C2 - Single Equation Models; Single Variables
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An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
Over the past few years, the ability of the United States to finance its current account deficit has been facilitated by massive purchases of U.S. -
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires
In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. -
Convergence of Government Bond Yields in the Euro Zone: The Role of Policy Harmonization
Since the early 1980s, long-term government bond yields in the euro zone have declined, in line with those in other industrialized countries. -
National Saving–Investment Dynamics and International Capital Mobility
The authors analyze the dynamics of national saving–investment relationships to determine the degree of international capital mobility. -
Structural Change and Forecasting Long-Run Energy Prices
The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. -
Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts. -
Common Trends and Common Cycles in Canadian Sectoral Output
The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions. -
Oil-Price Shocks and Retail Energy Prices in Canada
The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices. -
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
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.