C52 - Model Evaluation, Validation, and Selection

• The U.S. New Keynesian Phillips Curve: An Empirical Assessment

  Staff Working Paper 2004-35 Alain Guay, Florian Pelgrin

  The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC).

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• Estimating New Keynesian Phillips Curves Using Exact Methods

  Staff Working Paper 2004-11 Lynda Khalaf, Maral Kichian

  The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• Structural Change and Forecasting Long-Run Energy Prices

  Staff Working Paper 2004-5 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, C53, Q, Q4, Q40

• Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates

  Staff Working Paper 2004-2 Richard Luger

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22, C5, C52, C53

• The Canadian Phillips Curve and Regime Shifting

  Staff Working Paper 2003-32 Frédérick Demers

  Phillips curves are generally estimated under the assumption of linearity and parameter constancy. Linear models of inflation, however, have recently been criticized for their poor forecasting performance.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, E, E3, E31

• A Stochastic Simulation Framework for the Government of Canada's Debt Strategy

  Staff Working Paper 2003-10 David Bolder

  Debt strategy is defined as the manner in which a government finances an excess of government expenditures over revenues and any maturing debt issued in previous periods. The author gives a thorough qualitative description of the complexities of debt strategy analysis and then demonstrates that it is, in fact, a problem in stochastic optimal control.

  Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Econometric and statistical methods, Economic models JEL Code(s): C, C0, C1, C15, C5, C52, H, H6, H63

• Testing the Stability of the Canadian Phillips Curve Using Exact Methods

  Staff Working Paper 2003-7 Lynda Khalaf, Maral Kichian

  Postulating two different specifications for the Canadian Phillips curve (a purely backwardlooking model, and a partly backward-, partly forward-looking model), the authors test for structural breaks in the parameters of the equation. In each case, they account for the possibilities that: (i) breaks can be discrete, or continuous, and (ii) available data samples may be too small to justify using asymptotically valid structural-change tests.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C5, C52, E, E3, E31, E37

• Evaluating the Quarterly Projection Model: A Preliminary Investigation

  Staff Working Paper 2002-20 Robert Amano, Kim McPhail, Hope Pioro, Andrew Rennison

  This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM).

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17, E3, E30, E37

• Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996)

  Staff Working Paper 2000-6 Seamus Hogan, Lise Pichette

  A number of authors have suggested that economies face a long-run inflation-unemployment trade-off due to downward nominal-wage rigidity. This theory has implications for the nature of the short-run Phillips curve when wage inflation is low.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy framework, Monetary policy transmission JEL Code(s): C, C5, C52, E, E2, E24, E5, E50

• Estimating One-Factor Models of Short-Term Interest Rates

  Staff Working Paper 1999-18 Des Mc Manus, David Watt

  There currently exists in the literature several continuous-time one-factor models for short-term interest rates. This paper considers a wide range of these models that are nested into one general model. These models are approximated using both a discrete-time model and a model that accounts for aggregation effects over time, and are estimated by both the […]

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Interest rates JEL Code(s): C, C5, C52, G, G1, G10