E - Macroeconomics and Monetary Economics

• L'effet de la richesse sur la consommation aux États-Unis

  Staff Working Paper 2001-14 Yanick Desnoyers

  The substantial growth in wealth over the course of the second half of the 1990s generated the equivalent of a certain level of savings, while simultaneously causing household savings rates to fall significantly. The author seeks to explain this decline in savings, observed since 1995, using the methodology developed by King, Plosser, Stock, and Watson (1991).

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

• Predetermined Prices and the Persistent Effects of Money on Output

  Staff Working Paper 2001-13 Michael Devereux, James Yetman

  This paper illustrates a model of predetermined pricing, where firms set a fixed schedule of nominal prices at the time of price readjustment, based on the work of Fischer (1977). This type of price-setting specification cannot produce any excess persistence in a fixed-duration model of staggered prices, but we show that with a probabilistic model of price adjustment, as in Calvo (1983), a predetermined pricing specification can produce excess persistence.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy transmission JEL Code(s): E, E3, E30

• Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods

  Staff Working Paper 2001-12 Fuchun Li, Greg Tkacz

  This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C53, E, E2, E27

• Gaining Credibility for Inflation Targets

  Staff Working Paper 2001-11 James Yetman

  In this paper, I consider a simple model in which agents learn about the inflation target of a central bank over time by observing the policy instrument or inflation outcomes. Measuring credibility as the distance between the perceived target and the actual target, an increase in credibility is beneficial to the central bank because it brings the policy consistent with attaining the inflation target closer to that required to attain the output target.

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

• Testing for a Structural Break in the Volatility of Real GDP Growth in Canada

  Staff Working Paper 2001-9 Alexandre Debs

  This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E3, E32

• How Rigid Are Nominal-Wage Rates?

  Staff Working Paper 2001-8 Allan Crawford

  This study examines the effect of nominal-wage rigidities on wage growth in Canada using a hazard model and micro data for union contracts. The hazard model is specified in a way that allows considerable flexibility in the shape of the estimated notional wage-change distribution.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Labour markets JEL Code(s): E, E2, E24, E5, E52, E6, E61

• Downward Nominal-Wage Rigidity: Micro Evidence from Tobit Models

  Staff Working Paper 2001-7 Allan Crawford, Geoff Wright

  This paper uses Tobit models and data for union contracts to examine the extent of downward nominal-wage rigidity in Canada. To be consistent with important stylized facts, the models allow the variance of the notional wage-change distribution to be time-varying and test for menu-cost effects.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets, Labour markets JEL Code(s): E, E2, E24, E5, E52, E6, E61

• The Zero Bound on Nominal Interest Rates: How Important Is It?

  Staff Working Paper 2001-6 David Amirault, Brian O'Reilly

  This paper surveys the literature on the zero bound on the nominal interest rate. It addresses questions ranging from the conditions under which the zero bound on the nominal interest rate might occur to policy options to avoid or use to exit from such a situation. We discuss literature that examines historical and country evidence, and literature that uses models to generate evidence on this question.

  Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Inflation targets, Monetary policy transmission JEL Code(s): E, E3, E31, E5, E52, E58, E6, E61

• Reactions of Canadian Interest Rates to Macroeconomic Announcements: Implications for Monetary Policy Transparency

  Staff Working Paper 2001-5 Toni Gravelle, Richhild Moessner

  In this study we statistically quantify the reactions of Canadian and U.S. interest rates to macroeconomic announcements released in Canada and in the United States. We find that Canadian interest rates react very little to Canadian macroeconomic news and are significantly affected by U.S. macroeconomic news, which indicates that international influences on the Canadian fixed-income markets are important.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates, Monetary policy implementation JEL Code(s): E, E0, E4, E5

• On the Nature and the Stability of the Canadian Phillips Curve

  Staff Working Paper 2001-4 Maral Kichian

  This paper empirically determines why, during the 1990s, inflation in Canada was consistently more stable than predicted by the fixed-coefficients Phillips curve. A time-varying-coefficient model, where all the parameters adjust simultaneously, shows that the behaviour of expectations was probably a major contributing factor.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E37