Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T04:50:05+00:00Do Mechanical Filters Provide a Good Approximation of Business Cycles?
https://www.bankofcanada.ca/1996/11/technical-report-no78/
In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.1996-11-01T14:20:30+00:00enDo Mechanical Filters Provide a Good Approximation of Business Cycles?1996-11-01Econometric and statistical methodsTechnical Report 78https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr78.pdfDo Mechanical Filters Provide a Good Approximation of Business Cycles?Alain GuayPierre St-AmantNovember 1996CC5C52EE3E32A Modified P*-Model of Inflation Based on M1
https://www.bankofcanada.ca/1996/11/working-paper-1996-15/
This paper examines the performance of M1 in an indicator-model of inflation over time horizons as long as 16 quarters into the future.1996-11-01T09:46:41+00:00enA Modified P*-Model of Inflation Based on M11996-11-01Economic modelsWorking Paper 1996-15 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-15.pdfA Modified P*-Model of Inflation Based on M1Joseph Atta-MensahNovember 1996EE3E37L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme
https://www.bankofcanada.ca/1996/10/working-paper-1996-14/
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.1996-10-02T09:41:26+00:00frL'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme1996-10-02Fiscal policyInterest ratesWorking Paper 1996-14https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-14.pdfL’endettement du Canada et ses effets sur les taux d’intérêt réels de long termeJean-François FillionOctober 1996EE4E43FF3F30HH6H60The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter
https://www.bankofcanada.ca/1996/10/technical-report-no77/
The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system.1996-10-01T14:15:28+00:00enThe Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter1996-10-01Economic modelsTechnical Report 77 https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr77.pdfThe Bank of Canada's New Quarterly Projection Model (QPM) Part 4: A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series FilterLeo ButlerOctober 1996CC5C51EE2E23Speculative Behaviour, Regime-Switching and Stock Market Crashes
https://www.bankofcanada.ca/1996/10/working-paper-1996-13/
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."1996-10-01T09:35:55+00:00enSpeculative Behaviour, Regime-Switching and Stock Market Crashes1996-10-01Financial marketsWorking Paper 1996-13 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-13.pdfSpeculative Behaviour, Regime-Switching and Stock Market CrashesSimon van NordenHuntley SchallerOctober 1996CC4C40EE4E44GG1G12The Commodity-Price Cycle and Regional Economic Performance in Canada
https://www.bankofcanada.ca/1996/09/working-paper-1996-12/
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.1996-09-01T16:45:09+00:00enThe Commodity-Price Cycle and Regional Economic Performance in Canada1996-09-01Regional economic developmentsWorking Paper 1996-12 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-12.pdfThe Commodity-Price Cycle and Regional Economic Performance in CanadaMario LefebvreStephen S. PolozSeptember 1996EE3E32Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
https://www.bankofcanada.ca/1996/08/working-paper-1996-11/
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.1996-08-03T16:35:30+00:00enAvoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?1996-08-03Econometric and statistical methodsWorking Paper 1996-11 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-11.pdfAvoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?Simon van NordenRobert VigfussonAugust 1996CC2C22C5C52Unit-Root Tests and Excess Returns
https://www.bankofcanada.ca/1996/08/working-paper-1996-10/
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).1996-08-02T16:16:04+00:00enUnit-Root Tests and Excess Returns1996-08-02Econometric and statistical methodsWorking Paper 1996-10 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-10.pdfUnit-Root Tests and Excess ReturnsMarie-Josée GodboutSimon van NordenAugust 1996CC1C12FF3F31Does Inflation Uncertainty Vary with the Level of Inflation?
https://www.bankofcanada.ca/1996/08/working-paper-1996-9/
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.1996-08-01T16:00:33+00:00enDoes Inflation Uncertainty Vary with the Level of Inflation?1996-08-01Inflation and pricesMonetary policy and uncertaintyWorking Paper 1996-9 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-9.pdfDoes Inflation Uncertainty Vary with the Level of Inflation?Allan CrawfordMarcel KasumovichAugust 1996CC5C52EE3E31Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks
https://www.bankofcanada.ca/1996/07/working-paper-1996-8/
In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices.1996-07-01T15:41:31+00:00enInterpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks1996-07-01Monetary and financial indicatorsMonetary policy transmissionWorking Paper 1996-8 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-8.pdfInterpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy ShocksMarcel KasumovichJuly 1996EE4E43E5E51