Staff research

We study a cross section of carry-trade-generated currency excess returns in terms of their exposure to global fundamental macroeconomic risk.

Despite the US unemployment rate being close to estimates of the non-accelerating-inflation rate of unemployment (NAIRU), measures of underemployment remain elevated, which could be an indication of remaining labour market slack. The shares of involuntary part-time workers and long-term unemployment are high relative to the current stage of the business cycle, suggesting available labour inputs are being underutilized.

We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.

This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.

The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.

Decomposing total inflation in Canada as measured by the consumer price index (CPI) into its key macroeconomic factors, as presented in the most recent Monetary Policy Report, is an interesting exercise that shows how the exchange rate pass-through, commodity prices and the output gap have influenced the evolution of the total inflation rate over time. This aggregate approach, however, may mask important sectoral changes.

In this note, we provide a brief outline of the recent developments in wage measures in Canada. We then assess whether wage growth is consistent with its fundamentals.

This paper develops a model of an economy where bank credit supports both productive investment and individual consumption smoothing in the face of idiosyncratic income risk. Bank credit is constrained by bank equity capital.

We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.

As Canada continues to engage in a dialogue to develop the approach to modernizing its core payment systems, we analyze the core payment systems that exist in countries around the world. We study payment systems in 27 jurisdictions, encompassing a broad range of geographic regions, through three levels of analysis.