Detecting exuberance in house prices across Canadian cities Staff Analytical Note 2021-9 Ugochi Emenogu, Cars Hommes, Mikael Khan We introduce a model to detect periods of extrapolative house price expectations across Canadian cities. The House Price Exuberance Indicator can be updated on a quarterly basis to support the Bank of Canada’s broader assessment of housing market imbalances. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Financial stability, Housing JEL Code(s): C, C5, C53, R, R2, R21, R3, R31
Une analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U Staff Working Paper 2000-22 David Dupuis, David Tessier The relative productivity gap between Canada and the United States is a controversial subject matter. One argument especially contentious in this debate stems from the belief that the gradual depreciation of the Canadian dollar over the last 20 years has been one of the determinants of the productivity gap. Content Type(s): Staff research, Staff working papers
An Optimal Macroprudential Policy Mix for Segmented Credit Markets Staff Working Paper 2021-31 Jelena Zivanovic How can macroprudential policy and monetary policy stabilize segmented credit markets? Is there a trade-off between financial stability and price stability? I use a theoretical model to evaluate the performance of alternative policies and find the optimal mix of macroprudential and monetary policy in response to aggregate shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Credit risk management, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E30, E4, E44, E5, E50
The potential effect of a central bank digital currency on deposit funding in Canada Staff Analytical Note 2020-15 Alejandro García, Bena Lands, Xuezhi Liu, Joshua Slive A retail central bank digital currency denominated in Canadian dollars could, in theory, create competition for bank deposit funding. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Digital currencies and fintech, Financial institutions, Financial stability JEL Code(s): E, E4, E41, E44, E5, G, G1, G10, G17, G2, G21, G3, G32, O
Money and Price Posting under Private Information Staff Working Paper 2011-22 Mei Dong, Janet Hua Jiang We study price posting with undirected search in a search-theoretic monetary model with divisible money and divisible goods. Ex ante homogeneous buyers experience match specific preference shocks in bilateral trades. The shocks follow a continuous distribution and the realization of the shocks is private information. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices JEL Code(s): D, D8, D82, D83, E, E3, E31
Unpacking Moving: A Quantitative Spatial Equilibrium Model with Wealth Staff Working Paper 2023-34 Elisa Giannone, Qi Li, Nuno Paixão, Xinle Pang We propose a model to understand low observed migration rates by considering the interaction between location and wealth decisions. We look at different policies and find that temporary moving vouchers only slightly increase welfare, while lower housing regulations can decrease the welfare gap by lowering house prices nationwide. Content Type(s): Staff research, Staff working papers Research Topic(s): Housing, Regional economic developments JEL Code(s): G, G5, G51, R, R1, R12, R13, R2, R3, R31, R5, R52
The Impact of Bankruptcy Reform on Insolvency Choice and Consumer Credit Staff Working Paper 2016-26 Jason Allen, Kiana Basiri We examine the impact of the 2009 amendments to the Canadian Bankruptcy and Insolvency Act on insolvency decisions. Rule changes steered debtors out of division I proposals and into the more cost-effective division II proposals. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Financial institutions, Financial system regulation and policies JEL Code(s): D, D1, D14, G, G2, K, K3, K35
The Macroeconomic Implications of Changes in Bank Capital and Liquidity Requirements in Canada: Insights from the BoC-GEM-FIN Staff Discussion Paper 2010-16 Carlos De Resende, Ali Dib, Nikita Perevalov The authors use simulations within the BoC-GEM-FIN, the Bank of Canada's version of the Global Economy Model with financial frictions in both the demand and supply sides of the credit market, to investigate the macroeconomic implications of changing bank regulations on the Canadian economy. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial institutions, Financial stability, International topics JEL Code(s): E, E3, E32, E4, E44, E5, G, G1, G2
Which Parametric Model for Conditional Skewness? Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15
The Macroeconomic Effects of Military Buildups in a New Neoclassical Synthesis Framework Staff Working Paper 2003-12 Alain Paquet, Louis Phaneuf, Nooman Rebei The authors study the macroeconomic consequences of large military buildups using a New Neoclassical Synthesis (NNS) approach that combines nominal rigidities within imperfectly competitive goods and labour markets. They show that the predictions of the NNS framework generally are consistent with the sign, timing, and magnitude of how hours worked, after-tax real wages, and output actually respond to an upsurge in military purchases. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Fiscal policy JEL Code(s): E, E3, E32, E6, E62, H, H2