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result(s)
The Empirical Performance of Alternative Monetary and Liquidity Aggregates
Staff Working Paper 1995-12
Joseph Atta-Mensah
This paper examines the empirical performance of alternatives to the monetary aggregates currently published by the Bank of Canada. The results show that real M1 and real M1a perform about equally well in providing leading information about real output at short horizons. However, on theoretical grounds, M1a is a more attractive aggregate, since it excludes […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators
Long-Run Demand for M1
Staff Working Paper 1995-11
Scott Hendry
The goal of this paper is to investigate and estimate long-run relationships among M1, prices, output and interest rates, with a view to determining if there is a stable relationship that can be interpreted as long-run money demand. The paper uses a maximum-likelihood multiple-equation cointegration technique, developed by Johansen, to fit a system of equations […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary aggregates
The Canadian Experience with Weighted Monetary Aggregates
Staff Working Paper 1995-10
David Longworth,
Joseph Atta-Mensah
This paper compares the empirical performance of Canadian weighted monetary aggregates (in particular, Fisher ideal aggregates) with the current summation aggregates, for their information content and forecasting performance in terms of prices, real output and nominal spending for the period 1971Q1 to 1989Q3. The properties of money-demand equations for these aggregates, particularly their temporal stability, […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary aggregates
Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions
Staff Working Paper 1995-9
Alain DeSerres,
Alain Guay
authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
Exchange Rates and Oil Prices
Staff Working Paper 1995-8
Robert Amano,
Simon van Norden
This paper derives analytical gradients for a broad class of regime-switching models with Markovian state-transition probabilities. Such models are usually estimated by maximum likelihood methods, which require the derivatives of the likelihood function with respect to the parameter vector. These gradients are usually calculated by means of numerical techniques. The paper shows that analytical gradients […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
August 10, 1995
Aspects of economic restructuring in Canada, 1989-1994
The way in which Canadian firms produce goods and services has changed dramatically during the 1990s. A major feature of this restructuring has been a shift towards greater use of capital goods, particularly computer-based technology, relative to labour in production processes. The author examines this phenomenon from a macroeconomic perspective, identifying the principal factors behind the trends in investment and employment since the late 1980s. The analysis focusses on the relative costs of capital and labour over the period and on their implications for output and employment.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Productivity,
Recent economic and financial developments
August 9, 1995
Uncertainty and the transmission of monetary policy in Canada (HERMES-Glendon Lecture)
Gordon Thiessen, Governor of the Bank of Canada, delivered the HERMES-Glendon Lecture at York University, Toronto, in March 1995. The speech focussed on the interrelationships of uncertainty and the transmission of monetary policy to the economy. It looked at how the various types of uncertainty influence the behaviour of economic actors, and at how uncertainty affects the transmission of monetary policy through the economy. The first part of the lecture outlines the Bank of Canada's view of the transmission mechanism, with considerable attention paid to the role of uncertainty. In the second part, the various ways in which the Bank has tried to reduce uncertainty are discussed. The various kinds of uncertainty that impinge on the economy and on the policy process are addressed.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Monetary policy implementation
Inflation, Learning and Monetary Policy Regimes in The G-7 Economies
Staff Working Paper 1995-6
Nicholas Ricketts,
David Rose
In this paper, the authors report estimates of two- and three-state Markov switching models applied to inflation, measured using consumer price indexes, in the G-7 countries. They report tests that show that two-state models are preferred to simple one-state representations of the data, and argue that three-state representations are more satisfactory than two-state representations for […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
May 8, 1995
Exchange rate fundamentals and the Canadian dollar
Views in the economic literature on the main factors that influence exchange rates have evolved over time in response to economic developments and new trends in economic theory. This article provides a brief interpretative survey of the main theories of exchange rate determination. The factors that influence exchange rate developments are varied and complex. However, the authors show that the broad movements of the Canada-U.S. real exchange rate since the early 1970s can be captured by a simple equation that highlights the role of commodity prices and Canada-U.S. interest rate differentials. The equation is used to interpret the evolution of the real exchange rate over the last two decades. At times, the real exchange rate deviates significantly from what the equation would predict. One explanation is that the equation omits certain factors that can influence the exchange rate, particularly in the short run. These may include fiscal policy variables, international indebtedness, political uncertainty, and investor sentiments—factors that are difficult to quantify but that have been particularly relevant in recent years.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates