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220
result(s)
Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches
Staff Analytical Note 2018-34
Andrew Lee-Poy
In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Financial stability,
Monetary and financial indicators,
Recent economic and financial developments
JEL Code(s):
C,
C0,
C01,
C1,
C13,
C14,
C18,
C3,
C32,
C5,
C51,
C52,
E,
E3,
E32,
E6,
E66,
G,
G0,
G01,
G1,
G18
Introducing a Systematic Measure of Idiosyncratic Prices
Staff Analytical Note 2018-33
Madigan Dockrill,
Laurence Savoie-Chabot
There is a risk that Bank of Canada staff may inadvertently be biased when analyzing inflation: when inflation surprises on the downside, staff might emphasize negative idiosyncratic factors. When inflation surprises on the upside, staff might emphasize the positive idiosyncratic factors.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
Recent economic and financial developments
JEL Code(s):
E,
E3,
E31
Disaggregating Household Sensitivity to Monetary Policy by Expenditure Category
Staff Analytical Note 2018-32
Tony Chernis,
Corinne Luu
Because the Bank of Canada has started withdrawing monetary stimulus, monitoring the transmission of these changes to monetary policy will be important. Subcomponents of consumption and housing will likely respond differently to a monetary policy tightening, both in terms of the aggregate effect and timing.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Domestic demand and components,
Econometric and statistical methods,
Housing,
Interest rates,
Monetary policy transmission,
Recent economic and financial developments
JEL Code(s):
C,
C3,
C32,
E,
E2,
E21,
E22,
E4,
E43,
E47,
E5,
E52
Have Liquidity and Trading Activity in the Canadian Corporate Bond Market Deteriorated?
Staff Analytical Note 2018-31
Chen Fan,
Sermin Gungor,
Guillaume Nolin,
Jun Yang
Since 2010, the liquidity of corporate bonds has improved on average, while their trading activity has remained stable. We find that the liquidity and trading activity of riskier bonds or bonds issued by firms in different sectors have been stable. However, the liquidity and trading activity of bonds issued by banks have improved. We observe short-lived episodes of deterioration in liquidity and trading activity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Have Liquidity and Trading Activity in the Canadian Provincial Bond Market Deteriorated?
Staff Analytical Note 2018-30
Chen Fan,
Sermin Gungor,
Guillaume Nolin,
Jun Yang
In recent years, the liquidity in the secondary market for Canadian provincial bonds was a concern for many market participants. We find that a proxy for the bid-ask spread has deteriorated modestly since 2010. However, a proxy for price impact as well as measures of trade size, the number of trades and turnover have been stable or improved since 2010. This holds for bonds issued by different provinces and for bonds of different ages and sizes. Alberta bonds provide an interesting case study: After the fall in oil prices in 2014–15, the province increased its borrowing in the bond market and its credit rating was downgraded. Yet trading activity for Alberta bonds increased significantly. Overall, we interpret the evidence as a sign of resilience in the provincial bond market.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G12,
G14
Estimating the Impacts of Tariff Changes: Two Illustrative Scenarios
Staff Analytical Note 2018-29
Karyne B. Charbonneau,
Anthony Landry
We build upon new developments in the international trade literature to construct a quantitative Ricardian framework similar to Caliendo and Parro (2015) to isolate and estimate the long-run economic impacts of tariff changes.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Recent economic and financial developments,
Trade integration
JEL Code(s):
F,
F1,
F11,
F13,
F14,
F15,
F5,
F50,
F6,
F62,
F68
Weakness in Non-Commodity Exports: Demand versus Supply Factors
Staff Analytical Note 2018-28
José Dorich,
Vadym Lepetyuk,
Jonathan Swarbrick
We use the Terms-of-Trade Economic Model (ToTEM) to conduct demand- and supply-driven simulations, both of which deliver weakness in Canadian non-commodity exports relative to foreign activity in line with recent data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Monetary policy,
Recent economic and financial developments,
Trade integration
JEL Code(s):
E,
E5,
E52,
F,
F1,
F10,
F14,
F17
Characterizing Canada’s Export Sector by Industry: A Supply-Side Perspective
Staff Analytical Note 2018-27
Taylor Webley
This note examines supply-side trends in Canadian non-energy industries and their implications for export performance. Between 2002 and 2016, capital stocks and total labour input declined in many industries that export non-energy goods. These soft trends in the factors of production have likely contributed to the decline in non-energy exports in about half of the goods industries analyzed in this note.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics,
Productivity
JEL Code(s):
E,
E2,
E22,
E23,
E24,
F,
F1,
F19
Decomposing Canada’s Market Shares: An Update
Staff Analytical Note 2018-26
Nicholas Labelle
Building on the shift-share analysis of Barnett and Charbonneau (2015), this note decomposes Canada’s market shares in the United States, Europe and China for imports of non-energy goods into competitiveness, preference shifts and an interaction term. We find that, despite the depreciation of the dollar, Canada continued to lose market share over 2014–17 (around 0.4 percentage points lost per year on average over four years).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
International topics
JEL Code(s):
F,
F1,
F10,
F14,
F4