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766
result(s)
Forecasting Recessions in Canada: An Autoregressive Probit Model Approach
Staff Working Paper 2024-10
Antoine Poulin-Moore,
Kerem Tuzcuoglu
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.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C51,
C53,
E,
E3,
E32
Procyclicality in Central Counterparty Margin Models: A Conceptual Tool Kit and the Key Parameters
Staff Discussion Paper 2023-34
Alper Odabasioglu
Regulators need to provide effective procyclicality guidance, and central counterparties must design and calibrate their margin systems and procyclicality frameworks appropriately. To serve these needs, we provide a novel conceptual tool kit. Further, we highlight that the focus should be on the key margin system parameters in determining procyclicality.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Coronavirus disease (COVID-19),
Credit risk management,
Financial institutions,
Financial markets,
Financial stability,
Financial system regulation and policies
JEL Code(s):
G,
G0,
G01,
G2,
G23,
G28
Predictive Density Combination Using a Tree-Based Synthesis Function
Staff Working Paper 2023-61
Tony Chernis,
Niko Hauzenberger,
Florian Huber,
Gary Koop,
James Mitchell
This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C11,
C3,
C32,
C5,
C53
Third-Country Effects of U.S. Immigration Policy
Staff Working Paper 2023-60
Agostina Brinatti,
Xing Guo
We study how the tightening of US immigration policy affects the Canadian economy and American workers. After the reduction in H-1B visa admissions in 2017, more immigrants came to Canada, and Canadian firms expanded their employment, sales and exports. The close trade link between the United States and Canada dampens the benefit American workers derive from this policy change.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Labour markets,
Recent economic and financial developments,
Trade integration
JEL Code(s):
F,
F1,
F16,
F2,
F22,
J,
J6,
J61
Understanding the Systemic Implications of Climate Transition Risk: Applying a Framework Using Canadian Financial System Data
Staff Discussion Paper 2023-32
Gabriel Bruneau,
Javier Ojea Ferreiro,
Andrew Plummer,
Marie-Christine Tremblay,
Aidan Witts
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Climate change,
Economic models,
Financial institutions,
Financial markets,
Financial stability
JEL Code(s):
C,
C6,
C63,
G,
G0,
G01,
G1,
G10,
G2,
G20,
Q,
Q5,
Q54
Digitalization: Prices of Goods and Services
Staff Discussion Paper 2023-27
Vivian Chu,
Tatjana Dahlhaus,
Christopher Hajzler
This paper outlines and assesses the various channels through which digitalization can affect prices of goods and services.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Digitalization,
Inflation and prices,
Market structure and pricing,
Monetary policy
JEL Code(s):
D,
D2,
E,
E3,
E31,
E5,
E52,
L,
L1,
L11
Uncovering the Differences Among Displaced Workers: Evidence from Canadian Job Separation Records
Staff Working Paper 2023-55
Serdar Birinci,
Youngmin Park,
Thomas Pugh,
Kurt See
We revisit the measurement of the sources and consequences of job displacement using Canadian job separation records.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets,
Potential output,
Productivity
JEL Code(s):
E,
E2,
E24,
E3,
E32,
J,
J3,
J31,
J6,
J63,
J65
Identifying Nascent High-Growth Firms Using Machine Learning
Staff Working Paper 2023-53
Stephanie Houle,
Ryan Macdonald
Firms that grow rapidly have the potential to usher in new innovations, products or processes (Kogan et al. 2017), become superstar firms (Haltiwanger et al. 2013) and impact the aggregate labour share (Autor et al. 2020; De Loecker et al. 2020). We explore the use of supervised machine learning techniques to identify a population of nascent high-growth firms using Canadian administrative firm-level data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Firm dynamics
JEL Code(s):
C,
C5,
C55,
C8,
C81,
L,
L2,
L25
An Overview of the Indigenous Economy in Canada
Staff Discussion Paper 2023-25
Alex Chernoff,
Calista Cheung
Several measures suggest economic outcomes have improved for Indigenous Peoples in recent decades. Yet, institutional settings and gaps in infrastructure and financing continue to hinder their economic progress. Recent efforts have helped address some data gaps, and new institutions are helping Indigenous communities to overcome historic barriers to growth.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Central bank research,
Development economics,
Financial services,
Labour markets,
Monetary policy transmission,
Regional economic developments
JEL Code(s):
E,
E0,
E01,
E02,
N,
N4,
N41,
N42,
O,
O4,
O43,
P,
P4,
P48