E - Macroeconomics and Monetary Economics

• Inflation and the Tax System in Canada: An Exploratory Partial-Equilibrium Analysis

  Staff Working Paper 2000-18 Brian O'Reilly, Mylène Levac

  This paper reports on an exploratory application to Canadian data of an approach pioneered by Martin Feldstein (1997, 1999). Feldstein finds that even at low inflation rates there are costs arising from the distortions introduced by the interaction of inflation with the taxation of income from capital (capital gains, dividends, and interest) in a less-than-perfectly-indexed tax system.

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

• Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis

  Staff Working Paper 2000-12 Hashmat Khan

  The sticky-price model of aggregate fluctuations implies that countries with high trend inflation rates should exhibit less-persistent output fluctuations than countries with low trend inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E31, E32

• Fractional Cointegration and the Demand for M1

  Staff Working Paper 2000-13 Greg Tkacz

  Using wavelets, the author estimates the fractional order of integration of a common long-run money-demand relationship whose parameters are obtained from a full-information maximum-likelihood procedure.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C1, C13, E, E4, E41

• Identifying Policy-makers' Objectives: An Application to the Bank of Canada

  Staff Working Paper 2000-11 Nicholas Rowe, James Yetman

  In this paper, we develop a new way to test hypotheses about policy-makers' targets, and we implement that test for Canadian monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets JEL Code(s): E, E5, E52, E6, E61

• Probing Potential Output: Monetary Policy, Credibility, and Optimal Learning under Uncertainty

  Staff Working Paper 2000-10 James Yetman

  The effective conduct of monetary policy is complicated by uncertainty about the level of potential output, and thus about the size of the monetary policy response that would be sufficient to achieve the targeted inflation rate. One possible response to such uncertainty is for the monetary authority to "probe," interpreted here as actively using its policy response to learn about the level of potential output.

  Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Monetary policy and uncertainty, Potential output JEL Code(s): E, E5, E52, E58

• Modelling Risk Premiums in Equity and Foreign Exchange Markets

  Staff Working Paper 2000-9 René Garcia, Maral Kichian

  The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15

• Non-Parametric and Neural Network Models of Inflation Changes

  Staff Working Paper 2000-7 Greg Tkacz

  Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31

• Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996)

  Staff Working Paper 2000-6 Seamus Hogan, Lise Pichette

  A number of authors have suggested that economies face a long-run inflation-unemployment trade-off due to downward nominal-wage rigidity. This theory has implications for the nature of the short-run Phillips curve when wage inflation is low.

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

• Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator

  Staff Working Paper 2000-5 Greg Tkacz

  The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43

• Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada

  Staff Working Paper 2000-3 Gilles Bérubé, Denise Côté

  This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […]

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C2, C22, E, E2, E21