Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1323
result(s)
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Staff Working Paper 2006-27
Antonio Diez de los Rios
The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F31,
G,
G1,
G12,
G15
Using Monthly Indicators to Predict Quarterly GDP
Staff Working Paper 2006-26
Yi Zheng,
James Rossiter
The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Economic models
JEL Code(s):
C,
C2,
C22,
C5,
C53
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices
Staff Working Paper 2006-25
Greg Tkacz,
Carolyn A. Wilkins
The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Inflation and prices
JEL Code(s):
C,
C5,
C53,
E,
E4
Are Average Growth Rate and Volatility Related?
Staff Working Paper 2006-24
Partha Chatterjee,
Malik Shukayev
The empirical relationship between the average growth rate and the volatility of growth rates, both over time and across countries, has important policy implications, which depend critically on the sign of the relationship.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles
JEL Code(s):
E,
E3,
E32
Convergence in a Stochastic Dynamic Heckscher-Ohlin Model
Staff Working Paper 2006-23
Partha Chatterjee,
Malik Shukayev
The authors characterize the equilibrium for a small economy in a dynamic Heckscher-Ohlin model with uncertainty.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
F,
F4,
F43,
O,
O4,
O41
Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies
Staff Working Paper 2006-22
Anna Piretti,
Charles St-Arnaud
The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
C,
C5,
C53,
E,
E1,
E17,
E3,
E37
The International Monetary Fund's Balance-Sheet and Credit Risk
Staff Working Paper 2006-21
Ryan Felushko,
Eric Santor
The authors examine the characteristics of International Monetary Fund (IMF) lending from the 1960s to 2005.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics
JEL Code(s):
F,
F3
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach
Staff Working Paper 2006-20
Neville Arjani
The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
E,
E4,
E47,
G,
G2,
G21
Institutional Quality, Trade, and the Changing Distribution of World Income
Staff Working Paper 2006-19
Brigitte Desroches,
Michael Francis
Conventional wisdom holds that institutional changes and trade liberalization are two main sources of growth in per capita income around the world.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Development economics,
International topics
JEL Code(s):
F,
F1,
F11,
F15,
O,
O1,
O11,
P,
P4,
P48