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1901
result(s)
Affine Term-Structure Models: Theory and Implementation
Staff Working Paper 2001-15
David Bolder
Affine models describe the stylized time-series properties of the term structure of interest rates in a reasonable manner, they generalize relatively easily to higher dimensions, and a vast academic literature exists relating to their implementation. This combination of characteristics makes the affine class a natural introductory point for modelling interest rate dynamics.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Debt management,
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C0,
C5,
G,
G0
L'effet de la richesse sur la consommation aux États-Unis
Staff Working Paper 2001-14
Yanick Desnoyers
The substantial growth in wealth over the course of the second half of the 1990s generated the equivalent of a certain level of savings, while simultaneously causing household savings rates to fall significantly. The author seeks to explain this decline in savings, observed since 1995, using the methodology developed by King, Plosser, Stock, and Watson (1991).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
E,
E2,
E21
Predetermined Prices and the Persistent Effects of Money on Output
Staff Working Paper 2001-13
Michael Devereux,
James Yetman
This paper illustrates a model of predetermined pricing, where firms set a fixed schedule of nominal prices at the time of price readjustment, based on the work of Fischer (1977). This type of price-setting specification cannot produce any excess persistence in a fixed-duration model of staggered prices, but we show that with a probabilistic model of price adjustment, as in Calvo (1983), a predetermined pricing specification can produce excess persistence.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E3,
E30
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
Staff Working Paper 2001-12
Fuchun Li,
Greg Tkacz
This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach that allows maximum flexibility of the weighting parameters.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C5,
C53,
E,
E2,
E27
Gaining Credibility for Inflation Targets
Staff Working Paper 2001-11
James Yetman
In this paper, I consider a simple model in which agents learn about the inflation target of a central bank over time by observing the policy instrument or inflation outcomes. Measuring credibility as the distance between the perceived target and the actual target, an increase in credibility is beneficial to the central bank because it brings the policy consistent with attaining the inflation target closer to that required to attain the output target.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credibility,
Inflation targets
JEL Code(s):
E,
E5,
E52
The Future Prospects for National Financial Markets and Trading Centres
Staff Working Paper 2001-10
Charles Gaa,
Stephen Lumpkin,
Robert Ogrodnick,
Peter Thurlow
This paper investigates the effects of the continuation of globalization and technological developments on the future of national-level financial markets and trading centres, particularly in smaller countries such as Canada. We foresee the development of a single global market in the most-liquid assets based on equity-market linkages.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10
Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
Staff Working Paper 2001-9
Alexandre Debs
This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
E,
E3,
E32
How Rigid Are Nominal-Wage Rates?
Staff Working Paper 2001-8
Allan Crawford
This study examines the effect of nominal-wage rigidities on wage growth in Canada using a hazard model and micro data for union contracts. The hazard model is specified in a way that allows considerable flexibility in the shape of the estimated notional wage-change distribution.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Labour markets
JEL Code(s):
E,
E2,
E24,
E5,
E52,
E6,
E61
Downward Nominal-Wage Rigidity: Micro Evidence from Tobit Models
Staff Working Paper 2001-7
Allan Crawford,
Geoff Wright
This paper uses Tobit models and data for union contracts to examine the extent of downward nominal-wage rigidity in Canada. To be consistent with important stylized facts, the models allow the variance of the notional wage-change distribution to be time-varying and test for menu-cost effects.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets,
Labour markets
JEL Code(s):
E,
E2,
E24,
E5,
E52,
E6,
E61