Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey Staff Working Paper 2016-7 Simon Richards, Matthieu Verstraete Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada’s Business Outlook Survey, spanning the 2001 to 2015 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Credibility, Econometric and statistical methods, Firm dynamics, Inflation and prices, Inflation targets, Monetary policy framework JEL Code(s): C, C1, C2, C25, D, D2, D21, D8, D84, E, E3, E31, E5, E52, E58
Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis Staff Working Paper 2005-27 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31
Structural Change and Forecasting Long-Run Energy Prices Staff Working Paper 2004-5 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, C53, Q, Q4, Q40
Liquidity of the Government of Canada Securities Market: Stylized Facts and Some Market Microstructure Comparisons to the United States Treasury Market Staff Working Paper 1999-11 Toni Gravelle The aims of this study are to examine how liquidity in the Government of Canada securities market has evolved over the 1990s and to determine what factors influence the level of liquidity in this market, with some comparisons to the U.S. Treasury securities market. We find empirical support for the hypothesis that an increase in […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): D, D4, G, G1, G2
Assessing Global Potential Output Growth Staff Analytical Note 2017-3 Patrick Alexander, Michael Francis, Christopher Hajzler, Patrick Kirby, Louis Poirier, Sri Thanabalasingam, Kristina Hess This note estimates potential output growth for the global economy through 2019. While there is considerable uncertainty surrounding our estimates, overall we expect global potential output growth to rise modestly, from 3.1 per cent in 2016 to 3.4 per cent in 2019. Content Type(s): Staff research, Staff analytical notes Research Topic(s): International topics, Potential output, Productivity JEL Code(s): E, E1, E10, E2, E20, O, O4
Multivariate Realized Stock Market Volatility Staff Working Paper 2007-20 Gregory Bauer, Keith Vorkink We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C3, C32, C5, C53, G, G1, G14
Trade Credit and Credit Rationing in Canadian Firms Staff Working Paper 2004-49 Rose Cunningham Burkart and Ellingsen's (2004) model of trade credit and bank credit rationing predicts that trade credit will be used by medium-wealth and low-wealth firms to help ease bank credit rationing. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial markets JEL Code(s): G, G1, G14, G2, G21, G3, G32
April 20, 2005 Conference Summary: Canada in the Global Economy Bank of Canada Review - Spring 2005 Lawrence L. Schembri The Bank of Canada's 2004 research conference examined the real and financial linkages between the Canadian economy and the economies in the rest of the world. Although Canada has profited enormously from its openness to international trade in goods, services, and financial assets, many of the most significant shocks to the Canadian economy in recent years have come from abroad. For these reasons, understanding the extent and nature of the external linkages, their implications for the Canadian economy, and the process by which the Canadian economy adjusts to external shocks is of critical importance both for monetary policy and for monitoring the financial system. This article describes the purpose of the conference—to deepen economists' understanding of these important issues—and provides highlights of the papers presented in each of the five sessions, as well as summaries of the keynote lecture and the discussion of the policy panel. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Balance of payments and components, Exchange rates, International topics
The Role of Bank Capital in the Propagation of Shocks Staff Working Paper 2008-36 Césaire Meh, Kevin Moran Recent events in financial markets have underlined the importance of analyzing the link between the financial health of banks and real economic activity. This paper contributes to this analysis by constructing a dynamic general equilibrium model in which the balance sheet of banks affects the propagation of shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial system regulation and policies, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E52, G, G2, G21
Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence Staff Working Paper 2006-38 Fousseni Chabi-Yo The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G12, G13