Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
Does Micro Evidence Support the Wage Phillips Curve in Canada?
Staff Working Paper 2002-4
Jean Farès
The existing macroeconometric evidence lends support to the wage Phillips curve by showing a negative relation between the rate of change in wages and the unemployment rate, conditional on lagged price inflation. Most theoretical models of wage setting, however, generate a "wage curve," described by a negative relation between the level of the real wage and unemployment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
J,
J3,
J31
An Introduction to Wavelets for Economists
Staff Working Paper 2002-3
Christoph Schleicher
Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1
Asset Allocation Using Extreme Value Theory
Staff Working Paper 2002-2
Younes Bensalah
This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C0,
C4,
C5,
G,
G1
Taylor Rules in the Quarterly Projection Model
Staff Working Paper 2002-1
Ben Fung,
Dinah Maclean,
Jamie Armour
In recent years, there has been a lot of interest in Taylor-type rules. Evidence in the literature suggests that Taylor-type rules are optimal in a number of models and are fairly robust across different models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary policy and uncertainty,
Monetary policy framework
JEL Code(s):
E,
E5,
E52
The Monetary Transmission Mechanism at the Sectoral Level
Staff Working Paper 2001-27
Jean Farès,
Gabriel Srour
This paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy transmission
JEL Code(s):
E,
E5,
E52
An Estimated Canadian DSGE Model with Nominal and Real Rigidities
Staff Working Paper 2001-26
Ali Dib
This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E31,
E32
New Phillips Curve with Alternative Marginal Cost Measures for Canada, the United States, and the Euro Area
Staff Working Paper 2001-25
Edith Gagnon,
Hashmat Khan
Recent research on the new Phillips curve (NPC) (e.g., Galí, Gertler, and López-Salido 2001a) gives marginal cost an important role in capturing pressures on inflation. In this paper we assess the case for using alternative measures of marginal cost to improve the empirical fit of the NPC.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Inflation and prices
JEL Code(s):
E,
E3,
E31
Price-Level versus Inflation Targeting in a Small Open Economy
Staff Working Paper 2001-24
Gabriel Srour
This paper compares two types of monetary policy: price-level targeting and inflation targeting. It reviews recent arguments that favour price-level targeting, and examines how certain factors, such as the nature of the shocks affecting the economy and the degree to which agents are forward-looking, bear upon the arguments.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E5,
E52
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
Staff Working Paper 2001-23
Ying Liu
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C2,
C22,
C4,
C49,
E,
E4,
E47