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
Supply Drivers of US Inflation Since the COVID-19 Pandemic Staff Working Paper 2023-19 Serdar Kabaca, Kerem Tuzcuoglu This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31, E32
Rising US LNG Exports and Global Natural Gas Price Convergence Staff Discussion Paper 2021-14 Robert Ialenti We assess how rising exports of US liquefied natural gas affect the convergence of natural gas prices worldwide. Our results may have implications for the development of future LNG export capacity in Canada. Content Type(s): Staff research, Staff discussion papers Topic(s): International topics, Market structure and pricing JEL Code(s): C, C3, C32, F, F1, F15, K, K4, K41, L, L9, L95
Shaping the future: Policy shocks and the GDP growth distribution Staff Working Paper 2021-24 Francois-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt Can central bank and government policies impact the risks around the outlook for GDP growth? We find that fiscal stimulus makes strong GDP growth more likely—even more so when monetary policy is constrained—rather than weak GDP growth less likely. Thus, fiscal stimulus should accelerate the recovery phase of the COVID-19 pandemic. Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Financial stability, Fiscal policy, Monetary policy JEL Code(s): C, C3, C32, C5, C53, E, E5, E52, E6, E62
Understanding Trend Inflation Through the Lens of the Goods and Services Sectors Staff Working Paper 2020-45 Yunjong Eo, Luis Uzeda, Benjamin Wong The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52
On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity Staff Working Paper 2020-42 Ruben Hipp Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Financial stability JEL Code(s): C, C1, C3, C32, C5, C58, L, L1, L14
Cyclicality of Schooling: New Evidence from Unobserved Components Models Staff Working Paper 2020-38 Barbara Sadaba, Sunčica Vujič, Sofia Maier What is the time-varying impact of economic cycles on decisions to invest in human capital? Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, I, I2, J, J2
Canadian Financial Stress and Macroeconomic Conditions Staff Discussion Paper 2020-4 Thibaut Duprey Severe disruptions in the financial markets, as observed during the 2008 global financial crisis or the COVID-19 pandemic, can impair the stability of the entire financial system and worsen macroeconomic downturns. Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Coronavirus disease (COVID-19), Financial markets, Financial stability, Monetary and financial indicators JEL Code(s): C, C3, C32, E, E4, E44, G, G0, G01
Endogenous Time Variation in Vector Autoregressions Staff Working Paper 2020-16 Danilo Leiva-Leon, Luis Uzeda We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52