E3 - Prices, Business Fluctuations, and Cycles

• Predicting Canadian Recessions Using Financial Variables: A Probit Approach

  Staff Working Paper 1998-5 Joseph Atta-Mensah, Greg Tkacz

  This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding is that the spread between the yield on Canadian […]

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Interest rates JEL Code(s): E, E3, E32, E4, E43

• The Benefits of Low Inflation: Taking Stock

  Technical Report No. 83 Brian O'Reilly

  This paper surveys the empirical literature on the benefits of low inflation, emphasizing contributions since 1990. It follows the framework of a section in the Bank's 1990 Annual Report, "The benefits of price stability."

  Content Type(s): Staff research, Technical reports Topic(s): Inflation: costs and benefits JEL Code(s): E, E3

• A Measure of Underlying Inflation in the United States

  Staff Working Paper 1997-20 Iris Claus

  A monetary authority with the primary objective of price stability has to distinguish between temporary price shocks and persistent shocks to the rate of inflation. A measure of underlying inflation, therefore, has an important role to play as a guideline for monetary policy.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, International topics JEL Code(s): E, E3, E31

• Menu Costs, Relative Prices, and Inflation: Evidence for Canada

  Staff Working Paper 1997-14 Robert Amano, Tiff Macklem

  The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): C, C5, C52, E, E3, E31

• A Band-Aid Solution to Inflation Targeting

  Staff Working Paper 1997-11 Robert Amano, Richard Black, Marcel Kasumovich

  This paper reviews selectively the literature on exchange rate target zones and corresponding methodologies and examines whether they can be used to analyse the inflation-control problem.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets JEL Code(s): E, E3, E31, E5, E50

• Mesures du taux d'inflation tendanciel

  Staff Working Paper 1997-9 Thérèse Laflèche

  In this paper, the author calculates new measures of the trend inflation rate using changes in the components of total CPI; the hypothesis is that extreme fluctuations in certain prices reflect temporary supply shocks rather than any basic price trend.

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices JEL Code(s): E, E3, E31

• La courbe de Phillips au Canada : un examen de quelques hypothèses

  Staff Working Paper 1997-3 Jean-François Fillion, André Léonard

  This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve.

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

• Do Mechanical Filters Provide a Good Approximation of Business Cycles?

  Technical Report No. 78 Alain Guay, Pierre St-Amant

  In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32

• A Modified P*-Model of Inflation Based on M1

  Staff Working Paper 1996-15 Joseph Atta-Mensah

  This paper examines the performance of M1 in an indicator-model of inflation over time horizons as long as 16 quarters into the future.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models JEL Code(s): E, E3, E37

• The Commodity-Price Cycle and Regional Economic Performance in Canada

  Staff Working Paper 1996-12 Mario Lefebvre, Stephen S. Poloz

  This paper attempts to provide one interpretation of the broad regional economic history of Canada since the early 1970s. As the title of the paper suggests, we believe that, to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets.

  Content Type(s): Staff research, Staff working papers Topic(s): Regional economic developments JEL Code(s): E, E3, E32