The author compares the performance of three Gaussian approximation methods—by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001)—in estimating a model of the nonlinear continuous-time short-term interest rate.
: Econometric and statistical methods; Interest ratesThe 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.
: Econometric and statistical methods; Inflation and pricesThe author provides an overview of the 1975–78 Anti-Inflation Program (AIP), in a background document prepared for a seminar organized by the Bank of Canada to mark the AIP's 30th anniversary.
: Credibility; Fiscal Policy; Inflation and prices; Inflation targets; Monetary policy framework; Monetary policy implementationMost financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.
: Exchange rates; Financial Institutions; Market structure and pricingThe author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.
: Econometric and statistical methods; Economic modelsThe author documents the use by Canadian banks of subordinated debt (SD) as a capital instrument.
: Financial InstitutionsThe consumer price index (CPI) is the most commonly used measure of inflation in Canada.
: Inflation and prices; Inflation targetsOver the past few years, the ability of the United States to finance its current account deficit has been facilitated by massive purchases of U.S.
: Econometric and statistical methods; Financial stability; International topicsThe authors document the research output of 34 central banks from 1990 to 2003, and use proxies of research inputs to measure the research productivity of central banks over this period.
: Central bank researchThe authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates.
: Interest ratesA new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function.
: Econometric and statistical methods; Interest ratesThe author provides a non-technical explanation of the role played by the exchange rate in Canada's inflation-targeting monetary policy.
: Exchange rates; Inflation targets; Monetary policy implementationOf particular concern to monetary policy-makers is the considerable unreliability of financial variables for predicting GDP growth and inflation.
: Business fluctuations and cycles; Credit and credit aggregates; Inflation and prices; Interest rates; Monetary aggregatesThe international business literature measures the link between the degree of internationalization (DOI) of a firm's activities and its performance.
: Financial InstitutionsThe authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth.
: Econometric and statistical methodsThe hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data.
: Business fluctuations and cycles; Econometric and statistical methods; Labour marketsSeveral empirical studies suggest that exchange rate pass-through has declined in recent years in industrialized countries.
: Business fluctuations and cycles; Economic models; Exchange rates; Inflation and prices; International topicsThe authors investigate empirically the relationship between different aspects of inflation and relative price dispersion in Canada using a Markov regime-switching Phillips curve.
: Inflation and pricesThe authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation.
: Econometric and statistical methods; Inflation and pricesThe author analyzes a general-equilibrium model of a heterogeneous agents economy in which the agents are subject to borrowing constraints and uninsurable idiosyncratic production risk.
: Economic models; Financial Institutions; Financial marketsCanada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements.
: Financial Institutions; Payment clearing and settlement systemsThe authors develop a search model of venture capital in which the number of successful matches of entrepreneurs and venture capitalists (VCs) at any moment in time is a function of the number of entrepreneurs searching for funds, the number of VCs searching for entrepreneurs, and the number of vacancies posted by each VC.
: Financial markets; Fiscal Policy; Labour marketsThe author describes a model with a corrupt banking system, in which bankers knowingly lend at market interest rates to back projects riskier than the market rate indicates.
: Financial Institutions; Financial stabilityUsing industry-level data for 22 Canadian manufacturing industries, the authors examine the relationship between exchange rates and investment during the period 1981–97.
: Domestic demand and components; Exchange ratesThe Bank of Canada is one of very few central banks that has made records of the intraday timing of its intervention operations available to researchers.
: Exchange rates; Financial marketsThis study has two aspects. First, the author examines the theoretical properties of the constant elasticity of substitution (CES) production function and the implications of this formulation for the properties of a structural macroeconomic model.
: Economic modelsThe author develops the first comparative empirical study of bank failures during the nineties between East Asia and Latin America using bank-level data, in order to address the following two questions: (i) To what extent did individual bank conditions explain bank failures? (ii) Did mainly the weakest banks, in terms of their fundamentals, fail in the crisis countries?
: Financial InstitutionsThe author models the choice between credit cards and home equity lines of credit (HELOCs) within a framework where consumers hold lines of credit as instruments of consumption smoothing across state and time.
: Credit and credit aggregatesChanges in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuations in financial markets, as well as in accounts of "irrational exuberance."
: Economic models; Financial marketsThe linkages between inflation and the economy's cyclical position are thought to be strongly affected by the credibility of monetary authorities.
: Econometric and statistical methods; Inflation and prices; Transmission of monetary policyIn 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.
: Business fluctuations and cycles; Econometric and statistical methods; Economic models; Labour marketsThe authors provide some of the first empirical evidence on labour market adjustments to exchange rate movements in Canadian manufacturing industries.
: Exchange rates; Labour marketsThe authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale.
: Financial InstitutionsUsing industry-level data for Canadian manufacturing industries from 1981 to 1997, the authors find empirical evidence of a negative relationship between the capital-labour ratio and the user cost of capital relative to the price of labour.
: Exchange rates; ProductivityThe author develops a theoretical model of bank closure. The regulatory decision about bank failure consists of two parts: whether to close and how to close.
: Financial InstitutionsIn a search model of production, where agents accumulate heterogeneous amounts of human capital, an individual worker's wage depends on average human capital in the searching population.
: Labour marketsThe authors examine the ability of economic models with regime shifts to rationalize and explain the risk-aversion and pricing-kernel puzzles put forward in Jackwerth (2000).
: Financial markets; Market structure and pricingThe authors document the recent evolution of the self-employment rate in Canada. Between 1987 and 1998, the self-employment rate rose 3.5 percentage points from 13.8 per cent to 17.3 per cent.
: Labour marketsThe difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.
: Econometric and statistical methods; Market structure and pricingPolicy-makers in the United States over the past 15 to 20 years seem to have been cautious in setting policy: empirical estimates of monetary policy rules such as Taylor's (1993) rule are much less aggressive than those derived from optimizing models.
: Uncertainty and monetary policyThis study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989).
: Domestic demand and componentsInflation equals the product of two terms: an extensive margin (the fraction of items with price changes) and an intensive margin (the average size of those changes).
: Inflation and pricesThe authors study the price—volume dynamics ahead of the first public announcement of a takeover for 420 Canadian firms from 1985 to 2002.
: Financial marketsThe authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns.
: Financial markets; Market structure and pricingTo properly account for the dynamics of key macroeconomic variables, researchers incorporate various internal-propagation mechanisms in their models.
: Business fluctuations and cycles; Economic models; Labour markets
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