C - Mathematical and Quantitative Methods

• Demographics and the Demand for Currency

  Staff Working Paper 2014-59 Geoffrey R. Dunbar

  I use data from the Bank of Canada’s Bank Note Distribution System and exploit a natural experiment offered by the timing of Easter in the Gregorian calendar to analyze the effects of demographic change for currency demand.

  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

• International Spillovers of Policy Uncertainty

  Staff Working Paper 2014-57 Stefan Klößner, Rodrigo Sekkel

  Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, D, D8, D80, F, F4, F42

• Persistent Leverage in Portfolio Sorts: An Artifact of Measurement Error?

  Staff Working Paper 2014-55 Michael Mueller

  Studies such as Lemmon, Roberts and Zender (2008) demonstrate how stable firms’ capital structures are over time, and raise the question of whether new theories of capital structure are needed to explain these phenomena.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C18, G, G3, G32

• International House Price Cycles, Monetary Policy and Risk Premiums

  Staff Working Paper 2014-54 Gregory Bauer

  Using a panel logit framework, the paper provides an estimate of the likelihood of a house price correction in 18 OECD countries. The analysis shows that a simple measure of the degree of house price overvaluation contains a lot of information about subsequent price reversals.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Housing JEL Code(s): C, C2, E, E4, E43, R, R2, R21

• The Impact of U.S. Monetary Policy Normalization on Capital Flows to Emerging-Market Economies

  Staff Working Paper 2014-53 Tatjana Dahlhaus, Garima Vasishtha

  The Federal Reserve’s path for withdrawal of monetary stimulus and eventually increasing interest rates could have substantial repercussions for capital flows to emerging-market economies (EMEs).

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, F, F3, F33, F4, F42

• Targeting Inflation from Below - How Do Inflation Expectations Behave?

  Staff Working Paper 2014-52 Michael Ehrmann

  Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets JEL Code(s): C, C5, C53, E, E3, E31, E5, E52, E58

• Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

  Staff Working Paper 2014-51 Sermin Gungor, Richard Luger

  We propose double bootstrap methods to test the mean-variance efficiency hypothesis when multiple portfolio groupings of the test assets are considered jointly rather than individually.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C15, G, G1, G12

• The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets

  Staff Working Paper 2014-50 Vikram Rai, Lena Suchanek

  The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns.

  Content Type(s): Staff research, Staff working papers Topic(s): International financial markets, International topics, Monetary policy transmission JEL Code(s): C, C3, C33, E, E5, E58, F, F3, F32, G, G1, G14
• November 13, 2014

  Recent Developments in Experimental Macroeconomics

  Bank of Canada Review - Autumn 2014 Robert Amano, Oleksiy Kryvtsov, Luba Petersen

  This article describes experimental economics, in general, and new developments in experimental macroeconomics, in particular. The approach has a clear niche in providing evidence on economic phenomena that cannot be observed directly or that are difficult to measure. Experimental work conducted by Bank of Canada economists has shed light on a number of issues important to monetary policy, such as the relative efficacy between price-level and inflation targeting, and the nature of inflation expectations formation.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): C, C9, E, E3, E31, E5, E52

• The Propagation of Industrial Business Cycles

  Staff Working Paper 2014-48 Maximo Camacho, Danilo Leiva-Leon

  This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C2, C22, E, E2, E27, E3, E32