Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1295
result(s)
Fads or Bubbles?
Staff Working Paper 1997-2
Huntley Schaller,
Simon van Norden
This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
G,
G1,
G12
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
Staff Working Paper 1997-1
Marie-Josée Godbout,
Simon van Norden
This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C15,
C2,
C22,
C3,
C32,
F,
F3,
F31
A Modified P*-Model of Inflation Based on M1
Staff Working Paper 1996-15
Joseph Atta-Mensah
This paper examines the performance of M1 in an indicator-model of inflation over time horizons as long as 16 quarters into the future.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
E,
E3,
E37
L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme
Staff Working Paper 1996-14
Jean-François Fillion
This paper examines the effects that Canada's indebtedness has on Canadian real long-term interest rates, using the vector error-correction model (VECM). Our results show that there is a strongly cointegrated relationship between real interest rates in Canada, U.S. real interest rates, and Canadian public and external debt ratios.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F30,
H,
H6,
H60
Speculative Behaviour, Regime-Switching and Stock Market Crashes
Staff Working Paper 1996-13
Simon van Norden,
Huntley Schaller
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
E,
E4,
E44,
G,
G1,
G12
The Commodity-Price Cycle and Regional Economic Performance in Canada
Staff Working Paper 1996-12
Mario Lefebvre,
Stephen S. Poloz
This paper attempts to provide one interpretation of the broad regional economic history of Canada since the early 1970s. As the title of the paper suggests, we believe that, to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Regional economic developments
JEL Code(s):
E,
E3,
E32
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
Staff Working Paper 1996-11
Simon van Norden,
Robert Vigfusson
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C5,
C52
Unit-Root Tests and Excess Returns
Staff Working Paper 1996-10
Marie-Josée Godbout,
Simon van Norden
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
F,
F3,
F31
Does Inflation Uncertainty Vary with the Level of Inflation?
Staff Working Paper 1996-9
Allan Crawford,
Marcel Kasumovich
The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy and uncertainty
JEL Code(s):
C,
C5,
C52,
E,
E3,
E31