The Role of House Prices in Regional Inflation Disparities Technical Report No. 67 Dinah Maclean Theoretically, house prices will reveal greater disparities between regions than prices for more easily tradable goods and services. This contributes to regional disparities in inflation. In this report the author reviews a range of factors that are likely to cause greater disparities in house price inflation than in the price inflation of other goods and […] Content Type(s): Staff research, Technical reports Topic(s): Regional economic developments
Les sources des fluctuations des taux de change en Europe et leurs implications pour l'union monétaire Technical Report No. 66 Alain DeSerres, René Lalonde The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as […] Content Type(s): Staff research, Technical reports Topic(s): Exchange rates JEL Code(s): F, F1, F15, F3, F31
December 22, 1993 Statement of the Government of Canada and the Bank of Canada on Monetary Policy Objectives December 1993 statement announcing the renewal of the agreement. Content Type(s): Press, Press releases
Modèles indicateurs du PIB réel pour quatre pays d'Europe et le Japon Staff Working Paper 1993-11 Peter Gruhn, Pierre St-Amant For the five overseas countries considered in this study (Germany, France, Italy, the United Kingdom and Japan), data on real GDP are released on a quarterly basis at least two months after the end-of-quarter. Content Type(s): Staff research, Staff working papers
Tests of Market Efficiency in the One-Week When-Issued Market for Government of Canada Treasury Bills Technical Report No. 65 D. Graham Pugh This report presents different tests of market efficiency in the when- issued market for Government of Canada treasury bills and examines the effectiveness, in this market, of Bank operations over the 1986 to mid- 1992 period. The when-issued market, which is a combination of a forward and futures market, enables market participants to buy or […] Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G14
Measurement Biases in the Canadian CPI Technical Report No. 64 Allan Crawford The consumer price index (CPI) may be an imperfect measure of changes in the cost of living owing to measurement biases known as commodity substitution bias, new goods bias, quality bias and outlet substitution bias. When the sum of these individual biases is positive, the rate of change in the CPI overstates the increase in […] Content Type(s): Staff research, Technical reports Topic(s): Inflation and prices JEL Code(s): E, E3, E31
Monetary Policy, Uncertainty and the Presumption of Linearity Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […] Content Type(s): Staff research, Technical reports Topic(s): Economic models, Inflation and prices, Monetary policy and uncertainty JEL Code(s): E, E5, E52
The Development of Financial Derivatives Markets: The Canadian Experience Technical Report No. 62 Sean O'Connor In response to an intense demand for risk management services since the early 1980s, the over-the-counter (OTC) markets for financial derivatives in Canada have developed more vigorously than those for exchange-traded (EXT) derivative securities. This is particularly evident for interest rate derivatives. The objectives of this paper are to examine why Canadian interest rate derivatives […] Content Type(s): Staff research, Technical reports Topic(s): Financial markets JEL Code(s): G, G1, G10
State Space and ARMA Models: An Overview of the Equivalence Staff Working Paper 1993-00 Paul Gilbert In this paper known results about the equivalence of state space and autoregressive moving-average models with exogenous inputs (ARMAX) (including vector auto-regressive or VAR models) are reviewed. While most of these results are not new, no single reference appears to bring together several important related points. Content Type(s): Staff research, Staff working papers
Un modèle du coût du financement et du ratio d'endettement des entreprises non financières Technical Report No. 61 Jean-François Fillion The main aim of this paper is to calculate the cost of financing for Canadian non-financial businesses and to develop a model to explain financing cost trends on the basis of selected macroeconomic variables. The model described herein is a system based on four equations: one for the real after-tax cost of financing; one for […] Content Type(s): Staff research, Technical reports Topic(s): Economic models