Staff research

• Easing Restrictions on the Stripping and Reconstitution of Government of Canada Bonds

  Staff Working Paper 1998-8 David Bolder, Serge Boisvert

  The Department of Finance and the Bank of Canada, as its fiscal agent, work closely with financial market participants in the management of the federal government's debt program. From the government's perspective, maintaining a liquid well-functioning market in Government of Canada securities is a key factor in ensuring that debt-service costs are minimized. It is […]

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management JEL Code(s): G, G1

• Uncertainty and Multiple Paradigms of the Transmission Mechanism

  Staff Working Paper 1998-7 Walter Engert, Jack Selody

  An important challenge facing central banks is making decisions under uncertainty about the dynamic effects of monetary policy actions. The authors stress the importance of explicitly recognizing uncertainty about the transmission mechanism when formulating policy advice. They argue that one way to manage monetary policy under uncertainty is to draw on both an output-gap paradigm […]

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy and uncertainty, Monetary policy framework JEL Code(s): E, E5

• Forecasting Inflation with the M1-VECM: Part Two

  Staff Working Paper 1998-6 Walter Engert, Scott Hendry

  A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […]

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5

• Predicting Canadian Recessions Using Financial Variables: A Probit Approach

  Staff Working Paper 1998-5 Joseph Atta-Mensah, Greg Tkacz

  This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding is that the spread between the yield on Canadian […]

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Interest rates JEL Code(s): E, E3, E32, E4, E43

• The Benefits of Low Inflation: Taking Stock

  Technical Report No. 83 Brian O'Reilly

  This paper surveys the empirical literature on the benefits of low inflation, emphasizing contributions since 1990. It follows the framework of a section in the Bank's 1990 Annual Report, "The benefits of price stability."

  Content Type(s): Staff research, Technical reports Topic(s): Inflation: costs and benefits JEL Code(s): E, E3

• A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions

  Staff Working Paper 1998-4 Pierre St-Amant, David Tessier

  In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First, simulation exercises suggest that this approach does well when […]

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

• Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis

  Staff Working Paper 1998-3 Pierre St-Amant, David Tessier

  The authors' purpose in this paper is to isolate the respective contributions of budgetary and monetary policy in Canada and the United States to the behaviour of unemployment rates in the two countries. Their method consists of estimating VAR models and using long-term identification restrictions to perform a structural analysis. Budgetary policy shocks are defined […]

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy JEL Code(s): E, E6

• The Financial Services Sector: Past Changes and Future Prospects

  Technical Report No. 82 Charles Freedman, Clyde Goodlet

  The financial services industry has been undergoing significant change in recent years. This paper analyzes some key developments affecting the industry and examines some important issues facing the industry and its regulators.

  Content Type(s): Staff research, Technical reports Topic(s): Financial services JEL Code(s): G, G2

• The Canadian Banking System

  Technical Report No. 81 Charles Freedman

  This paper examines the major changes in the Canadian banking system since the Second World War, with special attention paid to the differences between Canadian and U.S. developments over this period.

  Content Type(s): Staff research, Technical reports Topic(s): Financial institutions JEL Code(s): G, G2

• International Borrowing, Specialization and Unemployment in a Small, Open Economy

  Staff Working Paper 1998-2 Patrick Osakwe, Shouyong Shi

  Empirical evidence suggests that the unemployment rate and the export/GNP ratio are positively correlated with external debt across developing countries. This paper develops a dynamic model that provides an explanation for the aforementioned relationships. The central idea of our paper is that international borrowing affects unemployment and specialization patterns by unevenly changing the risk-sharing structure—across […]

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): F, F3, J, J6