Q4,
Q43
Real-Time Analysis of Oil Price Risks Using Forecast Scenarios
Staff Working Paper 2012-1
Christiane Baumeister,
Lutz Kilian
Recently, there has been increased interest in real-time forecasts of the real price of crude oil. Standard oil price forecasts based on reduced-form regressions or based on oil futures prices do not allow consumers of forecasts to explore how much the forecast would change relative to the baseline forecast under alternative scenarios about future oil demand and oil supply conditions.
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
A Model of the EFA Liabilities
Staff Discussion Paper 2011-11
Francisco Rivadeneyra,
Oumar Dissou
The authors describe the liabilities model of the Exchange Fund Account (EFA). The EFA is managed using an asset-liability matching framework that requires currency and duration matching of both sides of the balance sheet.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Debt management,
Foreign reserves management
JEL Code(s):
G,
G1,
G12,
G3,
G32
Bank Leverage Regulation and Macroeconomic Dynamics
Staff Working Paper 2011-32
Ian Christensen,
Césaire Meh,
Kevin Moran
This paper assesses the merits of countercyclical bank balance sheet regulation for the stabilization of financial and economic cycles and examines its interaction with monetary policy.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Financial institutions,
Financial system regulation and policies,
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E5,
E52,
G,
G2,
G21
Do Low Interest Rates Sow the Seeds of Financial Crises?
Staff Working Paper 2011-31
Simona Cociuba,
Malik Shukayev,
Alexander Ueberfeldt
A view advanced in the aftermath of the late-2000s financial crisis is that lower than optimal interest rates lead to excessive risk taking by financial intermediaries.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial system regulation and policies,
Monetary policy transmission
JEL Code(s):
D,
D5,
D53,
E,
E4,
E44,
E5,
E52,
G,
G2,
G28
Trading Dynamics with Adverse Selection and Search: Market Freeze, Intervention and Recovery
Staff Working Paper 2011-30
Jonathan Chiu,
Thorsten Koeppl
We study the trading dynamics in an asset market where the quality of assets is private information of the owner and finding a counterparty takes time. When trading of a financial asset ceases in equilibrium as a response to an adverse shock to asset quality, a large player can resurrect the market by buying up lemons which involves assuming financial losses.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial stability
JEL Code(s):
E,
E6,
G,
G1
Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada
Staff Discussion Paper 2011-10
Yahong Zhang
What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Financial markets,
Labour markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
J,
J6