August 16, 2012 Bank of Canada Review - Summer 2012 This issue features three articles that present research and analysis by Bank of Canada staff. The first updates previous Bank estimates of measurement bias in the Canadian consumer price index; the second uses a new term-structure model to analyze the relationship between the short-term policy rate and long-term interest rates; and the third examines indicators of balance-sheet risks at financial institutions in Canada. Content Type(s): Publications, Bank of Canada Review
Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases Staff Working Paper 2016-46 Martin Kuncl Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2
Unregulated Lending, Mortgage Regulations and Monetary Policy Staff Working Paper 2022-28 Ugochi Emenogu, Brian Peterson This paper evaluates the effectiveness of macroprudential policies when regulations are uneven across mortgage lender types. We look at credit tightening that results from macroprudential regulations and examine how much of it is counteracted by credit shifting to unregulated lenders. We also study the impact of monetary policy tightening when some lenders are unregulated. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial system regulation and policies, Monetary policy transmission JEL Code(s): E, E4, E44, E5, E50, E52, E58, G, G2, G21, G23, G28
House Prices, Consumption and the Role of Non-Mortgage Debt Staff Working Paper 2013-2 Katya Kartashova, Ben Tomlin This paper examines the relationship between house prices and consumption, through the use of debt. Using unique Canadian household-level data that reports the uses of debt, we begin by looking at the relationship between house prices and debt. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Domestic demand and components JEL Code(s): D, D1, D10, D14, D3, D31, E, E2, E21
Educational Spillovers: Does One Size Fit All? Staff Working Paper 2005-10 Robert Baumann, Raphael Solomon In a search model of production, where agents accumulate heterogeneous amounts of human capital, an individual worker's wage depends on average human capital in the searching population. Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): I, I2, I29, J, J2, J24, J3, J31
On Inflation and the Persistence of Shocks to Output Staff Working Paper 2001-22 Maral Kichian, Richard Luger This paper empirically investigates the possibility that the effects of shocks to output depend on the level of inflation. The analysis extends Elwood's (1998) framework by incorporating in the model an inflation-threshold process that can potentially influence the stochastic properties of output. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation: costs and benefits JEL Code(s): E, E3, E31, E32, E5, E52, E58
November 1, 2018 Bank of Canada publishes staff economic projections for the first time Media Relations Ottawa, Ontario Today the Bank of Canada launched a digital database with more than 30 years of past staff economic projections of the Canadian economy. Content Type(s): Press, Press releases
Uninsured Idiosyncratic Production Risk with Borrowing Constraints Staff Working Paper 2005-26 Francisco Covas The author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial institutions, Financial markets JEL Code(s): E, E2, E22, G, G1, G11, M, M1, M13
Machine learning for economics research: when, what and how Staff Analytical Note 2023-16 Ajit Desai This article reviews selected papers that use machine learning for economics research and policy analysis. Our review highlights when machine learning is used in economics, the commonly preferred models and how those models are used. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Econometric and statistical methods, Economic models JEL Code(s): A, A1, A10, B, B2, B23, C, C4, C45, C5, C55
Can the Business Outlook Survey Help Improve Estimates of the Canadian Output Gap? Staff Discussion Paper 2020-14 Calista Cheung, Luke Frymire, Lise Pichette We investigate whether questions in the Bank of Canada’s Business Outlook Survey can provide useful signals for the output gap. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Central bank research, Economic models, Monetary policy and uncertainty, Potential output JEL Code(s): E, E3