Staff research

• Yield Curve Modelling at the Bank of Canada

  Technical Report No. 84 David Bolder, David Stréliski

  The primary objective of this paper is to produce a framework that could be used to construct a historical data base of zero-coupon and forward yield curves estimated from Government of Canada securities' prices.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models

• Forecasting GDP Growth Using Artificial Neural Networks

  Staff Working Paper 1999-3 Greg Tkacz, Sarah Hu

  Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary and financial indicators JEL Code(s): C, C4, C45, E, E3, E37, E4, E44

• Capital Gains and Inflation Taxes in a Life-cycle Model

  Staff Working Paper 1999-2 Charles Leung, Guang-Jia Zhang

  Inflation distorts an economy through many channels. This paper highlights the interaction between inflation and capital gains tax and how they distort an economy through the financial market. Several observations motivate this research. First, capital formation or investment is an important channel for economic agents to smooth their consumption over their life cycles. Second, capital […]

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation: costs and benefits JEL Code(s): E, E5, E6

• Dynamic Employment and Hours Effects of Government Spending Shocks

  Staff Working Paper 1999-1 Mingwei Yuan, Wenli Li

  In this paper, we analyze the dynamic behaviour of employment and hours worked per worker in a stochastic general equilibrium model with a matching mechanism between vacancies and unemployed workers. The model is estimated for the United States using the Generalized Methods of Moments (GMM) estimation technique. An increase in government spending raises hours worked […]

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Labour markets JEL Code(s): E, E2, E24, E3, E32, E6, E62, J, J6, J64