Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
The Construction of Continuity-Adjusted Monetary Aggregate Components
Staff Working Paper 2003-22
Jeannie Kottaras
Changes in the financial industry result in new data that are inconsistent with the former presentation, and therefore adjustments are required to "adjust" or smooth out these breaks to establish continuity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary aggregates
JEL Code(s):
E,
E5,
E51
Dynamic Factor Analysis for Measuring Money
Staff Working Paper 2003-21
Paul Gilbert,
Lise Pichette
Technological innovations in the financial industry pose major problems for the measurement of monetary aggregates. The authors describe work on a new measure of money that has a more satisfactory means of identifying and removing the effects of financial innovations.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Monetary aggregates,
Monetary and financial indicators
JEL Code(s):
C,
C4,
C43,
C8,
C82,
E,
E5,
E51
The U.S. Stock Market and Fundamentals: A Historical Decomposition
Staff Working Paper 2003-20
David Dupuis,
David Tessier
The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
G,
G1
A Small Dynamic Hybrid Model for the Euro Area
Staff Working Paper 2003-19
Ramdane Djoudad,
Céline Gauthier
The authors estimate and solve a small structural model for the euro area over the 1983–2000 period. Given the assumption of rational expectations, the model implies a set of orthogonality conditions that provide the basis for estimating the model's parameter by generalized method of moments.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E3,
E31
Technological Change and the Education Premium in Canada: Sectoral Evidence
Staff Working Paper 2003-18
Jean Farès,
Terence Yuen
It has been well documented that the education premium measured by the wage difference between university and high school graduates has remained constant over the past two decades in Canada. Despite this stable pattern at the aggregate level, skill-biased technology could have important implications for the inter-industry wage structure.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
J,
J3,
J31,
O,
O3,
O30
Explaining and Forecasting Inflation in Emerging Markets: The Case of Mexico
Staff Working Paper 2003-17
Jeannine Bailliu,
Daniel Garcés,
Mark Kruger,
Miguel Messmacher
The authors apply existing inflation models that have worked well in industrialized countries to Mexico, an emerging market that has recently moved to adopt an inflation-targeting framework for monetary policy. They compare the performance of these models with a mark-up model that has been used extensively to analyze inflation in Mexico.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
International topics
JEL Code(s):
E,
E3,
E31,
E37
Some Notes on Monetary Policy Rules with Uncertainty
Staff Working Paper 2003-16
Gabriel Srour
The author explores the role that Taylor-type rules can play in monetary policy, given the degree of uncertainty in the economy. The optimal rule is derived from a simple infinite-horizon model of the monetary transmission mechanism, with only additive uncertainty.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
E,
E5,
E52
The Syndicated Loan Market: Developments in the North American Context
Staff Working Paper 2003-15
Jim Armstrong
The author describes the rapid development of the syndicated corporate loan market in the 1990s. He explores the historical forces that led to the development of the contemporary U.S. syndicated loan market, which is effectively a hybrid of the investment banking and commercial banking worlds.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G1,
G10,
G2,
G21
An Index of Financial Stress for Canada
Staff Working Paper 2003-14
Mark Illing,
Ying Liu
The authors develop an index of financial stress for the Canadian financial system. Stress is defined as the force exerted on economic agents by uncertainty and changing expectations of loss in financial markets and institutions.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
E,
E5,
G,
G1,
G10