Research Topics

Publications on Canada

There are 3 publications for Canada.
  • The Empirics of Canadian Government Securities Yields

    Working Paper No. 944 | January 2020
    Keynes argued that the short-term interest rate is the main driver of the long-term interest rate. This paper empirically models the relationship between short-term interest rates and long-term government securities yields in Canada, after controlling for other important financial variables. The statistical analysis uses high-frequency daily data from 1990 to 2018. It applies both the cointegration technique and Granger causality within the vector error correction (VEC) framework. The empirical results suggest that the action of the monetary authority is an important determinant of Canadian government securities yields, which supports the Keynesian perspective. These findings have important implications for investors, financial analysts, and policymakers.
    Associated Program:
    Tanweer Akram Anupam Das

  • The Levy Institute Measure of Economic Well-Being: Estimates for Canada, 1999 and 2005

    Working Paper No. 680 | July 2011

    This report presents estimates of the Levy Institute Measure of Economic Well-Being (LIMEW) for a representative sample of Canadian households in 1999 and 2005. The results indicate that there was only modest growth in the average Canadian household’s total command over economic resources in the six years between 1999 and 2005. Although inequality in economic well-being increased slightly over the 1999–2005 period, the LIMEW was more equally distributed across Canadian households than more common income measures (such as after-tax income) in both 1999 and 2005. The median household’s economic well-being was lower in Canada than in the United States in both years.

    Associated Programs:
    Andrew Sharpe Alexander Murray Benjamin Evans Elspeth Hazell

  • Quality of Match for Statistical Matches Used in the 1999 and 2005 LIMEW Estimates for Canada

    Working Paper No. 615 | September 2010
    The quality of match of four statistical matches used in the LIMEW estimates for Canada for 1999 and 2005 is described. The first match combines the 1999 Survey of Financial Security (SFS) with the 1999 Survey of Labour and Income Dynamics (SLID). The second match combines the 1998 General Social Survey (GSS) with the 1999 SLID. The third match combines the 2005 SFS with the 2005 SLID. The fourth match combines the 2005 GSS with the 2005 SLID. In each case, the alignment of the two datasets is examined, after which various aspects of the match quality are described. Also in each case, the matches are of high quality, given the nature of the source datasets.

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