Money and Credit Factors
The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy.
C - Mathematical and Quantitative Methods
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Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. -
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
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. -
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
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. -
An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
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. -
MUSE: The Bank of Canada's New Projection Model of the U.S. Economy
The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection. -
Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. -
Forecasting Canadian GDP: Region-Specific versus Countrywide Information
The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth. -
Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money
The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data. -
Inflation and Relative Price Dispersion in Canada: An Empirical Assessment
The authors investigate empirically the relationship between different aspects of inflation and relative price dispersion in Canada using a Markov regime-switching Phillips curve.