January 11, 2009 Bank of Canada Review - Winter 2008-2009 Cover page Chargex The artefacts on the cover are part of the National Currency Collection of the Bank of Canada. Photography by Gord Carter Content Type(s): Publications, Bank of Canada Review
What Fed Funds Futures Tell Us About Monetary Policy Uncertainty Staff Working Paper 2016-61 Jean-Sébastien Fontaine The uncertainty around future changes to the Federal Reserve target rate varies over time. In our results, the main driver of uncertainty is a “path” factor signaling information about future policy actions, which is filtered from federal funds futures data. Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, E44, E47, G, G1, G12, G13
Understanding Post-COVID Inflation Dynamics Staff Working Paper 2022-50 Martin Harding, Jesper Lindé, Mathias Trabandt We propose a macroeconomic model with a nonlinear Phillips curve that has a flat slope when inflationary pressures are subdued and steepens when inflationary pressures are elevated. Our model can generate more sizable inflation surges due to cost-push and demand shocks than a standard linearized model when inflation is high. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Central bank research, Coronavirus disease (COVID-19), Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy, Monetary policy implementation JEL Code(s): E, E3, E30, E31, E32, E37, E4, E44, E5, E52
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
Human Capital Risk and the Firmsize Wage Premium Staff Working Paper 2008-33 Danny Leung, Alexander Ueberfeldt Why do employed persons in large firms earn more than employed persons in small firms, even after controlling for observable characteristics? Complementary to previous results, this paper proposes a mechanism that gives an answer to this question. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Labour markets, Productivity JEL Code(s): J, J2, J24, J3, J31
Opaque Assets and Rollover Risk Staff Working Paper 2016-17 Benjamin Nelson, Toni Ahnert We model the asset-opacity choice of an intermediary subject to rollover risk in wholesale funding markets. Greater opacity means investors form more dispersed beliefs about an intermediary’s profitability. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability JEL Code(s): G, G0, G01, G2
Supply Drivers of US Inflation Since the COVID-19 Pandemic Staff Working Paper 2023-19 Serdar Kabaca, Kerem Tuzcuoglu This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31, E32
Reassessing Trade Barriers with Global Value Chains Staff Working Paper 2019-19 Yuko Imura This paper provides a systematic, quantitative analysis of the short-run and long-run effects of various trade-restricting policies in the presence of global value chains and multinational production. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Firm dynamics, International topics, Trade integration JEL Code(s): F, F1, F12, F13, F4, F41
The Bank of Canada's New Quarterly Projection Model, Part 3. The Dynamic Model: QPM Technical Report No. 75 Donald Coletti, Benjamin Hunt, David Rose, Robert Tetlow The Bank of Canada's new Quarterly Projection Model, QPM, combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis. Content Type(s): Staff research, Technical reports Research Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17
The Economics of Cryptocurrencies—Bitcoin and Beyond Staff Working Paper 2019-40 Jonathan Chiu, Thorsten Koeppl Since the creation of Bitcoin in 2009, over 2,000 cryptocurrencies have been issued. We evaluate how well a cryptocurrency functions as a payment system. Content Type(s): Staff research, Staff working papers Research Topic(s): Digital currencies and fintech, Monetary policy, Payment clearing and settlement systems JEL Code(s): E, E4, E5, L, L5