Jean-Philippe Cayen - Latest

• Assessing Global Potential Output Growth: April 2019

  Staff Analytical Note 2019-13 Fares Bounajm, Jean-Philippe Cayen, Michael Francis, Christopher Hajzler, Kristina Hess, Guillaume Poulin-Bellisle, Peter Selcuk

  This note presents the updated estimates of potential output growth for the global economy through 2021. Global potential output is expected to grow by 3.3 per cent per year over the projection horizon.

  Content Type(s): Staff research, Staff analytical notes Topic(s): International topics, Potential output, Productivity JEL Code(s): E, E1, E10, E2, E20, O, O4

• An Improved Equation for Predicting Canadian Non-Commodity Exports

  Staff Discussion Paper 2017-1 Patrick Alexander, Jean-Philippe Cayen, Alex Proulx

  We estimate two new equations for Canadian non-commodity exports (NCX) that incorporate three important changes relative to the current equation used at the Bank of Canada.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Balance of payments and components, Exchange rates, International topics JEL Code(s): F, F1, F10, F14, F17

• What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates

  Staff Working Paper 2010-5 Jean-Philippe Cayen, Donald Coletti, René Lalonde, Philipp Maier

  We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): J, J3, J31

• Estimating DSGE-Model-Consistent Trends for Use in Forecasting

  Staff Working Paper 2009-35 Jean-Philippe Cayen, Marc-André Gosselin, Sharon Kozicki

  The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E5, E52

• 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

• La fiabilité des estimations de l'écart de production au Canada

  Staff Working Paper 2002-10 Jean-Philippe Cayen, Simon van Norden

  In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Potential output JEL Code(s): E, E3, E32