C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models

• How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections

  Staff Discussion Paper 2019-6 Olivier Gervais

  We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): C, C2, C22, C5, E, E3, E37, Q, Q4, Q43

• Disentangling the Factors Driving Housing Resales

  Staff Analytical Note 2019-12 Mikael Khan, Taylor Webley

  We use a recently developed model and loan-level microdata to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Econometric and statistical methods, Financial stability, Financial system regulation and policies, Housing, Recent economic and financial developments JEL Code(s): C, C2, C22, E, E2, R, R2, R21

• Fundamental Drivers of Existing Home Sales in Canada

  Staff Discussion Paper 2018-16 Taylor Webley

  Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Econometric and statistical methods, Economic models, Housing JEL Code(s): C, C2, C22, C23, E, E2, E27, R, R2, R21

• Does US or Canadian Macro News Drive Canadian Bond Yields?

  Staff Analytical Note 2018-38 Bruno Feunou, Rodrigo Sekkel, Morvan Nongni Donfack

  We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Financial markets, International topics, Monetary Policy JEL Code(s): C, C2, C22, E, E4, E43

• Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns

  Staff Working Paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba

  Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Exchange rates, International financial markets JEL Code(s): C, C2, C22, C5, C52, C53, F, F3, F31
• May 11, 2017

  Why Is Global Business Investment So Weak? Some Insights from Advanced Economies

  Bank of Canada Review - Spring 2017 Robert Fay, Justin-Damien Guénette, Martin Leduc, Louis Morel

  Various drivers of business investment can be used to explain the underwhelming performance of investment in advanced economies since the global financial crisis, particularly since 2014. The slow growth in aggregate demand cannot by itself explain the full extent of the recent weakness in investment, which appears to be linked primarily to the collapse of global commodity prices and a rise in economic uncertainty. Looking ahead, business investment growth is likely to remain slower than in the pre-crisis period, largely because of structural factors such as population aging.

  Content Type(s): Publications, Bank of Canada Review Article Topic(s): Business fluctuations and cycles, Domestic demand and components, Economic models, International topics, Recent economic and financial developments, Uncertainty and monetary policy JEL Code(s): C, C2, C22, D, D2, D24, D8, D80, E, E2, E22, F, F0, F01, G, G3, G31

• Markov‐Switching Three‐Pass Regression Filter

  Staff Working Paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino

  We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C23, C5, C53

• 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

• 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

• Which Parametric Model for Conditional Skewness?

  Staff Working Paper 2013-32 Bruno Feunou, Mohammad R. Jahan-Parvar, Roméo Tedongap

  This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C51, G, G1, G12, G15