Risk Premium Shocks and the Zero Bound on Nominal Interest Rates Staff Working Paper 2009-27 Robert Amano, Malik Shukayev There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that the zero bound does not constrain (optimal) monetary policy. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): E, E3, E32, E5, E52
Does Indexation Bias the Estimated Frequency of Price Adjustment? Staff Working Paper 2007-15 Maral Kichian, Oleksiy Kryvtsov We assess the implications of price indexation for estimated frequency of price adjustment in sticky price models of business cycles. These models predominantly assume that non-reoptimized prices are indexed to lagged or average inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models, Inflation and prices JEL Code(s): E, E3, E31, E37
Monetary Policy under Model and Data-Parameter Uncertainty Staff Working Paper 2005-6 Gino Cateau Policy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models. Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty JEL Code(s): D, D8, D81, E, E5, E58
The Canadian Phillips Curve and Regime Shifting Staff Working Paper 2003-32 Frédérick Demers Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31
What Does Structural Analysis of the External Finance Premium Say About Financial Frictions? Staff Working Paper 2019-38 Jelena Zivanovic I use a structural vector autoregression (SVAR) with sign restrictions to provide conditional evidence on the behavior of the US external finance premium (EFP). The results indicate that the excess bond premium, a proxy for the EFP, reacts countercyclically to supply and monetary policy shocks and procyclically to demand shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Financial markets, Recent economic and financial developments JEL Code(s): E, E3, E32, E4, E44
What Affects MFP in the Long-Run? Evidence from Canadian Industries Staff Working Paper 2008-4 Danny Leung, Yi Zheng In this paper we explore variables that may have an impact on multifactor productivity (MFP) in the long-run using the KLEMS database for Canada. We estimate a dynamic heterogeneous panel error-correction model of twelve 2-digit level industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Productivity JEL Code(s): C, C2, C23, D, D2, D24, O, O3, O30
Has Exchange Rate Pass-Through Really Declined in Canada? Staff Working Paper 2005-29 Hafedh Bouakez, Nooman Rebei Several empirical studies suggest that exchange rate pass-through has declined in recent years in industrialized countries. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models, Exchange rates, Inflation and prices, International topics JEL Code(s): F, F3, F4
Monetary Commitment and the Level of Public Debt Staff Working Paper 2016-3 Stefano Gnocchi, Luisa Lambertini We analyze the interaction between committed monetary policy and discretionary fiscal policy in a model with public debt, endogenous government expenditures, distortive taxation and nominal rigidities. Content Type(s): Staff research, Staff working papers Research Topic(s): Credibility, Fiscal policy, Inflation targets, Monetary policy framework JEL Code(s): E, E2, E24, E3, E32, E5, E52
A Structural VAR Approach to the Intertemporal Model of the Current Account Staff Working Paper 2003-42 Takashi Kano The intertemporal current account approach predicts that the current account of a small open economy is independent of global shocks, and that responses of the current account to country-specific shocks depend on the persistence of the shocks. The author shows that these predictions impose cross-equation restrictions (CERS) on a structural vector autoregression (SVAR). Content Type(s): Staff research, Staff working papers Research Topic(s): Balance of payments and components, Monetary aggregates JEL Code(s): F, F3, F32, F4, F41
Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit Staff Working Paper 2009-19 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, C53, E, E3, E37