C51 - Model Construction and Estimation
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Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. -
Inflation Changes, Yield Spreads, and Threshold Effects
Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models. -
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. -
Non-Parametric and Neural Network Models of Inflation Changes
Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation. -
The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter
The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system. -
The Bank of Canada's New Quarterly Projection Model, Part 1. The Steady-State Model: SSQPM
This report is the first documenting the Bank of Canada's new model of the Canadian economy, the Quarterly Projection Model (QPM). QPM is used at the Bank of Canada for both economic projections and policy analysis. Here the authors focus on the model's long-run properties, describing SSQPM, a model of the steady state of QPM […] -
Wage and Price Dynamics in Canada
This paper examines wage and price dynamics in Canada with a view towards testing the implications of a wage-price dynamics, according to which unit labour costs are determined by a wage Phillips curve while prices are set as a markup over unit labour costs. This model is compared to an alternative model in which excess […] -
The Structure of the Small Annual Model
This volume contains a detailed description of the structure and sectoral properties of the Bank of Canada's Small Annual Model, SAM. The SAM model, constructed in the Research Department of the Bank, is designed for medium- to long-term simulation. It is small by econometric model standards; the version described in this report has 25 stochastic […] -
An Econometric Model of the Steel Trade
In this report, the author uses steel as a case study for an analysis at the industrial level of forces at work in the international economy that have had an important impact on recent Canadian economic performance. Prominent among those forces are cost competitiveness and aggregate demand in Canada and abroad.
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