January 25, 2012 Collateral Portfolios and Adverse Dependence Financial System Review - December 2007 Alejandro García, Ramazan Gençay Content Type(s): Publications, Financial System Review articles
September 20, 2024 Artificial intelligence, the economy and central banking Remarks Tiff Macklem National Bureau of Economic Research, Economics of Artificial Intelligence Conference Toronto, Ontario Bank of Canada Governor Tiff Macklem discusses how artificial intelligence could impact the economy, and outlines some of the implications for monetary policy. Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Central bank research, Financial stability, Inflation and prices, Labour markets, Monetary policy and uncertainty, Productivity
The Impact of Unemployment Insurance and Unsecured Credit on Business Cycles Staff Working Paper 2023-22 Michael Irwin This paper studies how unsecured consumer credit impacts the extent to which unemployment insurance (UI) policies smooth aggregate consumption fluctuations over the business cycle. Using a general equilibrium real business cycle model, I find that unsecured credit amplifies the extent to which UI smooths cyclical consumption fluctuations. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Fiscal policy, Labour markets JEL Code(s): E, E2, E21, E24, E3, E32, E4, E44, E6, E62
Benchmark Index of Risk Appetite Staff Working Paper 2006-16 Miroslav Misina Changes in investors' risk appetite have been used to explain a variety of phenomena in asset markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets JEL Code(s): G, G1, G12
Forecasting Inflation with the M1-VECM: Part Two Staff Working Paper 1998-6 Walter Engert, Scott Hendry A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […] Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5
Estimating One-Factor Models of Short-Term Interest Rates Staff Working Paper 1999-18 Des Mc Manus, David Watt There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10
Labour Reallocation, Relative Prices and Productivity Staff Working Paper 2010-2 Shutao Cao, Danny Leung This paper documents the rate at which labour flows between industries and between firms within industries using the most recent data available. It examines the determinants of these flows and their relationship with the productivity growth. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Labour markets, Productivity JEL Code(s): D, D2, D23, E, E3, E32, J, J6
Money in the Bank (of Canada) Technical Report No. 93 David Longworth With the demise of monetary targeting over the past 20 years in many major countries, the question has arisen as to whether central banks should look at money at all when formulating and conducting monetary policy. Content Type(s): Staff research, Technical reports Research Topic(s): Monetary aggregates, Monetary policy transmission JEL Code(s): E, E5, E50, E51, E52
The Canadian Phillips Curve and Regime Shifting Staff Working Paper 2003-32 Frédérick Demers Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31
May 22, 2004 Exchange Rate Pass-Through in Industrialized Countries Bank of Canada Review - Spring 2004 Jeannine Bailliu, Hafedh Bouakez Economists' long-standing interest in the degree to which exchange rate movements are reflected in prices was rekindled in the 1970s by a combination of rising inflation and the adoption of more flexible exchange rate regimes in many industrialized countries. Specifically, there were concerns that a large currency depreciation could degenerate into an inflationary spiral. Such fears were curtailed in the 1980s and early 1990s as industrialized countries began to reduce and stabilize their inflation rates. The low-inflation period most industrialized countries entered approximately a decade ago coincided with significant exchange rate depreciations that had much smaller effects on consumer prices than expected. This led to a belief that the extent to which exchange rate movements are passed through to consumer prices has declined. In this article, the authors examine why pass-through could be incomplete and review empirical estimates to determine whether pass-through has indeed declined, suggesting possible reasons for this decline and discussing the implications for monetary policy. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Exchange rates, Inflation and prices, Monetary policy framework