International Spillovers of Policy Uncertainty Staff Working Paper 2014-57 Stefan Klößner, Rodrigo Sekkel Using the Baker et al. (2013) index of policy uncertainty for six developed countries, this paper estimates spillovers of policy uncertainty. We find that spillovers account for slightly more than one-fourth of the dynamics of policy uncertainty in these countries, with this share rising to one-half during the financial crisis. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, D, D8, D80, F, F4, F42
Combining Canadian Interest-Rate Forecasts Staff Working Paper 2008-34 David Bolder, Yuliya Romanyuk Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?" Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C11, E, E4, E43, E47
The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada Staff Working Paper 2013-35 Mikael Khan, Louis Morel, Patrick Sabourin In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices, Monetary policy framework JEL Code(s): C, C1, E, E3, E31, E32, E5, E52, E58
The Usefulness of Consumer Confidence Indexes in the United States Staff Working Paper 2002-22 Brigitte Desroches, Marc-André Gosselin This paper assesses the usefulness of consumer confidence indexes in forecasting aggregate consumer spending in the United States. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Economic models, International topics JEL Code(s): D, D1, D12, E, E2, E21, E27
June 11, 2009 Bank of Canada Review - Summer 2009 Examining the incentives for banks to hold various assets on their balance sheets for use as collateral when the opportunity cost of doing so can be high; an outline of the complexity inherent in any modern risk-management system and review of possible strategies to improve the performance of risk management; causes and consequences of the changing pace of labour reallocation in Canada; description of the structure and functioning of BoC-GEM— an adaptation of the Global Economy Model— with examples of its recent application. Content Type(s): Publications, Bank of Canada Review
Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition. 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, C3, C35, E, E4, E41
Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects Staff Working Paper 2015-21 Sharon Kozicki, Lena Suchanek, Eric Santor Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve’s large-scale asset purchase (LSAP) programs. Content Type(s): Staff working papers Research Topic(s): International topics JEL Code(s): E, E5, E58, G, G1, G14, Q, Q0, Q00
A Simple Test of Simple Rules: Can They Improve How Monetary Policy is Implemented with Inflation Targets? Staff Working Paper 2003-31 Nicholas Rowe, David Tulk The authors evaluate whether an assortment of simple rules could improve how the Bank of Canada implements its inflation-targeting monetary policy. They focus on measuring the correlation between the deviations of inflation from the target and the lagged deviations of rule recommendations from the actual policy interest rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy implementation JEL Code(s): E, E5
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires Staff Working Paper 2004-40 Frédérick Demers In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53