March 28, 2005 The Thiessen Lectures Lectures delivered by Gordon G. Thiessen, Governor of the Bank of Canada 1994 to 2001 Content Type(s): Publications, Books and monographs
A Comprehensive Evaluation of Measures of Core Inflation in Canada: An Update Staff Discussion Paper 2019-9 Helen Lao, Ceciline Steyn We provide an updated evaluation of the value of various measures of core inflation that could be used in the conduct of monetary policy. We find that the Bank of Canada’s current preferred measures of core inflation—CPI-trim, CPI-median and CPI-common—continue to outperform alternative core measures across a range of criteria. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52
Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models Staff Analytical Note 2016-8 Farrukh Suvankulov This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): E, E2, E22, E27, Q, Q4, Q43, Q47
Has wage setting changed in Canada? Evidence from the pre-pandemic 2020 Wage-Setting Survey Staff Analytical Note 2022-10 David Amirault, Sarah Miller, Matthieu Verstraete Just before the pandemic began, the Bank of Canada conducted the 2020 Wage-Setting Survey. The goal was to explore the unusual trend of subdued wage growth in 2018 and 2019 despite a tightening in the labour market. Although this wage puzzle was beginning to resolve at the time of the survey, results highlight changes in several factors that may have important impacts on wage dynamics. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Central bank research, Labour markets JEL Code(s): J, J3, J31, J32, J33, J6, J63
On the Importance of Sales for Aggregate Price Flexibility Staff Working Paper 2014-45 Oleksiy Kryvtsov, Nicolas Vincent Macroeconomists have traditionally ignored the behavior of temporary price markdowns (“sales”) by retailers. Although sales are common in the micro price data, they are assumed to be unrelated to macroeconomic phenomena and generally filtered out. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Market structure and pricing, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52, L, L1, L11, L2, L25, L8, L81, M, M3, M31
Sectoral Uncertainty Staff Working Paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy and uncertainty JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44
La fiabilité des estimations de l'écart de production au Canada Staff Working Paper 2002-10 Jean-Philippe Cayen, Simon van Norden In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): E, E3, E32
An Up-to-Date and Improved BVAR Model of the Canadian Economy Staff Working Paper 1994-4 Daniel Racette, Jacques Raynauld, Christian Sigouin In this paper, we estimate a fully optimized BVAR model of the Canadian economy for the period 1971-87. The model is well-adapted to the features of a small open economy. We show how it can be used as an input in the monetary policy process either as a forecasting instrument or an analytical tool. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models
Estimating the Effect of Exchange Rate Changes on Total Exports Staff Working Paper 2019-17 Thierry Mayer, Walter Steingress This paper shows that real effective exchange rate (REER) regressions, the standard approach for estimating the response of aggregate exports to exchange rate changes, imply biased estimates of the underlying elasticities. We provide a new aggregate regression specification that is consistent with bilateral trade flows micro-founded by the gravity equation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Exchange rates, International topics JEL Code(s): F, F1, F11, F12, F3, F31, F32
Redemption Runs in Canadian Corporate Bond Funds? Staff Analytical Note 2018-21 Rohan Arora Mutual funds employ a host of tools to manage redemption run risk. However, our results suggest that Canadian corporate bond funds may be vulnerable to redemption runs, especially when they are less liquid and when market volatility is high. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial markets JEL Code(s): G, G0, G01, G2, G23