Domestic demand and components

• 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 Topic(s): Business fluctuations and cycles, Domestic demand and components, Economic models, International topics, Potential output, Uncertainty and monetary policy JEL Code(s): E, E2, E27, E6, E66, F, F0, F01

• Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models

  Staff Analytical Note 2016-8 Farrukh Suvankulov

  This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): E, E2, E22, E27, Q, Q4, Q43, Q47

• What Is Behind the Weakness in Global Investment?

  Staff Discussion Paper 2016-5 Maxime Leboeuf, Robert Fay

  The recovery in private business investment globally remains extremely weak more than seven years after the financial crisis. This paper contributes to the ongoing policy debate on the factors behind this weakness by analyzing the role of growth prospects and uncertainty in explaining developments in non-residential private business investment in large advanced economies since the crisis.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Business fluctuations and cycles, Central bank research, Domestic demand and components, Economic models, International topics, Recent economic and financial developments, Uncertainty and monetary policy JEL Code(s): C, C2, C23, C3, C33, D, D2, D24, D8, D80, D84, E, E2, E22, F, F0, F01, G, G3, G31

• Credit Conditions and Consumption, House Prices and Debt: What Makes Canada Different?

  Staff Working Paper 2015-40 John Muellbauer, Pierre St-Amant, David Williams

  There is widespread agreement that, in the United States, higher house prices raise consumption via collateral or possibly wealth effects. The presence of similar channels in Canada would have important implications for monetary policy transmission.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Credit and credit aggregates, Domestic demand and components, Economic models, Financial Institutions, Financial stability, Financial system regulation and policies, Housing, Transmission of monetary policy JEL Code(s): E, E0, E02, E2, E21, E4, E44, G, G2, G21, R, R2, R21, R3, R31

• Heterogeneity in the Dynamic Effects of Uncertainty on Investment

  Staff Working Paper 2015-34 Sungje Byun, Soojin Jo

  How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C22, C23, D, D8, D80, E, E2, E22

• Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004

  Staff Working Paper 2015-22 Geoffrey R. Dunbar, Chunling Fu

  We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Domestic demand and components JEL Code(s): H, H2, H26, I, I3, I32, K, K4, K42

• The Propagation of Industrial Business Cycles

  Staff Working Paper 2014-48 Maximo Camacho, Danilo Leiva-Leon

  This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C2, C22, E, E2, E27, E3, E32

• Banks’ Financial Distress, Lending Supply and Consumption Expenditure

  Staff Working Paper 2014-7 H. Evren Damar, Reint Gropp, Adi Mordel

  The paper employs a unique identification strategy that links survey data on household consumption expenditure to bank-level data in order to estimate the effects of bank financial distress on consumer credit and consumption expenditures.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Credit and credit aggregates, Domestic demand and components, Financial Institutions JEL Code(s): E, E2, E21, E4, E44, G, G0, G01, G2, G21

• House Prices, Consumption and the Role of Non-Mortgage Debt

  Staff Working Paper 2013-2 Katya Kartashova, Ben Tomlin

  This paper examines the relationship between house prices and consumption, through the use of debt. Using unique Canadian household-level data that reports the uses of debt, we begin by looking at the relationship between house prices and debt.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Credit and credit aggregates, Domestic demand and components JEL Code(s): D, D1, D10, D14, D3, D31, E, E2, E21

• House Price Dynamics: Fundamentals and Expectations

  Staff Working Paper 2012-12 Eleonora Granziera, Sharon Kozicki

  We investigate whether expectations that are not fully rational have the potential to explain the evolution of house prices and the price-to-rent ratio in the United States.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Domestic demand and components, Economic models JEL Code(s): E, E3, E6, E65, R, R2, R21