Supply Drivers of US Inflation Since the COVID-19 Pandemic Staff Working Paper 2023-19 Serdar Kabaca, Kerem Tuzcuoglu This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E31, E32
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4
International Spillovers of Large-Scale Asset Purchases Staff Working Paper 2015-2 Sami Alpanda, Serdar Kabaca This paper evaluates the international spillover effects of large-scale asset purchases (LSAPs) using a two-country dynamic stochastic general-equilibrium model with nominal and real rigidities, and portfolio balance effects. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, International topics, Monetary policy transmission JEL Code(s): E, E5, E52, F, F4, F41
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 Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E3, E37
Real-financial Linkages through Loan Default and Bank Capital Staff Working Paper 2013-3 Tamon Takamura Many studies in macroeconomics argue that financial frictions do not amplify the impacts of real shocks. This finding is based on models without endogenous default on loans and bank capital. Using a model featuring endogenous interactions between firm default and bank capital, this paper revisits the propagation mechanisms of real and financial shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial stability, Financial system regulation and policies, Interest rates JEL Code(s): E, E3, E32, E4, E44, E6, E69
A Forecasting Model for Inventory Investments in Canada Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian The authors present an empirical model to forecast short-run inventory investment behaviour for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62
Quantitative Easing and Long‐Term Yields in Small Open Economies Staff Working Paper 2017-26 Antonio Diez de los Rios, Maral Shamloo We compare the Federal Reserve’s asset purchase programs with those implemented by the Bank of England and the Swedish Riksbank, and the Swiss National Bank’s reserve expansion program. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates, Monetary policy JEL Code(s): E, E4, E43, E5, E52, E58, G, G1, G12
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 Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): C, C2, C22, C5, C53
Central Bank Performance under Inflation Targeting Staff Working Paper 2007-18 Marc-André Gosselin The inflation targeting (IT) regime is 17 years old. With practice of IT now in more than 21 countries, there is enough evidence gathered to take stock of the IT experience. In this paper, we analyze the inflation record of IT central banks. Content Type(s): Staff research, Staff working papers Research Topic(s): Central bank research, Inflation targets, Monetary policy framework JEL Code(s): E, E3, E31, E5, E52, E58
Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework Staff Working Paper 2004-9 Jean-Paul Lam, Greg Tkacz In an era when the primary policy instrument is the level of the short-term interest rate, a comparison of that rate with some equilibrium rate can be a useful guide for policy and a convenient method to measure the stance of monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates JEL Code(s): C, C3, C32, E, E3, E37