C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:27:19+00:00Canadian Policy Analysis Model: CPAM
https://www.bankofcanada.ca/1997/06/working-paper-1997-16/
This paper documents the structure and properties of the Canadian Policy Analysis Model (CPAM). CPAM is designed to provide a reasonably complete representation of the Canadian macro economy.1997-06-04T11:27:09+00:00enCanadian Policy Analysis Model: CPAM1997-06-04Economic modelsWorking Paper 1997-16https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-16.pdfCanadian Policy Analysis Model: CPAMRichard BlackDavid RoseJune 1997CC5C53EE1E17Menu Costs, Relative Prices, and Inflation: Evidence for Canada
https://www.bankofcanada.ca/1997/06/working-paper-1997-14/
The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks.1997-06-02T11:19:40+00:00enMenu Costs, Relative Prices, and Inflation: Evidence for Canada1997-06-02Inflation and pricesMonetary policy frameworkWorking Paper 1997-14https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-14.pdfMenu Costs, Relative Prices, and Inflation: Evidence for CanadaRobert AmanoTiff MacklemJune 1997CC5C52EE3E31What Does Downward Nominal-Wage Rigidity Imply for Monetary Policy?
https://www.bankofcanada.ca/1997/06/working-paper-1997-13/
A recent paper has suggested there might be a trade-off between inflation and unemployment at low inflation rates and this has led some economists to recommend that Canada increase its inflation rate.1997-06-01T11:01:10+00:00enWhat Does Downward Nominal-Wage Rigidity Imply for Monetary Policy?1997-06-01Inflation targetsMonetary policy frameworkMonetary policy transmissionWorking Paper 1997-13https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-13.pdfWhat Does Downward Nominal-Wage Rigidity Imply for Monetary Policy?Seamus HoganJune 1997CC5C52EE2E24E5E50A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap
https://www.bankofcanada.ca/1997/02/working-paper-1997-5/
In this paper, the authors survey some of the recent techniques proposed in the literature to measure the trend component of output or potential output. Given the reported shortcomings of mechanical filters and univariate approaches to estimate potential output, the paper focusses on three simple multivariate methodologies: the multivariate Beveridge-Nelson methodology (MBN), Cochrane's methodology (CO), and the structural VAR methodology with long-run restrictions applied to output (LRRO).1997-02-02T12:51:55+00:00enA Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap1997-02-02Econometric and statistical methodsWorking Paper 1997-5 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-5.pdfA Comparison of Alternative Methodologies for Estimating Potential Output and the Output GapChantal DupasquierAlain GuayPierre St-AmantFebruary 1997CC1C13C5C52EE5E52La courbe de Phillips au Canada : un examen de quelques hypothèses
https://www.bankofcanada.ca/1997/01/working-paper-1997-3/
This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve.1997-01-03T11:38:35+00:00frLa courbe de Phillips au Canada : un examen de quelques hypothèses1997-01-03Inflation and pricesInflation targetsWorking Paper 1997-3https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-3.pdfLa courbe de Phillips au Canada : un examen de quelques hypothèsesJean-François FillionAndré LéonardJanuary 1997CC5C52EE3E31Fads or Bubbles?
https://www.bankofcanada.ca/1997/01/working-paper-1997-2/
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.1997-01-02T11:33:24+00:00enFads or Bubbles?1997-01-02Financial marketsWorking Paper 1997-2 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-2.pdfFads or Bubbles?Huntley SchallerSimon van NordenJanuary 1997CC4C40GG1G12Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
https://www.bankofcanada.ca/1997/01/working-paper-1997-1/
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.1997-01-01T11:27:57+00:00enReconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples1997-01-01Econometric and statistical methodsWorking Paper 1997-1 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-1.pdfReconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite SamplesMarie-Josée GodboutSimon van NordenJanuary 1997CC1C15C2C22C3C32FF3F31