Staff research

• L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme

  Staff Working Paper 1996-14 Jean-François Fillion

  This paper examines the effects that Canada's indebtedness has on Canadian real long-term interest rates, using the vector error-correction model (VECM). Our results show that there is a strongly cointegrated relationship between real interest rates in Canada, U.S. real interest rates, and Canadian public and external debt ratios.

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Interest rates JEL Code(s): E, E4, E43, F, F3, F30, H, H6, H60

• The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter

  Technical Report No. 77 Leo Butler

  The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C51, E, E2, E23

• Speculative Behaviour, Regime-Switching and Stock Market Crashes

  Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller

  This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12