A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth Staff discussion paper 2017-8 Tony Chernis, Gabriella Velasco, Calista Cheung This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months). Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C53, E, E3, E32, E37, R, R1, R11 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
Downward Nominal Wage Rigidity, Inflation and Unemployment: New Evidence Using Micro‐Level Data Staff analytical note 2017-6 Dany Brouillette, Natalia Kyui Recent evidence suggests that the extent of downward nominal wage rigidity (DNWR) in the Canadian labour market has risen following the 2008–09 recession (see Brouillette, Kostyshyna and Kyui 2016). Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, E3, E31, J, J3, J30 Research Theme(s): Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures, Real economy and forecasting, Structural challenges, Demographics and labour supply
Volatility Risk and Economic Welfare Staff working paper 2017-20 Shaofeng Xu This paper examines the effects of time-varying volatility on welfare. I construct a tractable endogenous growth model with recursive preferences, stochastic volatility, and capital adjustment costs. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E3 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Real economy and forecasting
The Welfare Effects of Protection: A General Equilibrium Analysis of Canada’s National Policy Staff working paper 2017-18 Patrick Alexander, Ian Keay In this paper, we study the impact of Canada’s adoption of protectionist trade policy in 1879 on Canadian welfare. Under the National Policy the Canadian average weighted tariff increased from 14% to 21%. The conventional view is that this was a distortionary policy that negatively affected Canadian welfare. Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F13, F14, F4, F42, F6, F60, N, N7, N71 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, International trade, finance and competitiveness
Downward Nominal Wage Rigidity Meets the Zero Lower Bound Staff working paper 2017-16 Robert Amano, Stefano Gnocchi We add downward nominal wage rigidity to a standard New Keynesian model with sticky prices and wages, where the zero lower bound on nominal interest rates is allowed to bind. We find that wage rigidity not only reduces the frequency of zero bound episodes but also mitigates the severity of corresponding recessions. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E24, E3, E32, E5, E52 Research Theme(s): Monetary policy, Inflation dynamics and pressures, Monetary policy framework and transmission, Real economy and forecasting
Markov‐Switching Three‐Pass Regression Filter Staff working paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C23, C5, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
April 2017 Annual Reassessment of Potential Output Growth in Canada Staff analytical note 2017-5 Andrew Agopsowicz, Bassirou Gueye, Natalia Kyui, Youngmin Park, Mohanad Salameh, Ben Tomlin This note summarizes the Bank of Canada’s annual reassessment of potential output growth, conducted for the April 2017 Monetary Policy Report. Potential output growth is projected to increase from 1.3 per cent in 2017 to 1.6 per cent by 2020. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E0, E00, E2, E22, E23, E24, E3, E37, E6 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
A Canada-US Comparison of Labour Market Conditions Staff analytical note 2017-4 Dany Brouillette, Katerina Gribbin, Justin-Damien Guénette, James Ketcheson, Olena Kostyshyna, Jonathan Lachaine, Colin Scarffe In this note, we provide a brief comparison of the recent developments in the labour markets in Canada and the United States. Our analysis indicates that slack remains in the Canadian labour market, while the US labour market is close to full employment. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E2, E24, J, J2, J21, J22, J23 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply
Assessing Global Potential Output Growth Staff analytical note 2017-3 Patrick Alexander, Michael Francis, Christopher Hajzler, Patrick Kirby, Louis Poirier, Sri Thanabalasingam, Kristina Hess This note estimates potential output growth for the global economy through 2019. While there is considerable uncertainty surrounding our estimates, overall we expect global potential output growth to rise modestly, from 3.1 per cent in 2016 to 3.4 per cent in 2019. Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E1, E10, E2, E20, O, O4 Research Theme(s): Monetary policy, Real economy and forecasting, Structural challenges, Demographics and labour supply, Digitalization and productivity
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 JEL Code(s): E, E3, E32 Research Theme(s): Models and tools, Economic models, Monetary policy, Real economy and forecasting, Structural challenges, Digitalization and productivity