Staff research

• Probing Potential Output: Monetary Policy, Credibility, and Optimal Learning under Uncertainty

  Staff Working Paper 2000-10 James Yetman

  The effective conduct of monetary policy is complicated by uncertainty about the level of potential output, and thus about the size of the monetary policy response that would be sufficient to achieve the targeted inflation rate. One possible response to such uncertainty is for the monetary authority to "probe," interpreted here as actively using its policy response to learn about the level of potential output.

  Content Type(s): Staff research, Staff working papers Topic(s): Credibility, Monetary policy and uncertainty, Potential output JEL Code(s): E, E5, E52, E58

• Modelling Risk Premiums in Equity and Foreign Exchange Markets

  Staff Working Paper 2000-9 René Garcia, Maral Kichian

  The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15

• Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry

  Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian

  Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16

• Non-Parametric and Neural Network Models of Inflation Changes

  Staff Working Paper 2000-7 Greg Tkacz

  Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31

• International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada

  Technical Report No. 88 John Murray, Mark Zelmer, Zahir Antia

  This paper examines the behaviour of the Canadian dollar from 1997 to 1999 to see if there is any evidence of excess volatility or significant overshooting. A small econometric model of the exchange rate, based on market fundamentals, is presented and used to make tentative judgments about the extent to which the currency might have been systematically over- or undervalued.

  Content Type(s): Staff research, Technical reports Topic(s): Exchange rate regimes, Exchange rates JEL Code(s): F, F3, F31

• Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996)

  Staff Working Paper 2000-6 Seamus Hogan, Lise Pichette

  A number of authors have suggested that economies face a long-run inflation-unemployment trade-off due to downward nominal-wage rigidity. This theory has implications for the nature of the short-run Phillips curve when wage inflation is low.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): C, C5, C52, E, E2, E24, E5, E50

• Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator

  Staff Working Paper 2000-5 Greg Tkacz

  The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43

• Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis

  Staff Working Paper 2000-4 Ramdane Djoudad, David Tessier

  This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): F, F3, F31

• Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada

  Staff Working Paper 2000-3 Gilles Bérubé, Denise Côté

  This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […]

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C2, C22, E, E2, E21

• GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

  Staff Working Paper 2000-2 Maral Kichian

  State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89