E - Macroeconomics and Monetary Economics

• Constraints on the Conduct of Canadian Monetary Policy in the 1990s: Dealing with Uncertainty in Financial Markets

  Technical Report No. 80 Kevin Clinton, Mark Zelmer

  Canada's economic performance in the first half of the 1990s was adversely affected by high premiums in interest rates that were brought on by political and economic uncertainties.

  Content Type(s): Staff research, Technical reports Topic(s): Monetary policy and uncertainty, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E5, E58

• Modelling the Behaviour of U.S. Inventories: A Cointegration-Euler Approach

  Staff Working Paper 1997-19 Iris Claus

  Cyclical contractions are often referred to as inventory cycles, in part because movements in inventories can amplify cyclical fluctuations in output. An unanticipated slowing in demand generally leads to an unintended buildup of inventories: only with a lag do firms adjust production and their actual holding of inventories relative to the desired level.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): E, E2, E22

• A Measure of Underlying Inflation in the United States

  Staff Working Paper 1997-20 Iris Claus

  A monetary authority with the primary objective of price stability has to distinguish between temporary price shocks and persistent shocks to the rate of inflation. A measure of underlying inflation, therefore, has an important role to play as a guideline for monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31

• Les marchés du travail régionaux : une comparaison entre le Canada et les États-Unis

  Staff Working Paper 1997-17 Mario Lefebvre

  The purpose of this study is to compare the behaviour of regional labour markets in Canada and the United States. The study shows that the degree of persistence of unemployment is significantly higher in the provinces of Canada than it is in the various American regions.

  Content Type(s): Staff research, Staff working papers Topic(s): Labour markets, Recent economic and financial developments JEL Code(s): E, E2, E24

• Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets

  Staff Working Paper 1997-18 David Watt

  This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43

• Canadian Policy Analysis Model: CPAM

  Staff Working Paper 1997-16 Richard Black, David Rose

  This paper documents the structure and properties of the Canadian Policy Analysis Model (CPAM). CPAM is designed to provide a reasonably complete representation of the Canadian macro economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17

• The Effects of Budget Rules on Fiscal Performance and Macroeconomic Stabilization

  Staff Working Paper 1997-15 Jonathan Millar

  Budget rules can be defined as legislated or constitutional constraints on government deficits, taxes, expenditures, or debt. This paper reviews the budget rules recently legislated in six of Canada's provinces and both of its territories, as well as budget rules in other OECD countries.

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy JEL Code(s): E, E6, E62, H, H3, H6, H61

• Menu Costs, Relative Prices, and Inflation: Evidence for Canada

  Staff Working Paper 1997-14 Robert Amano, Tiff Macklem

  The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): C, C5, C52, E, E3, E31

• What Does Downward Nominal-Wage Rigidity Imply for Monetary Policy?

  Staff Working Paper 1997-13 Seamus Hogan

  A recent paper has suggested there might be a trade-off between inflation and unemployment at low inflation rates and this has led some economists to recommend that Canada increase its inflation rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C5, C52, E, E2, E24, E5, E50

• A Micro Approach to the Issue of Hysteresis in Unemployment: Evidence from the 1988­1990 Labour Market Activity Survey

  Staff Working Paper 1997-12 Gordon Wilkinson

  This paper uses a rich set of microeconomic labour market data—the 1988­90 Labour Market Activity Survey published by Statistics Canada—to test whether there is negative duration dependence in unemployment spells. It updates and extends similar work carried out by Jones (1995) who used the 1986­87 Labour Market Activity Survey.

  Content Type(s): Staff research, Staff working papers Topic(s): Labour markets JEL Code(s): E, E2, E24