Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
216
result(s)
GDP by Industry in Real Time: Are Revisions Well Behaved?
Staff Analytical Note 2018-40
Patrick Rizzetto
The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Central bank research,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
C8,
C82,
E,
E0,
E01
The Impact of Surprising Monetary Policy Announcements on Exchange Rate Volatility
Staff Analytical Note 2018-39
Adam Albogatchiev,
Jean-Sébastien Fontaine,
Jabir Sandhu,
Reginald Xie
We identify a few Bank of Canada press releases that had the largest immediate impact on the exchange rate market. We find that volatility increases after these releases, but the effect is short-lived and mostly dissipates after the first hour, on average. Beyond the first hour, the size of the effect is similar to what we observe for other economic releases, such as those for inflation or economic growth data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Exchange rates,
Financial markets,
Monetary policy
JEL Code(s):
E,
E4,
E44,
F,
F3,
F31,
G,
G1,
G10,
G12,
G14,
G15
Does US or Canadian Macro News Drive Canadian Bond Yields?
Staff Analytical Note 2018-38
Bruno Feunou,
Rodrigo Sekkel,
Morvan Nongni-Donfack
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial markets,
International topics,
Monetary policy
JEL Code(s):
C,
C2,
C22,
E,
E4,
E43
Markets Look Beyond the Headline
Staff Analytical Note 2018-37
Bruno Feunou,
James Kyeong,
Raisa Leiderman
Many reports and analyses interpret the release of new economic data based on the headline surprise—for instance, total inflation, real GDP growth and the unemployment rate. However, we find that headline news alone cannot adequately explain the responses of market prices to new information. Rather, market prices react more strongly, on average, to non-headline news such as the composition of GDP growth, quality of jobs created and revisions to past data. Thus, tracking the impact of non-headline information released on the news day is crucial in analyzing how markets interpret and react to new economic data.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
G,
G1,
G12,
G14
Modelling the Macrofinancial Effects of a House Price Correction in Canada
Staff Analytical Note 2018-36
Thibaut Duprey,
Xuezhi Liu,
Cameron MacDonald,
Maarten van Oordt,
Sofia Priazhkina,
Xiangjin Shen,
Joshua Slive
We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Financial institutions,
Financial stability,
Housing
JEL Code(s):
E,
E2,
E27,
E3,
E37,
E4,
E44,
G,
G2,
G21
The Impact of Recent Policy Changes on the Canadian Mortgage Market
Staff Analytical Note 2018-35
Olga Bilyk,
Maria teNyenhuis
Recent policy changes are having a clear impact on the mortgage market. The number of new, highly indebted borrowers has fallen, and overall mortgage activity has slowed significantly.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Credit and credit aggregates,
Financial institutions,
Interest rates,
Recent economic and financial developments
JEL Code(s):
D,
D1,
E,
E4,
G,
G2,
G21,
G28
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