Let’s Get Physical: Impacts of Climate Change Physical Risks on Provincial Employment Staff Working Paper 2024-32 Thibaut Duprey, Soojin Jo, Geneviève Vallée We analyze 40 years’ worth of natural disasters using a local projection framework to assess their impact on provincial labour markets in Canada. We find that disasters decrease hours worked within a week and lower wage growth in the medium run. Our study highlights that disasters affect vulnerable workers through the income channel. Content Type(s): Staff research, Staff working papers Topic(s): Climate change, Labour markets, Regional economic developments JEL Code(s): C, C3, C33, E, E2, E24, J, J3, Q, Q5, Q54
Decision Synthesis in Monetary Policy Staff Working Paper 2024-30 Tony Chernis, Gary Koop, Emily Tallman, Mike West We use Bayesian predictive decision synthesis to formalize monetary policy decision-making. We develop a case-study of monetary policy decision-making of an inflation-targeting central bank using multiple models in a manner that considers decision goals, expectations and outcomes. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Monetary policy JEL Code(s): C, C1, C11, C3, C32, C5, C53
Untapped Potential: Mobile Device Ownership and Mobile Payments in Canada Staff Working Paper 2024-25 Marie-Hélène Felt, Angelika Welte, Katrina Talavera We present a two-stage model of mobile phone and mobile payment usage that controls for selectivity. This reveals unobserved factors that work against having a mobile phone and toward mobile paying. Therefore, people who are unable to acquire or choose not to own a mobile device might have unmet payment needs. Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C3, C39, D, D1, D12, E, E4, E42
Decomposing Systemic Risk: The Roles of Contagion and Common Exposures Staff Working Paper 2024-19 Grzegorz Halaj, Ruben Hipp We examine systemic risks within the Canadian banking sector, decomposing them into three contribution channels: contagion, common exposures, and idiosyncratic risk. Through a structural model, we dissect how interbank relationships and market conditions contribute to systemic risk, providing new insights for financial stability. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models, Financial institutions, Financial stability JEL Code(s): C, C3, C32, C5, C51, G, G2, G21, L, L1, L14
Predictive Density Combination Using a Tree-Based Synthesis Function Staff Working Paper 2023-61 Tony Chernis, Niko Hauzenberger, Florian Huber, Gary Koop, James Mitchell This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C11, C3, C32, C5, C53
Finding the balance—measuring risks to inflation and to GDP growth Staff Analytical Note 2023-18 Bruno Feunou, James Kyeong Using our new quantitative tool, we show how the risks to the inflation and growth outlooks have evolved over the course of 2023. Content Type(s): Staff research, Staff analytical notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17
Making It Real: Bringing Research Models into Central Bank Projections Staff Discussion Paper 2023-29 Marc-André Gosselin, Sharon Kozicki Macroeconomic projections and risk analyses play an important role in guiding monetary policy decisions. Models are integral to this process. This paper discusses how the Bank of Canada brings research models and lessons learned from those models into the central bank projection environment. Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Monetary policy JEL Code(s): C, C3, C32, C5, C51, E, E3, E37, E4, E47, E5, E52
Forecasting Risks to the Canadian Economic Outlook at a Daily Frequency Staff Discussion Paper 2023-19 Chinara Azizova, Bruno Feunou, James Kyeong This paper quantifies tail risks in the outlooks for Canadian inflation and real GDP growth by estimating their conditional distributions at a daily frequency. We show that the tail risk probabilities derived from the conditional distributions accurately reflect realized outcomes during the sample period from 2002 to 2022. Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C58, E, E4, E44, G, G1, G17
Global Demand and Supply Sentiment: Evidence from Earnings Calls Staff Working Paper 2023-37 Temel Taskin, Franz Ulrich Ruch This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Econometric and statistical methods, Inflation and prices, International topics JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, G, G1, G10
What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada? Staff Discussion Paper 2023-13 Marc-André Gosselin, Temel Taskin We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time. Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Domestic demand and components, Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C1, C3, E, E3, E5