Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis
Staff Working Paper 2000-4
Ramdane Djoudad,
David Tessier
This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
F,
F3,
F31
Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada
Staff Working Paper 2000-3
Gilles Bérubé,
Denise Côté
This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
C,
C2,
C22,
E,
E2,
E21
GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide
Staff Working Paper 2000-2
Maral Kichian
State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
C8,
C82,
C87,
C89
The Employment Costs of Downward Nominal-Wage Rigidity
Staff Working Paper 2000-1
Jean Farès,
Seamus Hogan
In this paper, we use firm-level wage and employment data to address whether there is evidence of downward nominal-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can result when estimating reduced-form wage and employment equations and suggest a way of controlling for that bias. […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C3,
C33,
J,
J2,
J23,
J3,
J31
The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada
Staff Working Paper 1999-20
Ron Lange
This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Interest rates
JEL Code(s):
E,
E4,
E43
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
Staff Working Paper 1999-19
John Knight,
Fuchun Li,
Mingwei Yuan
Diffusion functions in term-structure models are measures of uncertainty about future price movements and are directly related to the risk associated with holding financial securities. Correct specification of diffusion functions is crucial in pricing options and other derivative securities. In contrast to the standard parametric two-factor models, we propose a non-parametric two-factor term-structure model that […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C2,
C22,
G,
G1,
G13
Estimating One-Factor Models of Short-Term Interest Rates
Staff Working Paper 1999-18
Des Mc Manus,
David Watt
There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Interest rates
JEL Code(s):
C,
C5,
C52,
G,
G1,
G10
Canada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing Mechanisms
Staff Working Paper 1999-17
Zahir Antia,
Ramdane Djoudad,
Pierre St-Amant
Our contribution in this paper is threefold. First, we survey the empirical literature on consumption smoothing mechanisms of regional economic shocks. Second, building on the work of Asdrubali et al. (1996), we present evidence on the role played by various smoothing mechanisms for specific economic shocks affecting Canadian provinces. Third, we assess whether smoothing mechanisms […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes,
Exchange rates
JEL Code(s):
F,
F3,
F33,
F36,
G,
G1,
G15
Optimal Currency Areas: A Review of the Recent Literature
Staff Working Paper 1999-16
Robert Lafrance,
Pierre St-Amant
This paper surveys the recent literature on optimal currency areas (OCAs). Topics that are covered include theoretical developments in the context of general-equilibrium models and empirical work on shocks asymmetry and adjustment mechanisms. Issues relating to the endogeneity of OCA criteria, the role of exchange rate flexibility in promoting greater macroeconomic stability, and the links […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rate regimes
JEL Code(s):
E,
E4,
E42,
F,
F3,
F33