Modelling Risk Premiums in Equity and Foreign Exchange Markets Staff Working Paper 2000-9 René Garcia, Maral Kichian The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15
The Size and Characteristics of Informal (“Gig”) Work in Canada Staff Analytical Note 2019-6 Olena Kostyshyna, Corinne Luu Underlying wage growth has fallen short of what would be consistent with an economy operating with little or no slack. While many factors could explain this weakness, the availability of additional labour resources from informal (“gig”) work—not fully captured in standard measures of employment and hours worked—may play a role. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E24, E26, J, J2, J20, J3, J30, J4
Macroeconomic Disasters and Consumption Smoothing: International Evidence from Historical Data Staff Working Paper 2023-4 Lorenzo Pozzi, Barbara Sadaba Does consumption smoothing fundamentally decrease during macroeconomic disasters? This paper uses a large historical dataset (1870–2016) for 16 industrial economies to show that during macroeconomic disasters (e.g., wars, pandemics, depressions) aggregate consumption and income are significantly less decoupled than during normal times. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Econometric and statistical methods JEL Code(s): C, C2, C23, E, E2, E21
CBDC in the Market for Payments at the Point of Sale: Equilibrium Impact and Incumbent Responses Staff Working Paper 2024-52 Walter Engert, Oleksandr Shcherbakov, André Stenzel We simulate introducing a central bank digital currency (CBDC) and consider consumer adoption, merchant acceptance and usage at the point of sale. Modest adoption frictions significantly inhibit CBDC market penetration along all three dimensions. Incumbent responses to restore pre-CBDC market shares are moderate to small and further reduce the impact of a CBDC. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14, L5, L52
December 21, 2008 A Model of Housing Boom and Bust in a Small Open Economy Financial System Review - December 2008 Hajime Tomura Content Type(s): Publications, Financial System Review articles
Interconnected Banks and Systemically Important Exposures Staff Working Paper 2019-44 Alan Roncoroni, Stefano Battiston, Marco D’Errico, Grzegorz Halaj, Christoffer Kok How do banks' interconnections in the euro area contribute to the vulnerability of the banking system? We study both the direct interconnections (banks lend to each other) and the indirect interconnections (banks are exposed to similar sectors of the economy). These complex linkages make the banking system more vulnerable to contagion risks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C6, C63, G, G1, G15, G2, G21
Inflation Expectations and Learning about Monetary Policy Staff Working Paper 2002-30 David Andolfatto, Scott Hendry, Kevin Moran Various measures indicate that inflation expectations evolve sluggishly relative to actual inflation. In addition, they often fail conventional tests of unbiasedness. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E4, E47, E5, E52, E58
Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances Staff Working Paper 2013-16 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12
Assessing global potential output growth: April 2025 Staff Analytical Note 2025-15 Samuel Boulanger, Raheeb Dastagir, Daniel de Munnik, Eshini Ekanayake, Kun Mo, Walter Muiruri, Faiza Noor, Sabreena Obaid, Louis Poirier This note presents the annual update of Bank of Canada staff estimates for growth in global potential output. These estimates served as key inputs to the analysis supporting the April 2025 Monetary Policy Report. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Potential output, Productivity JEL Code(s): E, E1, E2, F, F0, F1, O, O3, O33, O4
The Welfare Cost of Inflation Revisited: The Role of Financial Innovation and Household Heterogeneity Staff Working Paper 2018-40 Shutao Cao, Césaire Meh, José-Víctor Ríos-Rull, Yaz Terajima We document that, across households, the money consumption ratio increases with age and decreases with consumption, and that there has been a large increase in the money consumption ratio during the recent era of very low interest rates. We construct an overlapping generations (OLG) model of money holdings for transaction purposes subject to age (older households use more money), cohort (younger generations are exposed to better transaction technology), and time effects (nominal interest rates affect money holdings). Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation: costs and benefits JEL Code(s): E, E2, E21, E4, E41