Inflation Changes, Yield Spreads, and Threshold Effects
Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models.
E - Macroeconomics and Monetary Economics
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An Empirical Analysis of Dynamic Interrelationships Among Inflation, Inflation Uncertainty, Relative Price Dispersion, and Output Growth
Within a unified framework, the author conducts an empirical investigation of dynamic interrelationships among inflation, inflation uncertainty, relative price dispersion, and output growth. -
The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Economy
In this report, we evaluate several simple monetary policy rules in twelve private and public sector models of the Canadian economy. Our results indicate that none of the simple policy rules we examined is robust to model uncertainty, in that no single rule performs well in all models. -
Alternative Public Spending Rules and Output Volatility
One of the central lessons learned from the Great Depression was that adjusting government spending each year to balance the budget increases the volatility of output. -
An Eclectic Approach to Estimating U.S. Potential GDP
The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP. -
The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area
This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU). -
Labour Markets, Liquidity, and Monetary Policy Regimes
We develop an equilibrium model of the monetary policy transmission mechanism that highlights information frictions in the market for money and search frictions in the market for labour. -
Inflation Expectations and Learning about Monetary Policy
Various measures indicate that inflation expectations evolve sluggishly relative to actual inflation. In addition, they often fail conventional tests of unbiasedness. -
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices. -
Habit Formation and the Persistence of Monetary Shocks
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.