Alain Guay - Latest

• The U.S. New Keynesian Phillips Curve: An Empirical Assessment

  Staff Working Paper 2004-35 Alain Guay, Florian Pelgrin

  The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap

  Staff Working Paper 1997-5 Chantal Dupasquier, Alain Guay, Pierre St-Amant

  In this paper, the authors survey some of the recent techniques proposed in the literature to measure the trend component of output or potential output. Given the reported shortcomings of mechanical filters and univariate approaches to estimate potential output, the paper focusses on three simple multivariate methodologies: the multivariate Beveridge-Nelson methodology (MBN), Cochrane's methodology (CO), and the structural VAR methodology with long-run restrictions applied to output (LRRO).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C5, C52, E, E5, E52

• Do Mechanical Filters Provide a Good Approximation of Business Cycles?

  Technical Report No. 78 Alain Guay, Pierre St-Amant

  In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32

• Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions

  Staff Working Paper 1995-9 Alain DeSerres, Alain Guay

  authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods

• Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy

  Staff Working Paper 1995-2 Alain DeSerres, Alain Guay, Pierre St-Amant

  In this paper the authors show how potential output can be estimated and projected through an approach derived from the structural vector autoregression methodology. This approach is applied to the Mexican economy. To identify demand, supply and world oil shocks, the authors assume that demand shocks do not have a permanent effect on output and […]

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Potential output