Testing for a Structural Break in the Volatility of Real GDP Growth in Canada Staff Working Paper 2001-9 Alexandre Debs This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E3, E32
On the Nature and the Stability of the Canadian Phillips Curve Staff Working Paper 2001-4 Maral Kichian This paper empirically determines why, during the 1990s, inflation in Canada was consistently more stable than predicted by the fixed-coefficients Phillips curve. A time-varying-coefficient model, where all the parameters adjust simultaneously, shows that the behaviour of expectations was probably a major contributing factor. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E37
Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis Staff Working Paper 2000-12 Hashmat Khan The sticky-price model of aggregate fluctuations implies that countries with high trend inflation rates should exhibit less-persistent output fluctuations than countries with low trend inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E31, E32
The U.S. Capacity Utilization Rate: A New Estimation Approach Staff Working Paper 1999-14 René Lalonde The recent strengh of the U.S. economy and historically low rates of inflation have sparked considerable debate among economists and Federal Reserve officials. In order to better explain the recent behaviour of inflation, some observers have raised the concept of a non-accelerating inflation capacity utilization rate (NAICU). In this study, the author presents a new […] Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles JEL Code(s): E, E3, E32, E37
Predicting Canadian Recessions Using Financial Variables: A Probit Approach Staff Working Paper 1998-5 Joseph Atta-Mensah, Greg Tkacz This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding is that the spread between the yield on Canadian […] Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Interest rates JEL Code(s): E, E3, E32, E4, E43