Forecasting Canadian Time Series with the New Keynesian Model
The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada.
Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1339
result(s)
Money and Credit Factors
Staff Working Paper 2006-3
Paul Gilbert,
Erik Meijer
The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Credit and credit aggregates,
Econometric and statistical methods,
Monetary aggregates
JEL Code(s):
C,
C4,
C43,
C8,
C82,
E,
E5,
E51
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
Staff Working Paper 2006-2
Lynda Khalaf,
Maral Kichian
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C52,
E,
E3,
E31,
F,
F3,
F31,
F4,
F40
The Institutional and Political Determinants of Fiscal Adjustment
Staff Working Paper 2006-1
Robert Lavigne
The author empirically assesses the effects of institutional and political factors on the need and willingness of governments to make large fiscal adjustments.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Development economics,
Econometric and statistical methods,
Fiscal policy,
International topics
JEL Code(s):
E,
E6,
E62,
O,
O1,
O17,
O19
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
Staff Working Paper 2005-45
Ingrid Lo
The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C1,
E,
E4
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
Staff Working Paper 2005-44
Frédérick Demers,
Annie De Champlain
The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C5,
E,
E3,
E37
The 1975–78 Anti-Inflation Program in Retrospect
Staff Working Paper 2005-43
John Sargent
The author provides an overview of the 1975–78 Anti-Inflation Program (AIP), in a background document prepared for a seminar organized by the Bank of Canada to mark the AIP's 30th anniversary.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Credibility,
Fiscal policy,
Inflation and prices,
Inflation targets,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E3,
E31,
E5,
E52,
E6,
E63,
E64,
E65
Order Submission: The Choice between Limit and Market Orders
Staff Working Paper 2005-42
Ingrid Lo,
Stephen Sapp
Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Exchange rates,
Financial institutions,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G1
Modelling and Forecasting Housing Investment: The Case of Canada
Staff Working Paper 2005-41
Frédérick Demers
The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Economic models
JEL Code(s):
E,
E2,
E27,
R,
R2,
R21
Subordinated Debt and Market Discipline in Canada
Staff Working Paper 2005-40
Greg Caldwell
The author documents the use by Canadian banks of subordinated debt (SD) as a capital instrument.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Financial institutions
JEL Code(s):
G,
G2,
G21,
G28