Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields Staff Working Paper 2012-37 Bruno Feunou, Jean-Sébastien Fontaine We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Inflation and prices, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
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
State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models Staff Working Paper 2018-14 Luis Uzeda Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C11, C15, C5, C51, C53
Classical Decomposition of Markowitz Portfolio Selection Staff Working Paper 2020-21 Christopher Demone, Olivia Di Matteo, Barbara Collignon In this study, we enhance Markowitz portfolio selection with graph theory for the analysis of two portfolios composed of either EU or US assets. Using a threshold-based decomposition of their respective covariance matrices, we perturb the level of risk in each portfolio and build the corresponding sets of graphs. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research JEL Code(s): C, C0, C02
October 6, 2016 Economic Trends and Monetary Policy Remarks Carolyn A. Wilkins Université du Québec à Trois-Rivières Trois-Rivières, Quebec Senior Deputy Governor Carolyn Wilkins talks about the major trends of the Canadian economy and how they affect monetary policy. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Inflation and prices, Monetary policy, Recent economic and financial developments, Regional economic developments
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
Can the Canadian International Investment Position Stabilize a Slowing Economy? Staff Analytical Note 2017-14 Maxime Leboeuf, Chen Fan In this note, we find that valuation effects can act as an important stabilizer, strengthening Canada’s net external wealth when its economic outlook worsens relative to that of other countries. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Balance of payments and components, International financial markets JEL Code(s): F, F2, F21, F3, F32
Managing GDP Tail Risk Staff Working Paper 2020-3 Thibaut Duprey, Alexander Ueberfeldt Models for macroeconomic forecasts do not usually take into account the risk of a crisis—that is, a sudden large decline in gross domestic product (GDP). However, policy-makers worry about such GDP tail risk because of its large social and economic costs. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Economic models, Financial stability, Financial system regulation and policies, Interest rates, Monetary policy, Monetary policy framework JEL Code(s): D, D8, E, E4, E44, E5, E52, E58, G, G0, G01
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
The Financial Origins of Non-fundamental Risk Staff Working Paper 2022-4 Sushant Acharya, Keshav Dogra, Sanjay Singh We explore the idea that the financial sector can be a source of non-fundamental risk to the rest of the economy. We also consider whether policy can be used to reduce this risk—either by increasing the supply of publicly backed safe assets or by reducing the demand for safe assets. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Financial stability JEL Code(s): D, D5, D52, D8, D84, E, E6, E62, G, G1, G10, G12