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3046 Results

GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

Staff Working Paper 2000-2 Maral Kichian
State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C8, C82, C87, C89

Non-homothetic Preferences and the Demand Channel of Inflation

Staff Working Paper 2025-30 Stephen Murchison
An alternative to the standard CES aggregator, based on non-homothetic household preferences, is proposed. Specifically, the elasticity of substitution between goods declines during periods of strong per-capita consumption and vice versa, giving firms an incentive to adjust their desired markup in response to the state of demand. Empirical evidence favouring a direct role for per-capita consumption demand in inflation determination for Canada is presented.

An Introduction to Wavelets for Economists

Staff Working Paper 2002-3 Christoph Schleicher
Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1

Global Real Activity for Canadian Exports: GRACE

Staff Discussion Paper 2017-2 André Binette, Tony Chernis, Daniel de Munnik
Canadian exports have often disappointed since the Great Recession. The apparent disconnect between exports and the Bank of Canada’s current measure of foreign demand has created an impetus to search for an alternative.

Firms Dynamics, Bankruptcy Laws and Total Factor Productivity

Staff Working Paper 2007-17 Hajime Tomura
This paper analyzes endogenous fluctuations in total factor productivity (TFP) in a dynamic general equilibrium model with heterogeneous agents, and illustrates the interaction of credit market frictions, asset prices, the entry and exit of firms, and fluctuations in TFP in response to firm-level productivity and aggregate credit-market shocks. I also analyze the effect of bankruptcy and foreclosure laws on fluctuations in TFP through their effect on credit market frictions.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Productivity JEL Code(s): D, D2, D24, E, E4, E44, G, G3, G33

A Three‐Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth

Staff Discussion Paper 2017-8 Tony Chernis, Gabriella Velasco, Calista Cheung
This paper estimates a three‐frequency dynamic factor model for nowcasting Canadian provincial gross domestic product (GDP). Canadian provincial GDP is released by Statistics Canada on an annual basis only, with a significant lag (11 months).
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