C5 - Econometric Modeling

• The Canadian Phillips Curve and Regime Shifting

  Staff Working Paper 2003-32 Frédérick Demers

  Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31

• Forecasting and Analyzing World Commodity Prices

  Staff Working Paper 2003-24 René Lalonde, Zhenhua Zhu, Frédérick Demers

  The authors develop simple econometric models to analyze and forecast two components of the Bank of Canada commodity price index: the Bank of Canada non-energy (BCNE) commodity prices and the West Texas Intermediate crude oil price. They present different methodologies to identify transitory and permanent components of movements in these prices.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5

• A Stochastic Simulation Framework for the Government of Canada's Debt Strategy

  Staff Working Paper 2003-10 David Bolder

  Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63

• A Comparison of Twelve Macroeconomic Models of the Canadian Economy

  Technical Report No. 94 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant

  In this report, the authors examine and compare twelve private and public sector models of the Canadian economy with respect to their paradigm, structure, and dynamic properties. These open-economy models can be grouped into two economic paradigms.

  Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy and uncertainty JEL Code(s): C, C5, E, E5, E52, E58

• Testing the Stability of the Canadian Phillips Curve Using Exact Methods

  Staff Working Paper 2003-7 Lynda Khalaf, Maral Kichian

  Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C5, C52, E, E3, E31, E37