C5 - Econometric Modeling

• Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?

  Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain

  The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, E, E3, E37

• MUSE: The Bank of Canada's New Projection Model of the U.S. Economy

  Technical Report No. 96 Marc-André Gosselin, René Lalonde

  The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C5, C53, E, E1, E17, E2, E27, E3, E37, F, F1, F17

• Forecasting Canadian GDP: Region-Specific versus Countrywide Information

  Staff Working Paper 2005-31 Frédérick Demers, David Dupuis

  The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E1, E17

• Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money

  Staff Working Paper 2005-30 Ali Dib, Louis Phaneuf

  The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Labour markets JEL Code(s): C, C5, C52, E, E2, E24, E3, E32, J, J2, J22

• Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis

  Staff Working Paper 2005-27 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

  The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• Learning-by-Doing or Habit Formation?

  Staff Working Paper 2005-15 Hafedh Bouakez, Takashi Kano

  In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models, Labour markets JEL Code(s): C, C5, C52, E, E3, E32, J, J2, J22