E - Macroeconomics and Monetary Economics

• Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective

  Staff Working Paper 2006-48 David Bolder

  Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1

• Survey-Based Estimates of the Term Structure of Expected U.S. Inflation

  Staff Working Paper 2006-46 Sharon Kozicki, P. A. Tinsley

  Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Monetary policy and uncertainty JEL Code(s): E, E3, E5

• The Role of Debt and Equity Finance over the Business Cycle

  Staff Working Paper 2006-45 Francisco Covas, Wouter den Haan

  The authors show that debt and equity issuance are procyclical for most listed U.S. firms.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability JEL Code(s): E, E3, G, G1, G3

• ToTEM: The Bank of Canada's New Quarterly Projection Model

  Technical Report No. 97 Stephen Murchison, Andrew Rennison

  The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41

• Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model

  Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li

  The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4

• An Optimized Monetary Policy Rule for ToTEM

  Staff Working Paper 2006-41 Jean-Philippe Cayen, Amy Corbett, Patrick Perrier

  The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E52

• Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices

  Staff Working Paper 2006-39 Jean-Marie Dufour, David Tessier

  The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators JEL Code(s): C, C1, C12, C15, C3, C32, C5, C51, C53, E, E5, E52

• Survey of Price-Setting Behaviour of Canadian Companies

  Staff Working Paper 2006-35 David Amirault, Carolyn Kwan, Gordon Wilkinson

  In many mainstream macroeconomic models, sticky prices play an important role in explaining the effects of monetary policy on the economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): D, D4, D40, E, E3, E30, L, L1, L11

• The Macroeconomic Effects of Non-Zero Trend Inflation

  Staff Working Paper 2006-34 Robert Amano, Steve Ambler, Nooman Rebei

  The authors study the macroeconomic effects of non-zero trend inflation in a simple dynamic stochastic general-equilibrium model with sticky prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Inflation targets JEL Code(s): E, E2, E24, E3, E32

• Can Affine Term Structure Models Help Us Predict Exchange Rates?

  Staff Working Paper 2006-27 Antonio Diez de los Rios

  The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15