ToTEM: The Bank of Canada's New Quarterly Projection Model Technical Report No. 97 Stephen Murchison, Andrew Rennison The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
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 Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4
Can Affine Term Structure Models Help Us Predict Exchange Rates? Staff Working Paper 2006-27 Antonio Diez de los Rios The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices Staff Working Paper 2006-25 Greg Tkacz, Carolyn A. Wilkins The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices JEL Code(s): C, C5, C53, E, E4
Examining the Trade-Off between Settlement Delay and Intraday Liquidity in Canada's LVTS: A Simulation Approach Staff Working Paper 2006-20 Neville Arjani The author explores a fundamental trade-off that occurs between settlement delay and intraday liquidity in the daily operation of large-value payment systems (LVPS), with specific application to Canada's Large Value Transfer System (LVTS). Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): E, E4, E47, G, G2, G21
Monetary Policy in an Estimated DSGE Model with a Financial Accelerator Staff Working Paper 2006-9 Ian Christensen, Ali Dib The authors estimate a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke, Gertler, and Gilchrist (1999), to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): E, E3, E32, E37, E4, E44
Regime Shifts in the Indicator Properties of Narrow Money in Canada Staff Working Paper 2006-6 Tracy Chan, Ramdane Djoudad, Jackson Loi Financial innovations and the removal of the reserve requirements in the early 1990s have made the distinction between demand and notice deposits arbitrary. Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E4, E40, E42, E5, E50
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate Staff Working Paper 2005-45 Ingrid Lo The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4
The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach Staff Working Paper 2005-36 René Garcia, Richard Luger The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. Content Type(s): Staff research, Staff working papers Topic(s): Interest rates JEL Code(s): E, E4, E43, E44, E47, E5, E52
The Impact of Unanticipated Defaults in Canada's Large Value Transfer System Staff Working Paper 2005-25 Darcey McVanel Canada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, E47, G, G2, G21