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    <title>EconStor Community: Bank of Canada, Ottawa</title>
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    <title>Nowcasting the global economy</title>
    <link>http://hdl.handle.net/10419/66972</link>
    <description>Title: Nowcasting the global economy
&lt;br/&gt;
&lt;br/&gt;Authors: Rossiter, James
&lt;br/&gt;
&lt;br/&gt;Abstract: Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI). When compared against two benchmark models, the results show that the PMIs are useful for forecasting developments in the global economy. As the forecasts are updated throughout the quarter with the monthly release of the PMI, forecasting performance generally improves. An analysis of the forecasts over the period of the Great Recession (in particular, 2008Q4 to 2009Q2) shows that, while models that include the soft PMI indicators did not fully capture the sharp deterioration in the global economy, they nevertheless improved the forecasts relative to the benchmark models. This finding highlights the usefulness of such indicators for short-term forecasting.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/66970">
    <title>Relative price movements and labour productivity in Canada: A VAR analysis</title>
    <link>http://hdl.handle.net/10419/66970</link>
    <description>Title: Relative price movements and labour productivity in Canada: A VAR analysis
&lt;br/&gt;
&lt;br/&gt;Authors: Dolega, Michael; Dupuis, David; Pichette, Lise
&lt;br/&gt;
&lt;br/&gt;Abstract: In recent years, the Canadian economy has been affected by strong movements in relative prices brought about by the surging costs of energy and non-energy commodities, with significant implications for the terms of trade, the exchange rate, and the allocation of resources across Canadian sectors and regions. While the energy and mining industries have benefited from these movements, the pressure on the manufacturing sector has intensified, since many firms in this sector were already dealing with growing competition from low-cost economies such as China. The adjustments undertaken within the Canadian economy are readily noticeable through investment decisions, as well as through production and employment reallocation. Using vector autoregressive techniques, the authors examine how an appreciation in commodity prices and the subsequent reallocation of resources across sectors will affect hours worked and output growth and, ultimately, aggregate and sectoral labour productivity growth in Canada. Results suggest that the impact of a positive relative price shock will - in the adjustment process - lower productivity growth in the primary and the non-tradable sectors, and increase it somewhat in the manufacturing sector. The overall impact appears to be slightly negative on aggregate labour productivity growth, but this effect is only temporary.</description>
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  <item rdf:about="http://hdl.handle.net/10419/66971">
    <title>Financial frictions, financial shocks and labour market fluctuations in Canada</title>
    <link>http://hdl.handle.net/10419/66971</link>
    <description>Title: Financial frictions, financial shocks and labour market fluctuations in Canada
&lt;br/&gt;
&lt;br/&gt;Authors: Zhang, Yahong
&lt;br/&gt;
&lt;br/&gt;Abstract: What are the effects of financial market imperfections on unemployment and vacancies in Canada? The author estimates the model of Zhang (2011) - a standard monetary dynamic stochastic general-equilibrium model augmented with explicit financial and labour market frictions - with Canadian data for the period 1984Q2-2010Q4, and uses it to examine the importance of financial shocks on labour market fluctuations in Canada. She finds that the estimated value of the elasticity of external finance, the key parameter capturing financial frictions, is much higher than the value suggested in the literature. This gives rise to a larger amplification effect from the financial accelerator mechanism, which helps the model generate a more volatile labour market. The author finds that the model accounts well for the cyclical behaviour of unemployment and vacancies observed in the data. She also finds that financial shocks are one of the main sources of fluctuations in the Canadian labour market. Overall, financial shocks contribute about 30 per cent of the fluctuations in unemployment and vacancies for the Canadian economy.</description>
  </item>
  <item rdf:about="http://hdl.handle.net/10419/66969">
    <title>A note on central counterparties in repo markets</title>
    <link>http://hdl.handle.net/10419/66969</link>
    <description>Title: A note on central counterparties in repo markets
&lt;br/&gt;
&lt;br/&gt;Authors: Tomura, Hajime
&lt;br/&gt;
&lt;br/&gt;Abstract: The author introduces a central counterparty (CCP) into a model of a repo market. Without the CCP, there exist multiple equilibria in the model. In one of the equilibria, a repo market emerges as bond dealers and cash investors choose to arrange repos in an over-the-counter bond market. In another equilibrium, the repo market collapses due to aggregate cash shortage for dealers. Introducing a CCP into the repo market blocks the latter equilibrium. This stabilizing effect of a CCP is robust to idiosyncratic default risk of dealers and asymmetric information about the risk.</description>
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