Allan Crawford

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Staff Discussion Papers

Regulatory Constraints on Bank Leverage: Issues and Lessons from the Canadian Experience

Staff Discussion Paper 2009-15 Étienne Bordeleau, Allan Crawford, Christopher Graham
The Basel capital framework plays an important role in risk management by linking a bank's minimum capital requirements to the riskiness of its assets. Nevertheless, the risk estimates underlying these calculations may be imperfect, and it appears that a cyclical bias in measures of risk-adjusted capital contributed to procyclical increases in global leverage prior to the recent financial crisis.

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Staff Working Papers

Downward Nominal-Wage Rigidity: Micro Evidence from Tobit Models

Staff Working Paper 2001-7 Allan Crawford, Geoff Wright
This paper uses Tobit models and data for union contracts to examine the extent of downward nominal-wage rigidity in Canada. To be consistent with important stylized facts, the models allow the variance of the notional wage-change distribution to be time-varying and test for menu-cost effects.
Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Labour markets JEL Code(s): E, E2, E24, E5, E52, E6, E61

Does Inflation Uncertainty Vary with the Level of Inflation?

Staff Working Paper 1996-9 Allan Crawford, Marcel Kasumovich
The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.

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Technical Reports

Measurement Biases in the Canadian CPI

Technical Report No. 64 Allan Crawford
The consumer price index (CPI) may be an imperfect measure of changes in the cost of living owing to measurement biases known as commodity substitution bias, new goods bias, quality bias and outlet substitution bias. When the sum of these individual biases is positive, the rate of change in the CPI overstates the increase in […]
Content Type(s): Staff research, Technical reports Topic(s): Inflation and prices JEL Code(s): E, E3, E31

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