C - Mathematical and Quantitative Methods
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The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States
In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity. -
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day. -
Are Currency Crises Low-State Equilibria? An Empirical, Three-Interest-Rate Model
Suppose that the dynamics of the macroeconomy were given by (partly) random fluctuations between two equilibria: "good" and "bad." -
Forecasting Canadian Time Series with the New Keynesian Model
The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. -
Money and Credit Factors
The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy. -
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. -
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate. -
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts. -
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.