Staff research

• An Eclectic Approach to Estimating U.S. Potential GDP

  Staff Working Paper 2002-36 Marc-André Gosselin, René Lalonde

  The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32

• The Impact of Common Currencies on Financial Markets: A Literature Review and Evidence from the Euro Area

  Staff Working Paper 2002-35 Liliane Karlinger

  This paper reviews both the theoretical and empirical literature on the impact of common currencies on financial markets and evaluates the first three years of experience with Economic and Monetary Union (EMU).

  Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, Financial markets JEL Code(s): E, E4, E44, F, F2, F21, F3, F36, G, G1, G15

• How Do Canadian Banks That Deal in Foreign Exchange Hedge Their Exposure to Risk?

  Staff Working Paper 2002-34 Chris D'Souza

  This paper examines the daily hedging and risk-management practices of financial intermediaries in the Canadian foreign exchange (FX) market.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): F, F3, F31, G, G1, G14, G2, G21

• Alternative Trading Systems: Does One Shoe Fit All?

  Staff Working Paper 2002-33 Nicolas Audet, Toni Gravelle, Jing Yang

  This paper examines the factors that lead liquidity-motivated investors to choose the type of market structure they prefer.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): G, G1, G10, G14, G18

• Labour Markets, Liquidity, and Monetary Policy Regimes

  Staff Working Paper 2002-32 David Andolfatto, Scott Hendry, Kevin Moran

  We develop an equilibrium model of the monetary policy transmission mechanism that highlights information frictions in the market for money and search frictions in the market for labour.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy and uncertainty, Monetary policy transmission JEL Code(s): E, E4, E5

• Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence

  Staff Working Paper 2002-31 Céline Gauthier, David Tessier

  In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates JEL Code(s): C, C3, C32, F, F3, F31

• Inflation Expectations and Learning about Monetary Policy

  Staff Working Paper 2002-30 David Andolfatto, Scott Hendry, Kevin Moran

  Various measures indicate that inflation expectations evolve sluggishly relative to actual inflation. In addition, they often fail conventional tests of unbiasedness.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E4, E47, E5, E52, E58

• Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada

  Staff Working Paper 2002-29 David Bolder, Scott Gusba

  This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1

• Filtering for Current Analysis

  Staff Working Paper 2002-28 Simon van Norden

  This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Potential output JEL Code(s): C, C1

• Habit Formation and the Persistence of Monetary Shocks

  Staff Working Paper 2002-27 Hafedh Bouakez, Emanuela Cardia, Francisco Ruge-Murcia

  This paper studies the persistent effects of monetary shocks on output. Previous empirical literature documents this persistence, but standard general-equilibrium models with sticky prices fail to generate output responses beyond the duration of nominal contracts.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Monetary policy transmission JEL Code(s): E, E3, E4, E5