The COVID-19 pandemic and the resulting public health mitigation have caused large-scale economic disruptions globally. During this time, there is an increased need to predict the macroeconomy's short-term dynamics to ensure the effective implementation of fiscal and monetary policy. However,...

We introduce a flexible, time-varying network model to trace the propagation of interest rate surprises across different maturities. First, we develop a novel econometric framework that allows for unknown, potentially asymmetric contemporaneous spillovers across panel units and establish the...

We build a model for bond yields based on a small-scale representation of an economy with secular declines in inflation, the real rate and output growth. Long-run restrictions identify nominal shocks that influence long-run inflation but do not influence the long-run real rate or output growth....

This paper studies the evolution of individual earnings inequality and dynamics in Canada from 1983 to 2016 using tax files and administrative records. Linking these individuals to their employers (and rich administrative records on firms) beginning in 2001, it also documents the relationship...

Recent discussions on climate change have led to an interest in its potential impact on economic phenomena and public policy. In this paper, we focus on one aspect of the climate change question by documenting the time-series properties of temperatures across Canada. In particular, we examine...

The aim of this paper is to examine which payment instruments Canadians use for paying bills and to assess the factors driving their bill payment behaviour. I use 2019 survey data collected among over 4,000 Canadians and estimate a set of binomial and multinomial regressions to assess the...

We incorporate quantile regressions into a structural vector autoregression model to empirically assess how monetary and fiscal policy influence risks around future GDP growth. Using a panel of six developed countries, we find that both policy instruments affect the location of the distribution...

Combining the high-frequency multidimensional approach of Gürkaynak et al. (2005) with Greenbook measures of the Federal Reserve's information set as in Romer and Romer (2004), I propose a new method of constructing a monetary policy shock that occurs on Federal Reserve announcement days. I...

We analyze micro-level data from the Danish credit register and find that female business owners pay higher interest rates on corporate loans than male owners. The gender gap is partly explained by differences in firm and loan characteristics. However, an economically and statistically...

We estimate sectoral spillovers around the Great Moderation with the help of forecast error variance decomposition tables. Obtaining such tables in high dimensions is challenging since they are functions of the estimated vector autoregressive coefficients and the residual covariance matrix. In a...