May 11, 1996 Bank of Canada Review - Spring 1996 Cover page Danzig: 20-gulden note, 1932 This note is part of the National Currency Collection, Bank of Canada. Photography by James Zagon. Content Type(s): Publications, Bank of Canada Review
May 10, 1996 Financing activities of provincial governments and their enterprises Bank of Canada Review - Spring 1996 Philip Wooldridge This article examines the changes that have occurred in the composition of funds raised by provincial borrowers during the 1990s. Higher financing requirements, coupled with the declining availability of funds from non-market sources such as the Canada Pension Plan, led provincial governments and their Crown corporations to broaden and to diversify their debt management programs. In particular, provincial borrowers expanded their presence in foreign bond markets, increased their issuance of floating-rate debt, and incorporated a wide variety of innovative debt instruments into their borrowing programs in order to minimize their borrowing costs and to manage the risks associated with the issuing of debt. As a result, the composition of funds raised by provincial borrowers during the 1990s differed markedly from that of the previous decade: between 1990 and 1995, provincial borrowing requirements were met almost entirely through the issuance of marketable debt, and net new foreign currency debt issues averaged nearly 50 per cent of funds raised, whereas between 1980 and 1989, non-market sources provided close to 30 per cent of funds raised, and net new foreign currency debt issues provided less than 20 per cent. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Debt management, Fiscal policy
May 9, 1996 The role of inventory management in Canadian economic fluctuations Bank of Canada Review - Spring 1996 Hung-Hay Lau Swings in inventory investment have traditionally played a major role in Canadian business cycles. However, advances in inventory-control techniques and the reduced uncertainty associated with lower inflation have enabled firms to manage their inventories much more tightly and effectively. This article examines recent developments in the management of non-farm business inventories in Canada at both the aggregate and the sectoral level and looks at implications for the role of inventories as a source of economic fluctuation. Content Type(s): Publications, Bank of Canada Review articles Topic(s): Domestic demand and components
An Econometric Examination of the Trend Unemployment Rate in Canada Staff Working Paper 1996-7 Denise Côté, Doug Hostland This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration. Content Type(s): Staff research, Staff working papers Topic(s): Labour markets JEL Code(s): E, E2, E24
The Bank of Canada's New Quarterly Projection Model, Part 3. The Dynamic Model: QPM Technical Report No. 75 Donald Coletti, Benjamin Hunt, David Rose, Robert Tetlow The Bank of Canada's new Quarterly Projection Model, QPM, combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis. Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17
Provincial Credit Ratings in Canada: An Ordered Probit Analysis Staff Working Paper 1996-6 Stella Cheung The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): H, H6, H63
A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria Staff Working Paper 1996-5 Joseph Atta-Mensah, Walter Engert, Scott Hendry, Jamie Armour A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary aggregates, Monetary policy transmission JEL Code(s): E, E3, E37, E5, E52
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions Staff Working Paper 1996-4 Walter Engert, Ben Fung, Jamie Armour The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary and financial indicators JEL Code(s): E, E5, E52
January 10, 1996 Bank of Canada Review - Winter 1995-1996 Cover page Canada, gold Maple Leaf, 1985 The Maple Leaf, which is larger than the circulating dollar coin, is part of the National Currency Collection of the Bank of Canada. Photography by James Zagon. Content Type(s): Publications, Bank of Canada Review
Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures Staff Working Paper 1996-3 Simon van Norden, Robert Vigfusson This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C6, C63