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1934
result(s)
Monetary Policy, Uncertainty and the Presumption of Linearity
Technical Report No. 63
Douglas Laxton,
David Rose,
Robert Tetlow
This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models,
Inflation and prices,
Monetary policy and uncertainty
JEL Code(s):
E,
E5,
E52
The Development of Financial Derivatives Markets: The Canadian Experience
Technical Report No. 62
Sean O'Connor
In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial markets
JEL Code(s):
G,
G1,
G10
State Space and ARMA Models: An Overview of the Equivalence
Staff Working Paper 1993-00
Paul Gilbert
In this paper known results about the equivalence of state space and autoregressive moving-average models with exogenous inputs (ARMAX) (including vector auto-regressive or VAR models) are reviewed. While most of these results are not new, no single reference appears to bring together several important related points.
Content Type(s):
Staff research,
Staff working papers
Un modèle du coût du financement et du ratio d'endettement des entreprises non financières
Technical Report No. 61
Jean-François Fillion
The main aim of this paper is to calculate the cost of financing for Canadian non-financial businesses and to develop a model to explain financing cost trends on the basis of selected macroeconomic variables. The model described herein is a system based on four equations: one for the real after-tax cost of financing; one for […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models
Fiscal Policy and External Balance in the G-7 Countries
Technical Report No. 60
Stephen S. Poloz
This paper assesses evidence, from the G-7 countries, of a link between a country's fiscal policy and its external balance, often referred to as the "twin deficits" phenomenon. It begins by reviewing the stylized facts, and then examines the theoretical case for such a link.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Balance of payments and components,
Fiscal policy,
International topics
JEL Code(s):
F,
F3,
F32,
F4,
F41,
H,
H6,
H60
A Simple Multivariate Filter for the Measurement of Potential Output
Technical Report No. 59
Douglas Laxton,
Robert Tetlow
This paper examines techniques that have been used to estimate potential output and finds them wanting. We suggest a simple multivariate-filtering technique that is a generalization of the Hodrick-Prescott univariate filter. In univariate filters, only information about a variable itself is used in eliminating noise in order to obtain an estimate of the underlying trend. […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Potential output
JEL Code(s):
C,
C1,
C15,
E,
E2
Is Hysteresis a Characteristic of the Canadian Labour Market? A Tale of Two Studies
Staff Working Paper 1992-3
Stephen S. Poloz,
Gordon Wilkinson
This paper replicates and extends the econometric work of two previous studies of output-inflation dynamics in Canada -- Fortin (1991) and Cozier and Wilkinson (1991) -- in an attempt to reconcile their divergent conclusions.
Content Type(s):
Staff research,
Staff working papers
Government Debt in an Open Economy
Technical Report No. 58
Douglas Laxton,
Robert Tetlow
This paper introduces the CORE model, a prototype for a new quarterly model of the Canadian economy, designed for projections and policy analysis with focus beyond the very short run. The model has a clearly defined equilibrium and explicit adjustment mechanisms, primarily through relative prices, that are dynamically stable. Overlaid on a neo-classical growth model […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
Fiscal policy
JEL Code(s):
C,
C5,
C53,
F,
F3,
F32,
H,
H3,
H30,
H6,
H60
Some Implications of International Financial Integration for Canadian Public Policy
Technical Report No. 57
William White
The domestic capital markets of the major industrial countries have become more closely integrated over the last two decades, a by-product of regulatory and technological change. This paper considers some of the implications of those changes for Canadian public policy. While no profound implications are found for Canadian macroeconomic policies, which probably reflects a long […]
Content Type(s):
Staff research,
Technical reports
Topic(s):
International topics
JEL Code(s):
E,
E5,
E50,
F,
F3,
F33,
H,
H3,
H30