E - Macroeconomics and Monetary Economics

• Electronic Transactions as High-Frequency Indicators of Economic Activity

  Staff Working Paper 2007-58 John Galbraith, Greg Tkacz

  Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E1, E17, E2, E27, E6, E66

• Estimation and Inference by the Method of Projection Minimum Distance

  Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki

  A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47

• The Impact of Emerging Asia on Commodity Prices

  Staff Working Paper 2007-55 Sylvie Morin, Calista Cheung

  Over the past 5 years, real energy and non-energy commodity prices have trended sharply higher. These relative price movements have had important implications for inflation and economic activity in both Canada and the rest of the world. China has accounted for the bulk of incremental demand for oil and many base metals over this period.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, International topics JEL Code(s): E, E3, F, F4, O, O1, O19, Q, Q1, Q11

• Price-Level Targeting and Stabilization Policy: A Review

  Staff Discussion Paper 2007-11 Steve Ambler

  The author surveys recent articles on the costs and benefits of price-level targeting versus inflation targeting, focusing on the benefits and costs of price-level targeting as a tool for stabilization policy. He reviews papers that examine how price-level targeting affects the short-run trade-off between output and inflation variability by influencing expectations of future inflation. The […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52

• Rediscounting Under Aggregate Risk with Moral Hazard

  Staff Working Paper 2007-51 James Chapman, Antoine Martin

  Freeman (1999) proposes a model in which discount window lending and open market operations have different effects. This is important because in most of the literature, these policies are indistinguishable.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Financial markets, Payment clearing and settlement systems JEL Code(s): E, E5, E58, G, G2, G20

• Examining Simple Joint Macroeconomic and Term-Structure Models: A Practitioner's Perspective

  Staff Working Paper 2007-49 David Bolder, Shudan Liu

  The primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.

  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

• The Direct Effect of China on Canadian Consumer Prices: An Empirical Assessment

  Staff Discussion Paper 2007-10 Louis Morel

  The author investigates the direct effect of Chinese imported goods on consumer prices in Canada. On average, over the 2001–06 period, the direct effect of consumer goods imported from China is estimated to have reduced the inflation rate by about 0.1 percentage points per year. This disinflationary effect is due to two causes: first, the […]

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

• The Bank of Canada's Version of the Global Economy Model (BoC-GEM)

  Technical Report No. 98 René Lalonde, Dirk Muir

  The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research).

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F3, F32, F4, F47

• Price-Level Targeting

  Staff Discussion Paper 2007-8 Agathe Côté

  In November 2006, the Bank of Canada announced its intention to lead a concerted research program over the next few years on the type of monetary policy framework that would best contribute to the economic well-being of Canadians in the decades ahead. The research will focus on two broad questions: whether economic welfare might be […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Monetary policy framework JEL Code(s): E, E5, E52, E58

• Endogenously Segmented Asset Market in an Inventory Theoretic Model of Money Demand

  Staff Working Paper 2007-46 Jonathan Chiu

  This paper studies the effects of monetary policy in an inventory theoretic model of money demand. In this model, agents keep inventories of money, despite the fact that money is dominated in rate of return by interest bearing assets, because they must pay a fixed cost to transfer funds between the asset market and the goods market.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): E, E3, E31, E4, E41, E5, E50