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1934
result(s)
Evaluating Factor Models: An Application to Forecasting Inflation in Canada
Staff Working Paper 2001-18
Marc-André Gosselin,
Greg Tkacz
This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C3,
C32,
E,
E3,
E37
Why Do Central Banks Smooth Interest Rates?
Staff Working Paper 2001-17
Gabriel Srour
It is commonly observed that central banks respond gradually to economic shocks, moving the interest rate in small discrete steps in the same direction over an extended period of time. This paper examines the empirical evidence regarding central banks' smoothing of interest rates, paying particular attention to the case of Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy implementation
JEL Code(s):
E,
E5
Implications of Uncertainty about Long-Run Inflation and the Price Level
Staff Working Paper 2001-16
Gerald Stuber
This paper surveys recent developments in the theoretical and empirical literature on the economic implications of uncertainty about the longer-term outlook for inflation. In particular, the linkages between inflation, long-run inflation uncertainty, and aggregate economic activity in industrial economies have become considerably better understood during the past decade.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E2,
E22,
E3,
E31,
E4,
E44
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