Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
An Intraday Analysis of the Effectiveness of Foreign Exchange Intervention
Staff Working Paper 1999-4
Neil Beattie,
Jean-François Fillion
This paper assesses the effectiveness of Canada's official foreign exchange intervention in moderating intraday volatility of the Can$/US$ exchange rate, using a 2-1/2-year sample of 10-minute exchange rate data. The use of high frequency data (higher than daily frequency) should help in assessing the impact of intervention since the foreign exchange market is efficient and […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
F,
F3,
F31,
G,
G1,
G15
Forecasting GDP Growth Using Artificial Neural Networks
Staff Working Paper 1999-3
Greg Tkacz,
Sarah Hu
Financial and monetary variables have long been known to contain useful leading information regarding economic activity. In this paper, the authors wish to determine whether the forecasting performance of such variables can be improved using neural network models. The main findings are that, at the 1-quarter forecasting horizon, neural networks yield no significant forecast improvements. […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Monetary and financial indicators
JEL Code(s):
C,
C4,
C45,
E,
E3,
E37,
E4,
E44
Capital Gains and Inflation Taxes in a Life-cycle Model
Staff Working Paper 1999-2
Charles Leung,
Guang-Jia Zhang
Inflation distorts an economy through many channels. This paper highlights the interaction between inflation and capital gains tax and how they distort an economy through the financial market. Several observations motivate this research. First, capital formation or investment is an important channel for economic agents to smooth their consumption over their life cycles. Second, capital […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation: costs and benefits
JEL Code(s):
E,
E5,
E6
Dynamic Employment and Hours Effects of Government Spending Shocks
Staff Working Paper 1999-1
Mingwei Yuan,
Wenli Li
In this paper, we analyze the dynamic behaviour of employment and hours worked per worker in a stochastic general equilibrium model with a matching mechanism between vacancies and unemployed workers. The model is estimated for the United States using the Generalized Methods of Moments (GMM) estimation technique. An increase in government spending raises hours worked […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Labour markets
JEL Code(s):
E,
E2,
E24,
E3,
E32,
E6,
E62,
J,
J6,
J64
Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire
Staff Working Paper 1998-23
Pierre St-Amant,
David Tessier
Over the last few years, many countries have adopted inflation targets. The objective of this paper is to report some empirical results that bear on the link between the adoption of inflation targets and the behaviour of the main macroeconomic variables. After a discussion of some recent articles analyzing international experience, some simple statistical tests […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation targets
A Non-Paradoxical Interpretation of the Gibson Paradox
Staff Working Paper 1998-22
Serge Coulombe
In this study, we show how, to yield the real cost of borrowing, the price level can be combined with the nominal interest rate in a monetary regime where the level of prices is trend stationary. We show that the price level then conveys intertemporal information in a way similar to nominal interest rates. We […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Inflation: costs and benefits,
Interest rates
Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne
Staff Working Paper 1998-21
René Lalonde,
Jennifer Page,
Pierre St-Amant
This study introduces a new method for identifying the output gap, based on the estimation of multivariate autoregression (VAR) models. This approach, which involves using restrictions to identify structural shocks that have only a transitory effect on output but that affect the trend inflation rate, is compared with the decomposition method proposed by Blanchard and […]
Content Type(s):
Staff research,
Staff working papers
Evaluating Alternative Measures of the Real Effective Exchange Rate
Staff Working Paper 1998-20
Robert Lafrance,
Patrick Osakwe,
Pierre St-Amant
This paper discusses the merits and shortcomings of alternative price indices used in constructing real effective exchange rate indices and examines the effects of different weighting schemes. It also compares selected measures of the real effective exchange rate in terms of their ability to explain movements in Canadian net exports and real output. The paper […]
Content Type(s):
Staff research,
Staff working papers
Can a Matching Model Explain the Long-Run Increase in Canada's Unemployment Rate?
Staff Working Paper 1998-19
Andreas Hornstein,
Mingwei Yuan
The authors construct a simple general equilibrium model of unemployment and calibrate it to the Canadian economy. Job creation and destruction are endogenous. In this model, they consider several potential factors that could contribute to the long-run increase in the Canadian unempoloyment rate: a more generous unemployment insurance system, higher layoff costs, higher discretionary taxes, […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy,
Labour markets
JEL Code(s):
E,
E2,
E6,
J,
J4