C52 - Model Evaluation, Validation, and Selection

• Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion

  Staff Working Paper 2006-14 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon

  Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37

• The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States

  Staff Working Paper 2006-11 René Lalonde, Nicolas Parent

  In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Monetary policy framework, Monetary policy implementation JEL Code(s): C, C2, C22, C5, C52, E, E5, E52

• Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

  Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian

  The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40