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54 Results

Networking the Yield Curve: Implications for Monetary Policy

We study how different monetary policies affect the yield curve and interact. Our study highlights the importance of the spillover structure across the yield curve for policy-making.

Household indebtedness risks in the wake of COVID‑19

Staff Analytical Note 2020-8 Olga Bilyk, Anson T. Y. Ho, Mikael Khan, Geneviève Vallée
COVID-19 presents challenges for indebted households. We assess these by drawing parallels between pandemics and natural disasters. Taking into account the financial health of the household sector when the pandemic began, we run model simulations to illustrate how payment deferrals and the labour market recovery will affect mortgage defaults.

How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections

Staff Discussion Paper 2019-6 Olivier Gervais
We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.

Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects

Staff Working Paper 2019-16 Kerem Tuzcuoglu
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.

Disentangling the Factors Driving Housing Resales

Staff Analytical Note 2019-12 Mikael Khan, Taylor Webley
We use a recently developed model and loan-level microdata to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period.

Fundamental Drivers of Existing Home Sales in Canada

Staff Discussion Paper 2018-16 Taylor Webley
Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility.

Does US or Canadian Macro News Drive Canadian Bond Yields?

Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni Donfack
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.

The Size and Destination of China’s Portfolio Outflows

Staff Discussion Paper 2018-11 Rose Cunningham, Eden Hatzvi, Kun Mo
The size of China’s financial system raises the possibility that the liberalization of its capital account could have a large effect on the global financial system. This paper provides a counterfactual scenario analysis that estimates what the size and direction of China’s overseas portfolio investments would have been in 2015 if China had had no restrictions on these outflows.

How Long Does It Take You to Pay? A Duration Study of Canadian Retail Transaction Payment Times

Staff Working Paper 2018-46 Geneviève Vallée
Using an exclusive data set of payment times for retail transactions made in Canada, I show that cash is the most time-efficient method of payment (MOP) when compared with payments by debit and credit cards. I model payment efficiency using Cox proportional hazard models, accounting for consumer choice of MOP.