Lynda Khalaf

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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.

Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion

Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37

Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada

Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40

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