E3 - Prices, Business Fluctuations, and Cycles

• Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation

  Staff Working Paper 2007-8 Frédérick Demers, Calista Cheung

  This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37

• Technology Shocks and Business Cycles: The Role of Processing Stages and Nominal Rigidities

  Staff Working Paper 2007-7 Louis Phaneuf, Nooman Rebei

  This paper develops and estimates a dynamic general equilibrium model that realistically accounts for an input-output linkage between firms operating at different stages of processing. Firms face technological change which is specific to their processing stage and charge new prices according to stage-specific Calvo-probabilities.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E3, E32

• Housing Market Cycles and Duration Dependence in the United States and Canada

  Staff Working Paper 2007-2 Rose Cunningham, Ilan Kolet

  Housing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C4, C41, E, E3, E32, R, R2, R21