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766
result(s)
A Blueprint for the Fourth Generation of Bank of Canada Projection and Policy Analysis Models
Staff Discussion Paper 2023-23
Donald Coletti
The fourth generation of Bank of Canada projection and policy analysis models seeks to improve our understanding of inflation dynamics, the supply side of the economy and the underlying risks faced by policy-makers coming from uncertainty about how the economy functions.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Economic models,
Inflation and prices,
Labour markets,
Monetary policy and uncertainty
JEL Code(s):
C,
C5,
C50,
C51,
C52,
C53,
C54,
C55
Intermediary Market Power and Capital Constraints
Staff Working Paper 2023-51
Jason Allen,
Milena Wittwer
We examine how intermediary capitalization affects asset prices in a framework that allows for intermediary market power. We introduce a model in which capital-constrained intermediaries buy or trade an asset in an imperfectly competitive market, and we show that weaker capital constraints lead to both higher prices and intermediary markups.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Market structure and pricing
JEL Code(s):
D,
D4,
D40,
D44,
G,
G1,
G12,
G18,
G2,
G20,
L,
L1,
L10
Digitalization: Definition and Measurement
Staff Discussion Paper 2023-20
Guyllaume Faucher,
Stephanie Houle
This paper provides an overview of digitalization and its economic implications. We assess the scope of digitalization in Canada as well as the challenges related to its measurement.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digitalization,
Potential output
JEL Code(s):
E,
E0,
E01,
O,
O3,
O33,
O5,
O51
Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency
Staff Discussion Paper 2023-19
Chinara Azizova,
Bruno Feunou,
James Kyeong
This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
C5,
C58,
E,
E4,
E44,
G,
G1,
G17
Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis
Staff Working Paper 2023-45
Tony Chernis
I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C11,
C5,
C52,
C53,
E,
E3,
E37
Generalized Autoregressive Gamma Processes
Staff Working Paper 2023-40
Bruno Feunou
We introduce generalized autoregressive gamma (GARG) processes, a class of autoregressive and moving-average processes in which each conditional moment dynamic is driven by a different and identifiable moving average of the variable of interest. We show that using GARG processes reduces pricing errors by substantially more than using existing autoregressive gamma processes does.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Asset pricing,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C58,
G,
G1,
G12
Do hedge funds support liquidity in the Government of Canada bond market?
Staff Analytical Note 2023-11
Jabir Sandhu,
Rishi Vala
While Government of Canada bond transactions of hedge funds are typically in the opposite direction to those of other market participants, during the peak period of market turmoil in March 2020, hedge funds sold these bonds, just as other market participants did. This shows that hedge funds can at times contribute to one-sided markets and amplify declines in market liquidity.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Coronavirus disease (COVID-19),
Financial markets,
Financial stability,
Market structure and pricing
JEL Code(s):
D,
D4,
D47,
D5,
D53,
G,
G1,
G12,
G14,
G2,
G23
BoC–BoE Sovereign Default Database: Appendix and References
Technical Report No. 125
David Beers,
Obiageri Ndukwe,
Alex Charron
Since 2014, the Bank of Canada (BoC) has maintained a comprehensive database of sovereign defaults to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. The database is posted on the BoC’s website and is updated annually in partnership with the Bank of England (BoE).
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Development economics,
Financial stability,
International financial markets
JEL Code(s):
F,
F3,
F34,
G,
G1,
G10,
G14,
G15
It takes a panel to predict the future: What the stock market says about future economic growth in Canada
Staff Analytical Note 2023-9
Greg Adams,
Jean-Sébastien Fontaine
Valuation ratios in the Canadian stock market can help reveal investors’ expectations about future economic growth because the impact of economic growth on valuation ratios can vary across industries. We find that this variation helps produce accurate forecasts of future growth of real gross domestic product in Canada. The forecasts from our model declined by just over 3 percentage points between January 2022 and February 2023—a period when the Bank of Canada rapidly increased the overnight rate. As well, we find that interest-rate-sensitive industries had an outsized contribution to this expected slowdown in growth.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Financial markets,
Monetary policy transmission
JEL Code(s):
E,
E4,
E44,
E47,
E5,
E52