C - Mathematical and Quantitative Methods
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Testing the Parametric Specification of the Diffusion Function in a Diffusion Process
A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. -
Forecasting Canadian GDP: Region-Specific versus Countrywide Information
The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth. -
Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money
The hypothesis of intertemporal substitution in labour supply has a history of empirical failure when confronted with aggregate time-series data. -
Inflation and Relative Price Dispersion in Canada: An Empirical Assessment
The authors investigate empirically the relationship between different aspects of inflation and relative price dispersion in Canada using a Markov regime-switching Phillips curve. -
Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis
The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation. -
Endogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy
The linkages between inflation and the economy's cyclical position are thought to be strongly affected by the credibility of monetary authorities. -
Learning-by-Doing or Habit Formation?
In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity. -
Efficiency and Economies of Scale of Large Canadian Banks
The authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale. -
Determinants of Borrowing Limits on Credit Cards
The difference between actual borrowings and borrowing limits alone generates information asymmetry in the credit card market.