Inflation and prices

• Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

  Staff Working Paper 2012-37 Bruno Feunou, Jean-Sébastien Fontaine

  We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Inflation and prices, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12
• August 16, 2012

  Measurement Bias in the Canadian Consumer Price Index: An Update

  Bank of Canada Review - Summer 2012 Patrick Sabourin

  The consumer price index (CPI) is the most commonly used measure to track changes in the overall level of prices. Since it departs from a true cost-of-living index, the CPI is subject to four types of measurement bias—commodity substitution, outlet substitution, new goods and quality adjustment. The author updates previous Bank of Canada estimates of measurement bias in the Canadian CPI by examining these four sources of potential bias. He finds the total measurement bias over the 2005–11 period to be about 0.5 percentage point per year, consistent with the Bank’s earlier findings. Slightly more than half of this bias is caused by the fixed nature of the CPI basket of goods and services.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Inflation and prices, Inflation targets JEL Code(s): E, E3, E31, E5, E52

• The Sensitivity of Producer Prices to Exchange Rates: Insights from Micro Data

  Staff Working Paper 2012-20 Shutao Cao, Wei Dong, Ben Tomlin

  This paper studies the sensitivity of Canadian producer prices to the Canada-U.S. exchange rate. Using a unique product-level price data set, we estimate and analyze the impact of movements in the exchange rate on both domestic and export producer prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Inflation and prices, Market structure and pricing JEL Code(s): E, E3, E30, F, F3, F31, F4, F41, L, L1, L11

• Commodities and Monetary Policy: Implications for Inflation and Price Level Targeting

  Staff Working Paper 2012-16 Donald Coletti, René Lalonde, Paul Masson, Dirk Muir, Stephen Snudden

  We examine the relative ability of simple inflation targeting (IT) and price level targeting (PLT) monetary policy rules to minimize both inflation variability and business cycle fluctuations in Canada for shocks that have important consequences for global commodity prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, International topics, Monetary policy framework JEL Code(s): E, E1, E17, E3, E31, E37, E5, E52, F, F4, F41, Q, Q4, Q43
• November 7, 2011

  Renewal of the Inflation-Control Target (November 2011)

  Commentary and technical data relating to the 2011 target renewal.

  Content Type(s): Background materials Topic(s): Inflation and prices, Monetary policy

• Money and Price Posting under Private Information

  Staff Working Paper 2011-22 Mei Dong, Janet Hua Jiang

  We study price posting with undirected search in a search-theoretic monetary model with divisible money and divisible goods. Ex ante homogeneous buyers experience match specific preference shocks in bilateral trades. The shocks follow a continuous distribution and the realization of the shocks is private information.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): D, D8, D82, D83, E, E3, E31

• The Behaviour of Consumer Prices Across Provinces

  Staff Discussion Paper 2011-2 Gordon Wilkinson

  Measures of core inflation enable a central bank to distinguish price movements that are transitory and generated by non-monetary events from those that are more permanent and related to prior monetary policy decisions.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Inflation and prices JEL Code(s): E, E3, E31

• Semi-Structural Models for Inflation Forecasting

  Staff Working Paper 2010-34 Maral Kichian, Rumler Fabio, Paul Corrigan

  We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C53, E, E3, E31
• November 19, 2010

  Has Exchange Rate Pass-Through Really Declined? Some Recent Insights from the Literature

  Bank of Canada Review - Autumn 2010 Jeannine Bailliu, Wei Dong, John Murray

  Building on an earlier Review article, the authors critically reassess the premise that exchange rate pass-through (ERPT) has declined in light of recent studies of the issue in the context of a dynamic stochastic general-equilibrium framework.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Economic models, Exchange rates, Inflation and prices, Monetary policy framework

• The Fisher BCPI: The Bank of Canada’s New Commodity Price Index

  Staff Discussion Paper 2010-6 Ilan Kolet, Ryan Macdonald

  The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI).

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, E, E3