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3045 Results

Measuring Potential Output within a State-Space Framework

Staff Working Paper 1999-9 Maral Kichian
In this paper we measure potential output (and consequently the output gap) using state-space models. Given that the estimated output gap is used as an indicator to measure the extent of inflationary pressures in the economy, we evaluate the use of such models for the implementation of monetary policy. Our starting point is the Gerlach […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Potential output JEL Code(s): D, D2, D24
November 17, 2011

Modelling the Counterfeiting of Bank Notes: A Literature Review

The objective of this article is to improve our understanding of counterfeiting and its policy implications by reviewing research in this area. There has been almost no empirical work on counterfeiting because of the limited availability of counterfeiting data and related statistics. The authors therefore focus on theoretical studies that directly model the behaviour of the relevant economic agents. They first establish some stylized facts about counterfeiting to provide a general understanding of the problem. They then briefly review several models of counterfeiting and summarize their relevant insights, focusing on the implications of the findings for the incentive to counterfeit, social welfare and anti-counterfeiting policies. The authors find that the policy implications of these studies support the Bank’s comprehensive anti-counterfeiting strategy.
Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Bank notes

A Wave of Protectionism? An Analysis of Economic and Political Considerations

Staff Working Paper 2008-2 Philipp Maier
In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism.

Canadian Short-Term Interest Rates and the BAX Futures Market: Analysis of the Impact of Volatility on Hedging Activity and the Correlation of Returns between Markets

Staff Working Paper 1997-18 David Watt
This paper analyses how Canadian financial firms manage short-term interest rate risk through the use of BAX futures contracts. The results show that the most effective hedging strategy is, on average, a static strategy based on linear regression that assumes constant variances, even though dynamic models allowing for time-varying variances are found to have superior explanatory power.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Interest rates JEL Code(s): E, E4, E43

Schooling, Inequality and Government Policy

Staff Working Paper 2007-12 Oleksiy Kryvtsov, Alexander Ueberfeldt
This paper asks: What is the effect of government policy on output and inequality in an environment with education and labor-supply decisions? The answer is given in a general equilibrium model, consistent with the post 1960s facts on male wage inequality and labor supply in the U.S. In the model, education and labor-supply decisions depend on progressive income taxation, the education system, the social security system, and technology-driven wage differentials.
Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets, Potential output, Productivity JEL Code(s): H, H5, H52, J, J3, J31, J38

The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy

Staff Working Paper 2006-12 Eva Ortega, Nooman Rebei
The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages.
Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Inflation targets JEL Code(s): E, E3, E31, E32, E5, E52

Good Volatility, Bad Volatility and Option Pricing

Staff Working Paper 2017-52 Bruno Feunou, Cédric Okou
Advances in variance analysis permit the splitting of the total quadratic variation of a jump diffusion process into upside and downside components. Recent studies establish that this decomposition enhances volatility predictions, and highlight the upside/downside variance spread as a driver of the asymmetry in stock price distributions.
Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): G, G1, G12
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