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
Fiscal Policy and External Balance in the G-7 Countries Technical Report No. 60 Stephen S. Poloz This paper assesses evidence, from the G-7 countries, of a link between a country's fiscal policy and its external balance, often referred to as the "twin deficits" phenomenon. It begins by reviewing the stylized facts, and then examines the theoretical case for such a link. Content Type(s): Staff research, Technical reports Topic(s): Balance of payments and components, Fiscal policy, International topics JEL Code(s): F, F3, F32, F4, F41, H, H6, H60
A Simple Multivariate Filter for the Measurement of Potential Output Technical Report No. 59 Douglas Laxton, Robert Tetlow This paper examines techniques that have been used to estimate potential output and finds them wanting. We suggest a simple multivariate-filtering technique that is a generalization of the Hodrick-Prescott univariate filter. In univariate filters, only information about a variable itself is used in eliminating noise in order to obtain an estimate of the underlying trend. […] Content Type(s): Staff research, Technical reports Topic(s): Potential output JEL Code(s): C, C1, C15, E, E2
Is Hysteresis a Characteristic of the Canadian Labour Market? A Tale of Two Studies Staff Working Paper 1992-3 Stephen S. Poloz, Gordon Wilkinson This paper replicates and extends the econometric work of two previous studies of output-inflation dynamics in Canada -- Fortin (1991) and Cozier and Wilkinson (1991) -- in an attempt to reconcile their divergent conclusions. Content Type(s): Staff research, Staff working papers
Government Debt in an Open Economy Technical Report No. 58 Douglas Laxton, Robert Tetlow This paper introduces the CORE model, a prototype for a new quarterly model of the Canadian economy, designed for projections and policy analysis with focus beyond the very short run. The model has a clearly defined equilibrium and explicit adjustment mechanisms, primarily through relative prices, that are dynamically stable. Overlaid on a neo-classical growth model […] Content Type(s): Staff research, Technical reports Topic(s): Fiscal policy JEL Code(s): C, C5, C53, F, F3, F32, H, H3, H30, H6, H60
Some Implications of International Financial Integration for Canadian Public Policy Technical Report No. 57 William White The domestic capital markets of the major industrial countries have become more closely integrated over the last two decades, a by-product of regulatory and technological change. This paper considers some of the implications of those changes for Canadian public policy. While no profound implications are found for Canadian macroeconomic policies, which probably reflects a long […] Content Type(s): Staff research, Technical reports Topic(s): International topics JEL Code(s): E, E5, E50, F, F3, F33, H, H3, H30
Wage and Price Dynamics in Canada Technical Report No. 56 Barry Cozier This paper examines wage and price dynamics in Canada with a view towards testing the implications of a wage-price dynamics, according to which unit labour costs are determined by a wage Phillips curve while prices are set as a markup over unit labour costs. This model is compared to an alternative model in which excess […] Content Type(s): Staff research, Technical reports Topic(s): Inflation and prices JEL Code(s): C, C5, C51, C52, E, E2, E24, E3, E31
Some Evidence on Hysteresis and the Costs of Disinflation in Canada Technical Report No. 55 Barry Cozier, Gordon Wilkinson This paper addresses the following questions: How large are the output costs of disinflation in Canada? Are these costs temporary, as predicted by natural-rate models, or are they permanent, as predicted by hysteresis models? Are the costs of disinflation higher at lower rates of inflation? Are they higher when the economy is at or below […] Content Type(s): Staff research, Technical reports Topic(s): Labour markets JEL Code(s): E, E2, E24, E3, E31
February 26, 1991 Targets for Reducing Inflation March 1991 statement announcing the renewal of the agreement. Content Type(s): Press, Press releases