How Do Interest Rates Spur the Housing Market: Exploring Nonlinear Effects
In this note we examine how monetary policy affects housing demand, supply and prices in Canada, and whether these effects vary with labour market conditions
Staff research
Understanding Systemic Risks in the Canadian Financial System
This paper reviews recent efforts to monitor and assess systemic risk in the Canadian financial system and outlines a framework for future system-wide stress testing.
Effects of macroprudential policy announcements on perceptions of systemic risks
We introduce a history of macroprudential policy (MPP) events in Canada since the 1980s. We document the short-run effects of MPP announcements on market-based measures of systemic risk and find that MPPs can influence the market’s perception of large banks’ resilience.
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach
We forecast recessions in Canada using an autoregressive (AR) probit model. The results highlight the short-term predictive power of the US economic activity and suggest that financial indicators are reliable predictors of Canadian recessions. In addition, the suggested model meaningfully improves the ability to forecast Canadian recessions, relative to a variety of probit models proposed in the Canadian literature.
Supply Drivers of US Inflation Since the COVID-19 Pandemic
This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks.
Risk Amplification Macro Model (RAMM)
The Risk Amplification Macro Model (RAMM) is a new nonlinear two-country dynamic model that captures rare but severe adverse shocks. The RAMM can be used to assess the financial stability implications of both domestic and foreign-originated risk scenarios.