E3 - Prices, Business Fluctuations, and Cycles - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T07:05:04+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 1996EE3E37The 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 1996EE3E32Does 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 1996CC5C52EE3E31A 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 1996EE3E37E5E52Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology
https://www.bankofcanada.ca/1996/01/working-paper-1996-2/
In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary.1996-01-02T14:42:46+00:00enDecomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology1996-01-02Interest ratesInternational topicsWorking Paper 1996-2 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-2.pdfDecomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR MethodologyPierre St-AmantJanuary 1996EE3E31E4E43