David Tessier

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Staff Working Papers

Firm Dynamics and Multifactor Productivity: An Empirical Exploration

Staff Working Paper 2018-15 Pierre St-Amant, David Tessier
There are indications that business dynamism has declined in advanced economies. In particular, firm entry and exit rates have fallen, suggesting that the creative destruction process has lost some of its vitality. Meanwhile, productivity growth has slowed. Some believe that lower entry and exit rates partly explain the weaker productivity growth.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Firm dynamics, Productivity JEL Code(s): D, D2, D24, M, M1, M13, O, O4, O47

Non-Linearities, Model Uncertainty, and Macro Stress Testing

Staff Working Paper 2008-30 Miroslav Misina, David Tessier
A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on "rare but plausible" events that have either resulted in vulnerabilities in the past or could do so in the future.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33

Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector

Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey
Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial Institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33

Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices

Staff Working Paper 2006-39 Jean-Marie Dufour, David Tessier
The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Monetary and financial indicators JEL Code(s): C, C1, C12, C15, C3, C32, C5, C51, C53, E, E5, E52

The U.S. Stock Market and Fundamentals: A Historical Decomposition

Staff Working Paper 2003-20 David Dupuis, David Tessier
The authors identify the fundamentals behind the dynamics of the U.S. stock market over the past 30 years. They specify a structural vector-error-correction model following the methodology of King, Plosser, Stock, and Watson (1991).
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): G, G1

Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence

Staff Working Paper 2002-31 Céline Gauthier, David Tessier
In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates JEL Code(s): C, C3, C32, F, F3, F31

Une analyse empirique du lien entre la productivité et le taux de change réel Canada-É-U

Staff Working Paper 2000-22 David Dupuis, David Tessier
The relative productivity gap between Canada and the United States is a controversial subject matter. One argument especially contentious in this debate stems from the belief that the gradual depreciation of the Canadian dollar over the last 20 years has been one of the determinants of the productivity gap.

Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis

Staff Working Paper 2000-4 Ramdane Djoudad, David Tessier
This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Exchange rates JEL Code(s): F, F3, F31

Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire

Staff Working Paper 1998-23 Pierre St-Amant, David Tessier
Over the last few years, many countries have adopted inflation targets. The objective of this paper is to report some empirical results that bear on the link between the adoption of inflation targets and the behaviour of the main macroeconomic variables. After a discussion of some recent articles analyzing international experience, some simple statistical tests […]

A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions

Staff Working Paper 1998-4 Pierre St-Amant, David Tessier
In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First, simulation exercises suggest that this approach does well when […]
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3