C - Mathematical and Quantitative Methods

• Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization

  Staff Working Paper 2004-23 Denise Côté, Christopher Graham

  Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, International topics JEL Code(s): C, C2, C23, E, E4, E43, E44, F, F3, F36

• Translog ou Cobb-Douglas? Le rôle des durées d'utilisation des facteurs

  Staff Working Paper 2004-19 Eric Heyer, Florian Pelgrin, Arnaud Sylvain

  Using French data on industrial firms over the period 1989-2001, the authors estimate a "flexible" Translog production function that accounts for the volumes and durations of factor utilization.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): C, C3, C33, D, D2, D24, J, J2, J23

• National Saving–Investment Dynamics and International Capital Mobility

  Staff Working Paper 2004-14 Florian Pelgrin, Sebastian Schich

  The authors analyze the dynamics of national saving–investment relationships to determine the degree of international capital mobility.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics JEL Code(s): C, C2, C23, F, F3, F31

• Durées d'utilisation des facteurs et fonction de production : une estimation par la méthode des moments généralisés en système

  Staff Working Paper 2004-12 Eric Heyer, Florian Pelgrin, Arnaud Sylvain

  Although a number of studies have demonstrated the importance of the degree of factor utilization in economic analysis, the impact of the durations of utilization in a production function remains largely unknown, particularly in terms of the duration of equipment utilization.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): C, C3, C33, D, D2, D24, J, J2, J23

• Estimating New Keynesian Phillips Curves Using Exact Methods

  Staff Working Paper 2004-11 Lynda Khalaf, Maral Kichian

  The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework

  Staff Working Paper 2004-9 Jean-Paul Lam, Greg Tkacz

  In an era when the primary policy instrument is the level of the short-term interest rate, a comparison of that rate with some equilibrium rate can be a useful guide for policy and a convenient method to measure the stance of monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Interest rates JEL Code(s): C, C3, C32, E, E3, E37

• Structural Change and Forecasting Long-Run Energy Prices

  Staff Working Paper 2004-5 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian

  The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, C53, Q, Q4, Q40

• Modélisation « PAC » du secteur extérieur de l'économie américaine

  Staff Working Paper 2004-3 Marc-André Gosselin, René Lalonde

  In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector.

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47

• Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates

  Staff Working Paper 2004-2 Richard Luger

  The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22, C5, C52, C53

• Common Trends and Common Cycles in Canadian Sectoral Output

  Staff Working Paper 2003-44 Francisco Barillas, Christoph Schleicher

  The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, E, E3, E32