May 10, 1996
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786
result(s)
An Econometric Examination of the Trend Unemployment Rate in Canada
Staff Working Paper 1996-7
Denise Côté,
Doug Hostland
This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
E,
E2,
E24
The Bank of Canada's New Quarterly Projection Model, Part 3. The Dynamic Model: QPM
Technical Report No. 75
Donald Coletti,
Benjamin Hunt,
David Rose,
Robert Tetlow
The Bank of Canada's new Quarterly Projection Model, QPM, combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models
JEL Code(s):
C,
C5,
C53,
E,
E1,
E17
Provincial Credit Ratings in Canada: An Ordered Probit Analysis
Staff Working Paper 1996-6
Stella Cheung
The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
H,
H6,
H63
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
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
Staff Working Paper 1996-4
Walter Engert,
Ben Fung,
Jamie Armour
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary and financial indicators
JEL Code(s):
E,
E5,
E52
Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
Staff Working Paper 1996-3
Simon van Norden,
Robert Vigfusson
This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C6,
C63
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology
Staff Working Paper 1996-2
Pierre St-Amant
In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates,
International topics
JEL Code(s):
E,
E3,
E31,
E4,
E43
Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
Staff Working Paper 1996-1
Robert Vigfusson
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
G,
G1,
G12
The Empirical Performance of Alternative Monetary and Liquidity Aggregates
Staff Working Paper 1995-12
Joseph Atta-Mensah
This paper examines the empirical performance of alternatives to the monetary aggregates currently published by the Bank of Canada. The results show that real M1 and real M1a perform about equally well in providing leading information about real output at short horizons. However, on theoretical grounds, M1a is a more attractive aggregate, since it excludes […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators