ElasticSearch Score: 16.081617
This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.
ElasticSearch Score: 15.460435
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.
ElasticSearch Score: 14.38323
During the nineties, stock prices increased remarkably. The number of households owning stocks also rose considerably. If stock market wealth has an effect on consumers' decisions, then the rise in equity prices could have contributed to the growth in consumption in recent years.
ElasticSearch Score: 13.261268
This report is the first documenting the Bank of Canada's new model of the Canadian economy, the Quarterly Projection Model (QPM). QPM is used at the Bank of Canada for both economic projections and policy analysis. Here the authors focus on the model's long-run properties, describing SSQPM, a model of the steady state of QPM […]
ElasticSearch Score: 12.910746
It is commonly believed that the response of the price of corn ethanol (and hence of the price of corn) to shifts in biofuel policies operates in part through market expectations and shifts in storage demand, yet to date it has proved difficult to measure these expectations and to empirically evaluate this view.
ElasticSearch Score: 12.711654
May 21, 2004
Some analysts believe that a sharp rise in equity values was an important factor in the strong consumer spending between 1995 and 2000. Empirical evidence suggests, however, that consumer spending responds more to changes in housing wealth than it does to equity wealth.
ElasticSearch Score: 11.646791
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey.
ElasticSearch Score: 9.858217
We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.
ElasticSearch Score: 9.596837
The authors construct a simple general equilibrium model of unemployment and calibrate it to the Canadian economy. Job creation and destruction are endogenous. In this model, they consider several potential factors that could contribute to the long-run increase in the Canadian unempoloyment rate: a more generous unemployment insurance system, higher layoff costs, higher discretionary taxes, […]
ElasticSearch Score: 9.137924
May 23, 2004
Cover page
The Millennial Celebrations in Ancient Rome
The coins pictured on the cover range from approximately 20 to 35 mm in diameter and form part of the National Currency Collection, Bank of Canada.
Photography by Gord Carter, Ottawa