Government of Canada

About: Government of Canada is a government organization based out in Ottawa, Ontario, Canada. It is known for research contribution in the topics: Monetary policy & Productivity. The organization has 796 authors who have published 886 publications receiving 21366 citations. The organization is also known as: federal government of Canada & Her Majesty's Government.

Industry Effects of Oil Price Shocks: Re-Examination

Abstract: Sectoral responses to oil price shocks help determine how these shocks are transmitted through the economy. Textbook treatments of oil price shocks often emphasize negative supply effects on oil importing countries. By contrast, the seminal contribution of Lee and Ni (2002) has shown that almost all U.S. industries experience oil price shocks largely through a reduction in their respective demands. Only industries with very high oil intensities face a supply-driven reduction. In this paper, we re-examine this seminal findings using two additional decades of data. Further, we apply updated empirical methods, including structural factor-augmented vector autoregressions, that take into account how industries are linked among themselves and with the remainder of the macro-economy. Our results confirm the original finding of Lee and Ni that demand effects of oil price shocks dominate in all but a handful of U.S. industries.

Comparing Heavy-Tailed Distributions in Fitting the Canadian Stock Market Returns

Abstract: Much of financial engineering is based on so-called “complete markets” and on the use of the Black-Scholes formula. The formula relies on the assumption that asset prices follow a log-normal distribution, or in other words, the daily fluctuations in prices viewed as percentage changes follow a Gaussian distribution. On the contrary, studies of actual asset prices show that they do not follow a log-normal distribution. In this paper, we investigate several widely-used heavy-tailed distributions. Our results indicate that the Skewed t distribution has the best empirical performance in fitting the Canadian stock market returns. We claim the results are valuable for market participants and the financial industry.

The Curious Incident of Luxury Imports during the Top-Income Surge

Abstract: Atkinson, Piketty, and Saez [2011] find a post-1979 surge in taxfiler top income shares in “English speaking countries” (surge countries) but not in “continental European countries and Japan” (no-surge countries). We find the puzzle that Comtrade import-to-GDP ratios and import-to-total-import ratios for apparent luxuries pearls, precious stones, diamonds, works of art, jewellery, furs and coins do not increase post-1979 in surge countries relative to no-surge countries. Explanations could include issues with the taxfiler or import data or that top income individuals do not have a particularly high marginal to propensity to consume these luxury goods, at least within their own country. Overall, this is a fragment of evidence that there may not have been a large post-1979 increase in top-end domestic consumption inequality in surge countries compared to no-surge countries.

Cost-Benefit Analysis of Developmental Prevention

Abstract: This chapter provides a cost-benefit analysis of developmental crime prevention. From a life-course perspective, developmental prevention offers an intriguing solution to address growing concerns regarding current criminal justice practices, given the growing body of research that suggests that this type of intervention is both results-oriented and fiscally responsible. To this end, this chapter lays out the case for the economics of developmental crime prevention. It next provides an overview of the methodological basis, and related considerations, of a cost-benefit analysis, which assigns monetary values to program outcomes relative to program costs so as to provide an estimate of the financial return on investment. The chapter then reviews the leading cost-benefit analysis studies in developmental crime prevention today and offers a glimpse at the future of such research.