Jean-Marie Dufour

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Structural Inflation Models with Real Wage Rigidities: The Case of Canada

Staff Working Paper 2009-21 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian
Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness.

Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit

Staff Working Paper 2009-19 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian
Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable.

Assessing Indexation-Based Calvo Inflation Models

Staff Working Paper 2009-7 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian
Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms.

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

Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis

Staff Working Paper 2005-27 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian
The authors use identification-robust methods to assess the empirical adequacy of a New Keynesian Phillips curve (NKPC) equation.

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