How to Predict Financial Stress? An Assessment of Markov Switching Models Staff working paper 2017-32 Benjamin Klaus, Thibaut Duprey This paper predicts phases of the financial cycle by using a continuous financial stress measure in a Markov switching framework. The debt service ratio and property market variables signal a transition to a high financial stress regime, while economic sentiment indicators provide signals for a transition to a tranquil state. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C54, G, G0, G01, G1, G15 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods
Understanding the Cross‐Country Effects of US Technology Shocks Staff working paper 2017-23 Thuy Lan Nguyen, Wataru Miyamoto Business cycles are substantially correlated across countries. Yet most existing models are not able to generate substantial transmission through international trade. We show that the nature of such transmission depends fundamentally on the features determining the responsiveness of labor supply and labor demand to international relative prices. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E3, E30, F, F4, F41, F44, F6, F62 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
April 15, 2015 Monetary Policy Report – April 2015 Real GDP in Canada is expected to grow by 1.9 per cent in 2015 and 2.5 per cent in 2016 and by 2.0 per cent in 2017. Content Type(s): Publications, Monetary Policy Report
January 23, 2013 Monetary Policy Report – January 2013 Following an estimated 1.9 per cent in 2012, the Canadian economy is expected to grow by 2.0 per cent in 2013 and 2.7 per cent in 2014, and to reach full capacity in the second half of 2014, later than anticipated in the October Report. Content Type(s): Publications, Monetary Policy Report
The Dynamics of Capital Flow Episodes Staff working paper 2016-9 Christian Friedrich, Pierre Guérin This paper proposes a novel methodology for identifying episodes of strong capital flows based on a regime-switching model. In comparison with the existing literature, a key advantage of our methodology is to estimate capital flow regimes without the need for context- and sample-specific assumptions. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F2, F21, F3, F32, G, G1, G11 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Structural challenges, International trade, finance and competitiveness
Reconciling the Differences in Aggregate U.S. Wage Series Staff working paper 2016-1 Julien Champagne, André Kurmann, Jay Stewart Average hourly real wage series from the Labor Productivity and Costs (LPC) program and the Current Employment Statistics (CES) program have evolved very differently over the past decades. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E0, E01, E2, E24, E3, E30, J, J3, J30 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Real economy and forecasting
Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment Staff working paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Climate change, Demographics and labour supply
April 18, 2012 Monetary Policy Report – April 2012 The Bank projects the Canadian economy will grow by 2.4 per cent in 2012 and 2013 before moderating to 2.2 per cent in 2014. The economy is now expected to return to full capacity in the first half of 2013. Content Type(s): Publications, Monetary Policy Report
December 21, 2007 Financial System Review - December 2007 The financial system makes an important contribution to the welfare of all Canadians. The ability of households and firms to confidently hold and transfer financial assets is one of the fundamental building blocks of the Canadian economy. Content Type(s): Publications, Financial Stability Report
January 21, 2015 Monetary Policy Report – January 2015 Economic growth in Canada is expected to average 2.1 per cent in 2015 and 2.4 per cent in 2016, with a return to full capacity around the end of 2016. Content Type(s): Publications, Monetary Policy Report