E3 - Prices, Business Fluctuations, and Cycles

• An Eclectic Approach to Estimating U.S. Potential GDP

  Staff Working Paper 2002-36 Marc-André Gosselin, René Lalonde

  The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32

• Habit Formation and the Persistence of Monetary Shocks

  Staff Working Paper 2002-27 Hafedh Bouakez, Emanuela Cardia, Francisco Ruge-Murcia

  This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general-equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E4, E5

• Nominal Rigidities and Monetary Policy in Canada Since 1981

  Staff Working Paper 2002-25 Ali Dib

  This paper develops and estimates a dynamic, stochastic, general-equilibrium model with price and wage stickiness to analyze monetary policy in Canada.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32, E5, E52

• Evaluating the Quarterly Projection Model: A Preliminary Investigation

  Staff Working Paper 2002-20 Robert Amano, Kim McPhail, Hope Pioro, Andrew Rennison

  This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17, E3, E30, E37

• Dollarization in Canada: The Buck Stops There

  Technical Report No. 90 John Murray, James Powell

  The sharp depreciation of the Canadian dollar and the successful launch of the euro have spawned an animated debate in Canada concerning the potential benefits of formally adopting the U.S. dollar as our national currency.

  Content Type(s): Staff research, Technical reports Research Topic(s): Exchange rate regimes JEL Code(s): E, E3, E32, F, F3, F33, F36

• Estimates of the Sticky-Information Phillips Curve for the United States, Canada, and the United Kingdom

  Staff Working Paper 2002-19 Hashmat Khan, Zhenhua Zhu

  Mankiw and Reis (2001a) have proposed a "sticky-information"-based Phillips curve (SIPC) to address some of the concerns with the "sticky-price"-based new Keynesian Phillips curve.

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

• Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data

  Staff Working Paper 2002-18 Kevin Moran, Veronika Dolar

  This paper applies the hybrid dynamic general-equilibrium, vector autoregressive (DGE-VAR) model developed by Ireland (1999) to Canadian time series.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E32, E37

• Corporate Bond Spreads and the Business Cycle

  Staff Working Paper 2002-15 Zhiwei Zhang

  This paper examines the predictive power of credit spreads from the corporate bond market. The high-yield bond spread and investment-grade spread can explain 68 per cent and 42 per cent of output variations one year ahead, while the term spread based on government debts can explain only 12 per cent of them.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Monetary and financial indicators, Monetary policy transmission JEL Code(s): E, E3, E5, G, G1

• La fiabilité des estimations de l'écart de production au Canada

  Staff Working Paper 2002-10 Jean-Philippe Cayen, Simon van Norden

  In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): E, E3, E32

• An Estimated Canadian DSGE Model with Nominal and Real Rigidities

  Staff Working Paper 2001-26 Ali Dib

  This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E31, E32