Staff analytical notes are short articles that focus on topical issues relevant to the current economic and financial context.
220
result(s)
Is the Excess Bond Premium a Leading Indicator of Canadian Economic Activity?
Staff Analytical Note 2018-4
Maxime Leboeuf,
Daniel Hyun
This note investigates whether Canadian corporate spreads and the excess bond premium (EBP) lead Canadian economic activity. Indeed, we find that corporate spreads precede changes in real gross domestic product (GDP) in Canada over the subsequent year. The EBP accounts for most of this property. Further, an unanticipated increase in the Canadian EBP forecasts a deterioration of domestic macroeconomic conditions: a 10-basis-point increase results in a fall in both GDP and consumer price index (CPI) of 0.4 per cent and 0.1 per cent, respectively, over three years.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Financial markets
JEL Code(s):
E,
E3,
E32,
E4,
E44,
G,
G1,
G12
Non-linéarité de la courbe de Phillips : un survol de la littérature
Staff Analytical Note 2018-3
Renaud St-Cyr
The paper reviews evidence from the economic literature on the nature of the relationship between excess capacity and inflation, better known as the Phillips curve. In particular, we examine the linearity of this relationship. This is an important issue in the current economic context in which advanced economies are approaching or exceed their potential output.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E32
Wages: Measurement and Key Drivers
Staff Analytical Note 2018-2
Dany Brouillette,
Jonathan Lachaine,
Benoit Vincent
Available sources of hourly wage data in Canada sometimes send conflicting signals about wage growth. This note thus has two objectives: first, we develop a wage measure—the wage-common—to better capture the (underlying) wage pressures reflecting the common trend across the available data sources. Second, we re-examine the relationship between wage growth and macro drivers (labour market slack and labour productivity).
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Econometric and statistical methods,
Labour markets,
Recent economic and financial developments
JEL Code(s):
C,
C3,
C38,
J,
J3
Merchant Acceptance of Cash and Credit Cards at the Point of Sale
Staff Analytical Note 2018-1
Ben Fung,
Kim Huynh,
Kerry Nield,
Angelika Welte
Recent data show that the use of credit cards in Canada has been increasing, while the use of cash has been declining. At the same time, only two-thirds of small or medium-sized businesses accept credit cards.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Bank notes,
Digital currencies and fintech,
Econometric and statistical methods,
Financial services
JEL Code(s):
C,
C2,
D,
D1,
E,
E4,
E41
The Impacts of Minimum Wage Increases on the Canadian Economy
Staff Analytical Note 2017-26
Dany Brouillette,
Daniel Gao,
Olivier Gervais,
Calista Cheung
This note reviews the channels through which scheduled minimum wage increases over the coming years may affect Canadian economic activity and inflation and assesses their macroeconomic impacts. From reduced-form estimates of direct minimum wage pass-through, we find that consumer price index (CPI) inflation could be boosted by about 0.1 percentage point (pp) on average in 2018.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Labour markets,
Recent economic and financial developments
JEL Code(s):
E,
E2,
E24,
J,
J2,
J21,
J22,
J23
Recent Evolution of Canada’s Credit-to-GDP Gap: Measurement and Interpretation
Staff Analytical Note 2017-25
Timothy Grieder,
Dylan Hogg,
Thibaut Duprey
Over the past several years, the Bank for International Settlements has noted that Canada’s credit-to-GDP gap has widened and is above thresholds indicating future banking stress.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Business fluctuations and cycles,
Credit and credit aggregates,
Financial stability,
Monetary and financial indicators,
Recent economic and financial developments,
Sectoral balance sheet
JEL Code(s):
D,
D1,
E,
E3,
E32,
G,
G0,
G01,
G1,
G2,
G21,
G3,
G30
A Barometer of Canadian Financial System Vulnerabilities
Staff Analytical Note 2017-24
Thibaut Duprey,
Tom Roberts
This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.
Do Liquidity Proxies Measure Liquidity in Canadian Bond Markets?
Staff Analytical Note 2017-23
Jean-Sébastien Fontaine,
Jeffrey Gao,
Jabir Sandhu,
Kobe Wu
This analytical note evaluates the reliability of proxies for measuring liquidity in Canadian bond markets. We find that price-impact and bid-ask proxies paint a similar picture of evolving liquidity conditions to that obtained from richer measures of liquidity for benchmark Government of Canada bonds.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Debt management,
Financial markets
JEL Code(s):
G,
G1,
G12,
G14,
G2,
G23,
G3,
G32
The Impacts of Monetary Policy Statements
Staff Analytical Note 2017-22
Bruno Feunou,
Corey Garriott,
James Kyeong,
Raisa Leiderman
In this note, we find that market participants react to an unexpected change in the tone of Canadian monetary policy statements. When the market perceives that the Bank of Canada plans to tighten (or alternatively, loosen) the monetary policy earlier than previously expected, the Canadian dollar appreciates (or depreciates) and long-term Government of Canada bond yields increase (or decrease). The tone of a statement is particularly relevant to the market when the policy rate has been unchanged for some time.
Content Type(s):
Staff research,
Staff analytical notes
Topic(s):
Asset pricing,
Exchange rates,
Interest rates,
Monetary policy communications,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E52,
F,
F3,
F31,
G,
G1,
G12