Forecasting Inflation with the M1-VECM: Part Two Staff Working Paper 1998-6 Walter Engert, Scott Hendry A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […] Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5
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
The Benefits of Low Inflation: Taking Stock Technical Report No. 83 Brian O'Reilly This paper surveys the empirical literature on the benefits of low inflation, emphasizing contributions since 1990. It follows the framework of a section in the Bank's 1990 Annual Report, "The benefits of price stability." Content Type(s): Staff research, Technical reports Topic(s): Inflation: costs and benefits JEL Code(s): E, E3
April 1, 1998 Bank of Canada Announces Appointment of Special Adviser Media Relations Professor David Laidler of the University of Western Ontario has been chosen to fill the newly-created visiting economist position of Special Adviser in the Bank of Canada for a one-year term beginning in August 1998. Content Type(s): Press, Press releases
March 25, 1998 The Future Performance of the Canadian Economy Remarks Gordon Thiessen Canadian Club of Winnipeg Winnipeg, Manitoba It can take anywhere from one to two years for monetary actions to have their full effect on the economy. Because of this, the conduct of monetary policy must be based on a view of what the economy will be like - not tomorrow, not in a month - but rather in one to two years' time. Content Type(s): Press, Speeches and appearances, Remarks
A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions Staff Working Paper 1998-4 Pierre St-Amant, David Tessier In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First, simulation exercises suggest that this approach does well when […] Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3
Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis Staff Working Paper 1998-3 Pierre St-Amant, David Tessier The authors' purpose in this paper is to isolate the respective contributions of budgetary and monetary policy in Canada and the United States to the behaviour of unemployment rates in the two countries. Their method consists of estimating VAR models and using long-term identification restrictions to perform a structural analysis. Budgetary policy shocks are defined […] Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy JEL Code(s): E, E6
The Financial Services Sector: Past Changes and Future Prospects Technical Report No. 82 Charles Freedman, Clyde Goodlet The financial services industry has been undergoing significant change in recent years. This paper analyzes some key developments affecting the industry and examines some important issues facing the industry and its regulators. Content Type(s): Staff research, Technical reports Topic(s): Financial services JEL Code(s): G, G2
The Canadian Banking System Technical Report No. 81 Charles Freedman This paper examines the major changes in the Canadian banking system since the Second World War, with special attention paid to the differences between Canadian and U.S. developments over this period. Content Type(s): Staff research, Technical reports Topic(s): Financial institutions JEL Code(s): G, G2
February 24, 1998 Inflation-Control Targets Extended Media Relations The Bank of Canada today released a joint statement of the Government of Canada and the Bank of Canada on the extension of the inflation-control targets. Content Type(s): Press, Press releases