Staff research

• Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

  Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian

  The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40

• The Institutional and Political Determinants of Fiscal Adjustment

  Staff Working Paper 2006-1 Robert Lavigne

  The author empirically assesses the effects of institutional and political factors on the need and willingness of governments to make large fiscal adjustments.

  Content Type(s): Staff research, Staff working papers Topic(s): Development economics, Econometric and statistical methods, Fiscal policy, International topics JEL Code(s): E, E6, E62, O, O1, O17, O19

• An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate

  Staff Working Paper 2005-45 Ingrid Lo

  The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4

• Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?

  Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain

  The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, E, E3, E37

• The 1975–78 Anti-Inflation Program in Retrospect

  Staff Working Paper 2005-43 John Sargent

  The author provides an overview of the 1975–78 Anti-Inflation Program (AIP), in a background document prepared for a seminar organized by the Bank of Canada to mark the AIP's 30th anniversary.

  Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Fiscal policy, Inflation and prices, Inflation targets, Monetary policy framework, Monetary policy implementation JEL Code(s): E, E3, E31, E5, E52, E6, E63, E64, E65

• Order Submission: The Choice between Limit and Market Orders

  Staff Working Paper 2005-42 Ingrid Lo, Stephen Sapp

  Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial institutions, Market structure and pricing JEL Code(s): D, D4, G, G1

• Modelling and Forecasting Housing Investment: The Case of Canada

  Staff Working Paper 2005-41 Frédérick Demers

  The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Economic models JEL Code(s): E, E2, E27, R, R2, R21

• Subordinated Debt and Market Discipline in Canada

  Staff Working Paper 2005-40 Greg Caldwell

  The author documents the use by Canadian banks of subordinated debt (SD) as a capital instrument.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): G, G2, G21, G28

• Measurement Bias in the Canadian Consumer Price Index

  Staff Working Paper 2005-39 James Rossiter

  The consumer price index (CPI) is the most commonly used measure of inflation in Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets JEL Code(s): E, E3, E31, E5, E52

• An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia

  Staff Working Paper 2005-38 Marc-André Gosselin, Nicolas Parent

  Over the past few years, the ability of the United States to finance its current account deficit has been facilitated by massive purchases of U.S.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, International topics JEL Code(s): C, C2, C23, F, F3, F31, G, G1, G15