Posts

• November 9, 1996

  Canada and international financial institutions

  Bank of Canada Review - Autumn 1996 Robert Lafrance, James Powell

  International financial institutions, such as the International Monetary Fund, the World Bank and the Bank for International Settlements, are important players in the global financial system. This article provides an overview of the major international financial institutions to which Canada belongs. The paper highlights their activities and the nature of Canada's involvement, including that of the Bank of Canada. Recent initiatives coming out of the Halifax and Lyon Summits to improve the effectiveness of international financial institutions are also noted.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): International topics
• November 8, 1996

  Money markets and central bank operations: Conference summary

  Bank of Canada Review - Autumn 1996 Mark Zelmer

  This article summarizes the proceedings of a conference hosted by the Bank of Canada in November 1995. The conference examined the interaction between monetary policy operations and the money market. It provided an opportunity to assess current operations before the introduction of a large-value transfer system leads the Bank to change the techniques it uses to implement monetary policy on a day-to-day basis. From the Bank's perspective, the papers prepared externally provided some useful insights into recent innovations in money markets and their implications for the implementation of monetary policy. Meanwhile, the sessions devoted to the Bank's operations in financial markets were designed to provide market practitioners and academics with further insight into how the Bank operates in these markets.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Monetary policy implementation

• Do Mechanical Filters Provide a Good Approximation of Business Cycles?

  Technical Report No. 78 Alain Guay, Pierre St-Amant

  In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32

• A Modified P*-Model of Inflation Based on M1

  Staff Working Paper 1996-15 Joseph Atta-Mensah

  This paper examines the performance of M1 in an indicator-model of inflation over time horizons as long as 16 quarters into the future.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): E, E3, E37

• L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme

  Staff Working Paper 1996-14 Jean-François Fillion

  This paper examines the effects that Canada's indebtedness has on Canadian real long-term interest rates, using the vector error-correction model (VECM). Our results show that there is a strongly cointegrated relationship between real interest rates in Canada, U.S. real interest rates, and Canadian public and external debt ratios.

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy, Interest rates JEL Code(s): E, E4, E43, F, F3, F30, H, H6, H60

• The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter

  Technical Report No. 77 Leo Butler

  The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C51, E, E2, E23

• Speculative Behaviour, Regime-Switching and Stock Market Crashes

  Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller

  This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12

• The Commodity-Price Cycle and Regional Economic Performance in Canada

  Staff Working Paper 1996-12 Mario Lefebvre, Stephen S. Poloz

  This paper attempts to provide one interpretation of the broad regional economic history of Canada since the early 1970s. As the title of the paper suggests, we believe that, to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Regional economic developments JEL Code(s): E, E3, E32
• August 11, 1996

  Real short-term interest rates and expected inflation: Measurement and interpretation

  Bank of Canada Review - Summer 1996 Nicholas Ricketts

  This article compares different measures of real short-term interest rates for Canada over the period from 1956 to 1995. A new measure for the expected real interest rate is constructed using a proxy for inflation expectations that is based on the properties of past inflation. The history of inflation in Canada suggests that the characteristics of inflation have changed considerably over time. Past inflation can be characterized by three different types of behaviour: an environment in which average inflation is low and shocks to inflation have only temporary effects; an environment of moderate inflation with more persistent disturbances; and an environment of drifting inflation in which shocks have permanent effects on the level of inflation. The proxy for inflation expectations uses a statistical model, called a Markov Switching Model, to take account of changes in the behaviour of inflation over time. It is found that uncertainty about the changing characteristics of inflation behaviour leads to uncertainty about estimates of inflation expectations and thus about measures of real interest rates. Target ranges for keeping inflation low should help reduce the uncertainty about inflation behaviour. The behaviour of inflation and interest rates suggests that the credibility of the Bank of Canada's inflation-control objectives is growing. This should reduce inflation uncertainty and lead to lower nominal interest rates over time.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Inflation and prices, Interest rates
• August 11, 1996

  Bank of Canada Review - Summer 1996

  

  Cover page

  Home savings bank: The Northern Bank

  The savings bank shown here was issued to account holder 1859 by the Victoria, B.C. branch. It is part of the National Currency Collection, Bank of Canada.

  Photography by James Zagon.

  Content Type(s): Publications, Bank of Canada Review