Resurrecting the Role of Real Money Balance Effects Staff Working Paper 2009-24 José Dorich I present a structural econometric analysis supporting the hypothesis that money is still relevant for shaping inflation and output dynamics in the United States. In particular, I find that real money balance effects are quantitatively important, although smaller than they used to be in the early postwar period. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Monetary aggregates, Monetary policy transmission JEL Code(s): E, E3, E31, E32, E5, E52
Structural Inflation Models with Real Wage Rigidities: The Case of Canada Staff Working Paper 2009-21 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Labour markets JEL Code(s): C, C1, C13, C5, C52, E, E3, E31
The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness Staff Working Paper 2009-20 Bruno Feunou, Jean-Sébastien Fontaine, Roméo Tedongap We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G12, G13
June 8, 2006 Floating Dollar, Anchored Inflation: The Role of the Exchange Rate in Canada's Monetary Policy Framework Remarks Tiff Macklem Lunenburg Board of Trade Lunenburg, Nova Scotia The two key components of the Bank's monetary policy framework are an "anchor," the inflation target, and a "float," the flexible exchange rate. Living by the ocean, you know better than I that a good mooring is one that keeps a boat in place, yet allows some give and take for the wind and the tide. Content Type(s): Press, Speeches and appearances, Remarks
Testing the Stability of the Canadian Phillips Curve Using Exact Methods Staff Working Paper 2003-7 Lynda Khalaf, Maral Kichian Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C5, C52, E, E3, E31, E37
April 27, 2006 Release of the Monetary Policy Report Opening statement David Dodge The Canadian economy continues to grow at a solid pace, supported by robust global growth, firm commodity prices, and strong domestic demand. At the same time, global competition and the past appreciation of the Canadian dollar continue to pose challenges for a number of sectors. Content Type(s): Press, Speeches and appearances, Opening statements
An Eclectic Approach to Estimating U.S. Potential GDP Staff Working Paper 2002-36 Marc-André Gosselin, René Lalonde The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32
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
Alternative Trading Systems: Does One Shoe Fit All? Staff Working Paper 2002-33 Nicolas Audet, Toni Gravelle, Jing Yang This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): G, G1, G10, G14, G18
September 13, 2006 Weathering Economic Shocks: The Importance of Flexibility Remarks Paul Jenkins Vancouver Board of Trade Vancouver, British Columbia First, I should explain what I mean by flexibility. As most of you are surely aware, the Bank of Canada has been openly discussing the importance of promoting policies that support economic efficiency, including financial system efficiency. Efficiency refers to the allocation of scarce economic resources to the most productive uses, in a cost-effective way. Content Type(s): Press, Speeches and appearances, Remarks