Scott Hendry - Latest

• Liquidity Effects and Market Frictions

  Staff Working Paper 1998-11 Scott Hendry, Guang-Jia Zhang

  The goal of this paper is to shed light on the nature of the monetary transmission mechanism. Specifically, we attempt to tackle two problems in standard limited-participation models: (1) the interest rate liquidity effect is not as persistent as in the data; and (2) some nominal variables are unrealistically volatile. To address these problems, we […]

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy transmission JEL Code(s): E, E5

• Forecasting Inflation with the M1-VECM: Part Two

  Staff Working Paper 1998-6 Walter Engert, Scott Hendry

  A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […]

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5

• A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria

  Staff Working Paper 1996-5 Joseph Atta-Mensah, Walter Engert, Scott Hendry, Jamie Armour

  A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary aggregates, Monetary policy transmission JEL Code(s): E, E3, E37, E5, E52

• Long-Run Demand for M1

  Staff Working Paper 1995-11 Scott Hendry

  The goal of this paper is to investigate and estimate long-run relationships among M1, prices, output and interest rates, with a view to determining if there is a stable relationship that can be interpreted as long-run money demand. The paper uses a maximum-likelihood multiple-equation cointegration technique, developed by Johansen, to fit a system of equations […]

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary aggregates