International topics

• Real-Time Forecasts of the Real Price of Oil

  Staff Working Paper 2011-16 Christiane Baumeister, Lutz Kilian

  We construct a monthly real-time data set consisting of vintages for 1991.1-2010.12 that is suitable for generating forecasts of the real price of oil from a variety of models.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43

• The Role of Financial Speculation in Driving the Price of Crude Oil

  Staff Discussion Paper 2011-6 Ron Alquist, Olivier Gervais

  Over the past 10 years, financial firms have increased the size of their positions in the oil futures market. At the same time, oil prices have increased dramatically.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): International topics JEL Code(s): G, G1, G12, Q, Q4, Q41

• External Stability, Real Exchange Rate Adjustment and the Exchange Rate Regime in Emerging-Market Economies

  Staff Discussion Paper 2011-5 Olivier Gervais, Lawrence L. Schembri, Lena Suchanek

  In emerging-market economies, real exchange rate adjustment is critical for maintaining a sustainable current account position and thereby for helping to reduce macroeconomic and financial instability.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Development economics, Exchange rate regimes, International topics JEL Code(s): F, F3, F31, F32, F4, F41

• Forecasting the Price of Oil

  Staff Working Paper 2011-15 Ron Alquist, Lutz Kilian, Robert Vigfusson

  We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications?

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, Q, Q4, Q43, Q47
• May 19, 2011

  Unconventional Monetary Policy: The International Experience with Central Bank Asset Purchases

  Bank of Canada Review - Spring 2011 Sharon Kozicki, Lena Suchanek, Eric Santor

  As part of their policy response to the financial crisis of 2007–09, central banks introduced numerous unprecedented monetary policy measures to provide monetary easing. This article defines and documents these measures, focusing on central bank asset purchases and their impact on central bank balance sheets. It then discusses the challenges of identifying the effects of these measures and explores possible exit strategies. The potential costs of these policies are also analyzed, as well as the broader implications for monetary policy frameworks.

  Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Central bank research, Financial markets, International topics, Monetary policy framework

• Mixed Frequency Forecasts for Chinese GDP

  Staff Working Paper 2011-11 Philipp Maier

  We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on averaging over indicator models (Stock and Watson, 2004), and a static factor model (Stock and Watson, 2002).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C50, C53, E, E3, E37, E4, E47

• Sovereign Default Risk Premia, Fiscal Limits and Fiscal Policy

  Staff Working Paper 2011-10 Huixin Bi

  We develop a closed economy model to study the interactions among sovereign risk premia, fiscal limits, and fiscal policy. The stochastic fiscal limits, which measure the ability and willingness of the government to service its debt, arise endogenously from a dynamic Laffer curve.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Fiscal policy, International topics JEL Code(s): E, E6, E62, H, H3, H30, H6, H60

• The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada

  Staff Working Paper 2011-2 Garima Vasishtha, Philipp Maier

  Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, International topics JEL Code(s): C, C3, C32, F, F4, F41

• Financial Spillovers Across Countries: The Case of Canada and the United States

  Staff Discussion Paper 2011-1 Kimberly Beaton, Brigitte Desroches

  The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Business fluctuations and cycles, Economic models, Financial stability, International topics JEL Code(s): E, E2, E27, E3, E32, F, F3, F36, F4, F40

• The Propagation of U.S. Shocks to Canada: Understanding the Role of Real-Financial Linkages

  Staff Working Paper 2010-40 Kimberly Beaton, René Lalonde, Stephen Snudden

  This paper examines the transmission of U.S. real and financial shocks to Canada and, in particular, the role of financial frictions in affecting the transmission of these shocks. These questions are addressed within the Bank of Canada's Global Economy Model (de Resende et al. forthcoming), a dynamic stochastic general-equilibrium model with an active banking sector and a detailed role for financial frictions.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): E, E2, E21, E27, E3, E32, F, F3, F36, F4, F40