Jamie Armour - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T02:28:40+00:00A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria
https://www.bankofcanada.ca/1996/04/working-paper-1996-5/
A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices.1996-04-01T15:11:56+00:00enA Distant-Early-Warning Model of Inflation Based on M1 Disequilibria1996-04-01Economic modelsMonetary aggregatesMonetary policy transmissionWorking Paper 1996-5 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-5.pdfA Distant-Early-Warning Model of Inflation Based on M1 DisequilibriaJoseph Atta-MensahWalter EngertScott HendryJamie ArmourApril 1996EE3E37E5E52Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
https://www.bankofcanada.ca/1996/03/working-paper-1996-4/
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.1996-03-01T14:59:13+00:00enOvernight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions1996-03-01Economic modelsMonetary and financial indicatorsWorking Paper 1996-4 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-4.pdfOvernight Rate Innovations as a Measure of Monetary Policy Shocks in Vector AutoregressionsWalter EngertBen FungJamie ArmourMarch 1996EE5E52