Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:31:14+00:00The Monetary Transmission Mechanism at the Sectoral Level
https://www.bankofcanada.ca/2001/12/working-paper-2001-27/
This paper relies on simple vector autoregressions to investigate the monetary transmission mechanism in broad sectors of the Canadian economy. Two types of disaggregation are considered: one at the level of final expenditures, and one at the level of production.2001-12-01T15:13:30+00:00enThe Monetary Transmission Mechanism at the Sectoral Level2001-12-01Monetary policy transmissionWorking Paper 2001-27 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-27.pdfThe Monetary Transmission Mechanism at the Sectoral LevelJean FarèsGabriel SrourDecember 2001EE5E52An Estimated Canadian DSGE Model with Nominal and Real Rigidities
https://www.bankofcanada.ca/2001/12/working-paper-2001-26/
This paper develops a dynamic, stochastic, general-equilibrium (DGSE) model for the Canadian economy and evaluates the real effects of monetary policy shocks. To generate high and persistent real effects, the model combines nominal frictions in the form of costly price adjustment with real rigidities modelled as convex costs of adjusting capital and employment.2001-12-01T12:37:55+00:00enAn Estimated Canadian DSGE Model with Nominal and Real Rigidities2001-12-01Monetary policy frameworkWorking Paper 2001-26 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-26a.pdfAn Estimated Canadian DSGE Model with Nominal and Real RigiditiesAli DibDecember 2001EE3E31E32New Phillips Curve with Alternative Marginal Cost Measures for Canada, the United States, and the Euro Area
https://www.bankofcanada.ca/2001/12/working-paper-2001-25/
Recent research on the new Phillips curve (NPC) (e.g., Galí, Gertler, and López-Salido 2001a) gives marginal cost an important role in capturing pressures on inflation. In this paper we assess the case for using alternative measures of marginal cost to improve the empirical fit of the NPC.2001-12-01T12:06:34+00:00enNew Phillips Curve with Alternative Marginal Cost Measures for Canada, the United States, and the Euro Area2001-12-01Economic modelsInflation and pricesWorking Paper 2001-25 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-25.pdfNew Phillips Curve with Alternative Marginal Cost Measures for Canada, the United States, and the Euro AreaEdith GagnonHashmat KhanDecember 2001EE3E31Price-Level versus Inflation Targeting in a Small Open Economy
https://www.bankofcanada.ca/2001/12/working-paper-2001-24/
This paper compares two types of monetary policy: price-level targeting and inflation targeting. It reviews recent arguments that favour price-level targeting, and examines how certain factors, such as the nature of the shocks affecting the economy and the degree to which agents are forward-looking, bear upon the arguments.2001-12-01T11:55:05+00:00enPrice-Level versus Inflation Targeting in a Small Open Economy2001-12-01Monetary policy frameworkWorking Paper 2001-24https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-24.pdfPrice-Level versus Inflation Targeting in a Small Open EconomyGabriel SrourDecember 2001EE5E52Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
https://www.bankofcanada.ca/2001/12/working-paper-2001-23/
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.2001-12-01T11:43:24+00:00enModelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model2001-12-01Econometric and statistical methodsInterest ratesWorking Paper 2001-23 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-23.pdfModelling Mortgage Rate Changes with a Smooth Transition Error-Correction ModelYing LiuDecember 2001CC2C22C4C49EE4E47On Inflation and the Persistence of Shocks to Output
https://www.bankofcanada.ca/2001/12/working-paper-2001-22/
This paper empirically investigates the possibility that the effects of shocks to output depend on the level of inflation. The analysis extends Elwood's (1998) framework by incorporating in the model an inflation-threshold process that can potentially influence the stochastic properties of output.2001-12-01T10:48:03+00:00enOn Inflation and the Persistence of Shocks to Output2001-12-01Econometric and statistical methodsInflation: costs and benefitsWorking Paper 2001-22https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-22.pdfOn Inflation and the Persistence of Shocks to OutputMaral KichianRichard LugerDecember 2001EE3E31E32E5E52E58A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
https://www.bankofcanada.ca/2001/12/working-paper-2001-21/
This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false.2001-12-01T10:34:02+00:00enA Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data2001-12-01Econometric and statistical methodsWorking Paper 2001-21 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp01-21.pdfA Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent DataFuchun LiGreg TkaczDecember 2001CC1C12C15EE3E37