Financial Frictions, Financial Shocks and Labour Market Fluctuations in Canada Staff Discussion Paper 2011-10 Yahong Zhang What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) – a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions – with Canadian data for the period 1984Q2–2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Economic models, Financial markets, Labour markets JEL Code(s): E, E3, E32, E4, E44, J, J6
Convergence in a Stochastic Dynamic Heckscher-Ohlin Model Staff Working Paper 2006-23 Partha Chatterjee, Malik Shukayev The authors characterize the equilibrium for a small economy in a dynamic Heckscher-Ohlin model with uncertainty. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): F, F4, F43, O, O4, O41
Anticipated Technology Shocks: A Re‐Evaluation Using Cointegrated Technologies Staff Working Paper 2017-11 Joel Wagner Two approaches have been taken in the literature to evaluate the relative importance of news shocks as a source of business cycle volatility. The first is an empirical approach that performs a structural vector autoregression to assess the relative importance of news shocks, while the second is a structural-model-based approach. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Productivity JEL Code(s): E, E3, E32
Identifying Asymmetric Comovements of International Stock Market Returns Staff Working Paper 2010-21 Fuchun Li Based on a new approach for measuring the comovements between stock market returns, we provide a nonparametric test for asymmetric comovements in the sense that stock market downturns will lead to stronger comovements than market upturns. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, International topics JEL Code(s): C, C4, C49, F, F2, F21, G, G1, G15, G19
Macroeconomic Predictions Using Payments Data and Machine Learning Staff Working Paper 2022-10 James Chapman, Ajit Desai We demonstrate the usefulness of payment systems data and machine learning models for macroeconomic predictions and provide a set of econometric tools to overcome associated challenges. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C53, C55, E, E3, E37, E4, E42, E5, E52
Financial Development Beyond the Formal Financial Market Staff Working Paper 2018-49 Lin Shao This paper studies the effects of financial development, taking into account both formal and informal financing. Using cross-country firm-level data, we document that informal financing is utilized more by rich countries than poor countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Firm dynamics, Productivity JEL Code(s): E, E4, E44, O, O1, O17, O4, O47
Expropriation Risk and FDI in Developing Countries: Does Return of Capital Dominate Return on Capital? Staff Working Paper 2017-9 M. Akhtaruzzaman, Nathan Berg, Christopher Hajzler Previously reported effects of institutional quality and political risks on foreign direct investment (FDI) are mixed and, therefore, difficult to interpret. We present empirical evidence suggesting a relatively clear, statistically robust, and intuitive characterization. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, International financial markets JEL Code(s): D, D2, D23, F, F2, F21, F23
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 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
Trading on Long-term Information Staff Working Paper 2020-20 Corey Garriott, Ryan Riordan Investors who trade based on good research are said to be the backbone of stock markets: They conduct research to discover the value of stocks and, through their trading, guide financial prices to reflect true value. What can make their job difficult is that high-speed, short-term traders could use machine learning and other technologies to infer when informed investors are trading. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): G, G1, G14, G2, G20, L, L1