The authors explore the usefulness of macroeconomic models in analyzing global economic developments by examining movements in commodity prices between July 2007 and July 2008. They use the Bank of Canada's version of the Global Economy Model and investigate the longer-term outlook for commodity prices by constructing two different, globally consistent, scenarios for emerging Asia.
Staff discussion papers
The authors examine the impact of the recent run-up in energy and non-energy commodity prices on the Canadian dollar. Using the Bank of Canada's exchange rate equation, they find that the differences between the actual value of the Canadian exchange rate and the simulated values observed in 2007 are not historically large. Still, given that […]
The authors examine the institutional and governance framework of modern central banks to determine whether there are lessons that can be applied to the International Monetary Fund's (IMF's) institutional framework. Such a comparison is appealing for two reasons. First, both central banks and the IMF carry out tasks that can be described as "delegated responsibilities." […]
The authors review the state of the debate on hedge funds and the potential threat that hedge funds pose to financial stability. The collapse of a hedge fund or a group of hedge funds might pose a systemic risk directly by damaging systematically important financial institutions, or indirectly by increasing market volatility and generating a […]
Staff working papers
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on averaging over indicator models (Stock and Watson, 2004), and a static factor model (Stock and Watson, 2002).
Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.
We evaluate forecasts for the euro area in data-rich and ‘data-lean' environments by comparing three different approaches: a simple PMI model based on Purchasing Managers' Indices (PMIs), a dynamic factor model with euro area data, and a dynamic factor model with data from the euro plus data from national economies (pseudo-real time data).
On the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich EnvironmentThe good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use the latest revision of over 100 U.S. time series over the period 1974-2009 (monthly and quarterly data).
We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors.
We estimate a New Keynesian general-equilibrium open economy model to examine how changes in oil prices affect the macroeconomy. Our model allows oil price changes to be transmitted through temporary demand and supply channels (affecting the output gap), as well as through persistent supply side effects (affecting trend growth).
Since 2002, spreads on emerging market sovereign debt have fallen to historical lows. Given the close links between sovereign spreads, capital flows to emerging markets, and economic growth, understanding the factors driving these spreads is very important. We address this issue in two stages.
In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism.
The ongoing review of the IMF, initiated in 2005 by Managing Director De Rato, presents an excellent opportunity to re-examine the role, functions and governance of the Fund.
This study investigate how debt restructurings have evolved over the decades. Debtors and creditors have a long history of engaging an outsider – a “third party”, such as the IMF – to organise and facilitate debt restructurings.
Bank of Canada Review articles
November 11, 2008
Conference Summary: International Experience with the Conduct of Monetary Policy under Inflation TargetingCentral bankers from inflation-targeting and non-inflation-targeting countries around the world and several distinguished scholars assembled at the Bank of Canada in July 2008 to review the international experience in some detail. This article highlights topics covered in the special lectures and sessions, including how inflation targeting can manage external shocks, various ways in which monetary policy decisions are taken, and the issues of transparency and communications. It also reports on the discussion in the closing panel, which considered options for the future of inflation targeting.
Financial System Review articles
- "Hedge Funds and Financial Stability: Regulating Prime Brokers Will Mitigate Systemic Risks"
(with Michael King), Journal of Financial Stability, 2009, forthcoming.
- "Renewing IMF Surveillance: Transparency, Accountability and Independence"
(with Eric Santor and Robert Lavigne, Review of International Organizations, March 2009, 4: 1
- "A wave of protectionism? An analysis of economic and political considerations"
World Economy 2009, 9:2
- "EMU enlargement: Why flexibility matters"
(with Maarten Hendrikx), Beyond Transition 2007, January-March, 3.
- Kakes, J., Maier, P. and Sturm, J.-E.: 2001, Monetary transmission and bank lending in Germany, Kredit und Kapital 31 (4), 505-525.
- Leertouwer, E. and Maier, P.: 2001, Who creates political business cycles?, European Journal of Political Economy 17 (3), 445-463.
- Leertouwer, E. and Maier, P.: 2002, International and domestic constraints on political business cycles in OECD economies: A comment, International Organization 56 (1), 209-221.
- Maier, P.: 2000, Pressure on the Bundesbank?, Kredit und Kapital 33 (4), 1-30.
- Maier, P.: 2002b, Rhetoric and action, Public Choice 112 (3-4), 235-258.
- Maier, P. and Bezoen, S.: 2004, Supporting and bashing central banks: The Bundesbank and the European Central Bank, European Journal of Political Economy 20 (4), 923-939.
- Maier, P. and Cavelaars, P.: 2004, Convergence of price levels: Lessons from the German reunification, Journal of Comparative Economics 32 no3, 467-481.
- Maier, P. and Hendrikx, M.: 2003, Implications of EMU enlargement for European monetary policy: A political economy view, Kredit und Kapital 36 (2), 137-166.
- Maier, P. and Knaap, T.: 2002, Who supported the Deutsche Bundesbank?, Journal of Policy Modeling 24 (9), 831-851.
- Maier, P., Sturm, J.-E. and de Haan, J.: 2002, Political pressure on the Bundesbank: An empirical investigation using the Havrilesky approach, Journal of Macroeconomics 24 (1), 103-123.
- Maier, P.: 2002a, Political Pressure, Rhetoric and Monetary Policy: Lessons for the European Central Bank, Edward Elgar, Cheltenham.
- Maier, P. and de Haan, J.: 2000, How independent is the Bundesbank really? A survey, in J. de Haan (ed.), History of the Bundesbank: Lessons for the ECB, Routledge, London, pp. 6-42.
- King, M. R. and Maier, P.: 2009b, Would greater regulation of hedge funds reduce systemic risk?, in R. W. Kolb (ed.), Lessons from the Financial Crisis: Insights and Analysis from Today's Leading Minds, John Wiley
- Bosman, R., Maier, P., Sadiraj, V. and van Winden, F.: 2004, Let Me Vote! An experimental study of the effects of vote rotation in committees, De Nederlandsche Bank Working Paper Series 23.
- Maier, P.: 2004, EMU enlargement, inflation, and adjustment of tradable goods prices: What to expect?, De Nederlandsche Bank Working Paper Series 10.
- Maier, P.: 2005a, A Global Village without borders? International price differentials at eBay, De Nederlandsche Bank Working Paper Series 44.
- Maier, P.: 2006, International reserve accumulation: Main drivers, The Accumulation of Foreign Reserves, ECB Occasional Studies, Vol. 43, European Central Bank.
- Maier, P., Bierut, B. and Berben, R.-P.: 2003, Information accuracy and the optimal representation of regions in a currency union, De Nederlandsche Bank Working Paper Series 2003-08.
- Wellink, A., Chapple, B. and Maier, P.: 2002, The role of national central banks within the European System of Central Banks: The example of De Nederlandsche Bank, Bank of Austria, 30th Economics Conference, Conference Volume pp. 169-189.