E - Macroeconomics and Monetary Economics
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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. -
The Institutional and Political Determinants of Fiscal Adjustment
The author empirically assesses the effects of institutional and political factors on the need and willingness of governments to make large fiscal adjustments. -
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. -
The 1975–78 Anti-Inflation Program in Retrospect
The author provides an overview of the 1975–78 Anti-Inflation Program (AIP), in a background document prepared for a seminar organized by the Bank of Canada to mark the AIP's 30th anniversary. -
Modelling and Forecasting Housing Investment: The Case of Canada
The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described. -
Measurement Bias in the Canadian Consumer Price Index
The consumer price index (CPI) is the most commonly used measure of inflation in Canada. -
Quantity, Quality, and Relevance: Central Bank Research, 1990–2003
The authors document the research output of 34 central banks from 1990 to 2003, and use proxies of research inputs to measure the research productivity of central banks over this period. -
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.