Business fluctuations and cycles

• Business Cycles in Small, Open Economies: Evidence from Panel Data Between 1900 and 2013

  Staff Working Paper 2016-48 Thuy Lan Nguyen, Wataru Miyamoto

  Using a novel data set for 17 countries dating from 1900 to 2013, we characterize business cycles in both small developed and developing countries in a model with financial frictions and a common shock structure. We estimate the model jointly for these 17 countries using Bayesian methods.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E1, E13, E3, E32, F, F4, F41, F44

• Fragility of Resale Markets for Securitized Assets and Policy of Asset Purchases

  Staff Working Paper 2016-46 Martin Kuncl

  Markets for securitized assets were characterized by high liquidity prior to the recent financial crisis and by a sudden market dry-up at the onset of the crisis. A general equilibrium model with heterogeneous investment opportunities and information frictions predicts that, in boom periods or mild recessions, the degree of adverse selection in resale markets for securitized assets is limited because of the reputation-based guarantees by asset originators.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Economic models, Financial markets, Financial stability, Financial system regulation and policies JEL Code(s): E, E3, E32, E5, G, G0, G01, G2
• October 6, 2016

  Economic Trends and Monetary Policy

  Remarks Carolyn A. Wilkins Université du Québec à Trois-Rivières Trois-Rivières, Quebec

  Senior Deputy Governor Carolyn Wilkins talks about the major trends of the Canadian economy and how they affect monetary policy.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Inflation and prices, Monetary policy, Recent economic and financial developments, Regional economic developments

• Interpreting Volatility Shocks as Preference Shocks

  Staff Working Paper 2016-45 Shaofeng Xu

  This paper examines the relationship between volatility shocks and preference shocks in an analytically tractable endogenous growth model with recursive preferences and stochastic volatility. I show that there exists an explicit mapping between volatility shocks and preference shocks, and a rise in volatility generates the same impulse responses of macroeconomic aggregates as a negative preference shock.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E2, E3

• The Global Benefits of Low Oil Prices: More Than Meets the Eye

  Staff Analytical Note 2016-13 Robert Fay, Justin-Damien Guénette, Louis Morel

  Between mid-2014 and early 2016, oil prices fell by roughly 65 per cent. This note documents the channels through which this oil price decline is expected to affect the global economy. One important and immediate channel is through higher expenditures, especially in net oil-importing countries.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, International topics, Recent economic and financial developments JEL Code(s): E, E3, E32, E37, F, F0, F01, Q, Q4, Q43

• Implementing Cross-Border Interbank Lending in BoC-GEM-FIN

  Staff Discussion Paper 2016-19 Malik Shukayev, Argyn Toktamyssov

  BIS interbank lending data show that the Great Recession generated large and persistent changes in the international interbank lending positions of various countries. The main objective of this study is to understand the role of changes in international interbank credit flows in transmitting shocks across borders.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E2, E27, E3, E37, F, F4, F47

• The Case of Serial Disappointment

  Staff Analytical Note 2016-10 Justin-Damien Guénette, Nicholas Labelle, Martin Leduc, Lori Rennison

  Similar to those of other forecasters, the Bank of Canada’s forecasts of global GDP growth have shown persistent negative errors over the past five years. This is in contrast to the pre-crisis period, when errors were consistently positive as global GDP surprised to the upside. All major regions have contributed to the forecast errors observed since 2011, although the United States has been the most persistent source of notable errors.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Economic models, International topics, Monetary policy and uncertainty, Potential output JEL Code(s): E, E2, E27, E6, E66, F, F0, F01

• Housing Market Dynamics and Macroprudential Policy

  Staff Working Paper 2016-31 Gabriel Bruneau, Ian Christensen, Césaire Meh

  We perform an analysis to determine how well the introduction of a countercyclical loanto- value (LTV) ratio can reduce household indebtedness and housing price fluctuations compared with a monetary policy rule augmented with house price inflation.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial stability, Housing, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E42, H, H2, H23
• June 15, 2016

  The Canadian Economy: A Progress Report

  Remarks Stephen S. Poloz Yukon Chamber of Commerce Whitehorse, Yukon

  Governor Stephen S. Poloz talks about the outlook for Canada’s economy and the adjustment to lower resource prices.

  Content Type(s): Press, Speeches and appearances, Remarks Research Topic(s): Business fluctuations and cycles, Domestic demand and components, Monetary policy, Monetary policy and uncertainty, Recent economic and financial developments, Regional economic developments

• What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

  Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin

  This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44