Applying the Wage-Common to Canadian Provinces Staff Analytical Note 2018-16 Jonathan Lachaine As at the national level, available sources of hourly wage data for Canadian provinces sometimes send conflicting signals about wage growth. This note has two objectives. First, we develop a common measure of provincial wages (the provincial wage-common) to better capture the underlying wage pressures, reflecting the overall trend across all data sources. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Labour markets, Recent economic and financial developments JEL Code(s): C, C3, C38, J, J3
Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement Staff Working Paper 2018-21 Elena Goldman, Xiangjin Shen We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G1, G19, G2, G23, G28
The (Un)Demand for Money in Canada Staff Working Paper 2018-20 Casey Jones, Geoffrey R. Dunbar A novel dataset from the Bank of Canada is used to estimate the deposit functions for banknotes in Canada for three denominations: $1,000, $100 and $50. The broad flavour of the empirical findings is that denominations are different monies, and the structural estimates identify the underlying sources of the non-neutrality. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C3, C31, C36, E, E4, E41
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
Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities Staff Analytical Note 2018-6 Thibaut Duprey When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Financial system regulation and policies, Monetary and financial indicators, Monetary policy and uncertainty, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C11, C15, E, E1, E17, E3, E32, E37, E4, E44, E47, E5, E58, E6, E66, G, G0, G01, G1, G18
Can Media and Text Analytics Provide Insights into Labour Market Conditions in China? Staff Working Paper 2018-12 Jeannine Bailliu, Xinfen Han, Mark Kruger, Yu-Hsien Liu, Sri Thanabalasingam The official Chinese labour market indicators have been seen as problematic, given their small cyclical movement and their only-partial capture of the labour force. In our paper, we build a monthly Chinese labour market conditions index (LMCI) using text analytics applied to mainland Chinese-language newspapers over the period from 2003 to 2017. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics, Labour markets JEL Code(s): C, C3, C38, C5, C55, E, E2, E24, E27
Dismiss the Gap? A Real-Time Assessment of the Usefulness of Canadian Output Gaps in Forecasting Inflation Staff Working Paper 2018-10 Lise Pichette, Marie-Noëlle Robitaille, Mohanad Salameh, Pierre St-Amant We use a new real-time database for Canada to study various output gap measures. This includes recently developed measures based on models incorporating many variables as inputs (and therefore requiring real-time data for many variables). Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C5, C53, E, E3, E37
The Government of Canada Debt Securities Data Set Technical Report No. 112 Jeffrey Gao, Francisco Rivadeneyra, Gabriel Rodriguez Rondon We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017. Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Econometric and statistical methods, Financial markets JEL Code(s): C, C8, C80, G, G1, G10, H, H6, H63
A Calibrated Model of Intraday Settlement Staff Discussion Paper 2018-3 Héctor Pérez Saiz, Siddharth Untawala, Gabriel Xerri This paper estimates potential exposures, netting benefits and settlement gains by merging retail and wholesale payments into batches and conducting multiple intraday settlements in this hypothetical model of a single "calibrated payments system." The results demonstrate that credit risk exposures faced by participants in the system are largely dependent on their relative activity in the retail and wholesale payments systems. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23
Tail Risk in a Retail Payment System: An Extreme-Value Approach Staff Discussion Paper 2018-2 Héctor Pérez Saiz, Blair Williams, Gabriel Xerri The increasing importance of risk management in payment systems has led to the development of an array of sophisticated tools designed to mitigate tail risk in these systems. In this paper, we use extreme value theory methods to quantify the level of tail risk in the Canadian retail payment system (ACSS) for the period from 2002 to 2015. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23