E - Macroeconomics and Monetary Economics
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May 17, 1996
The Transmission of Monetary Policy
Text of major 1995 lecture by Bank Governor Gordon Thiessen, plus articles from Bank of Canada Review and other sources
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An Econometric Examination of the Trend Unemployment Rate in Canada
This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration. -
The Bank of Canada's New Quarterly Projection Model, Part 3. The Dynamic Model: QPM
The Bank of Canada's new Quarterly Projection Model, QPM, combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis. -
A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria
A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices. -
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data. -
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology
In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. -
The Electronic Purse: An Overview of Recent Developments and Policy Issues
Futurists have been speculating about the prospects for a cashless society for many years, and such predictions became more frequent following the introduction of "smart" cards - cards containing a computer chip - in the mid-1970s. -
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 […] -
Wealth, Disposable Income and Consumption: Some Evidence for Canada
The author develops a measure of aggregate private sector wealth in Canada and examines its ability to explain aggregate consumption of non-durables and services. This wealth measure includes financial, physical and human wealth. The author measures human wealth as the expected present value of aggregate labour income, net of government expenditures, based on a discrete […]