Robert Vigfusson

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Forecasting the Price of Oil

Staff Working Paper 2011-15 Ron Alquist, Lutz Kilian, Robert Vigfusson
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications?

Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Staff Working Paper 1996-11 Simon van Norden, Robert Vigfusson
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52

Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?

Technical Report No. 76 John Murray, Simon van Norden, Robert Vigfusson
Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system.
Content Type(s): Technical Reports Topic(s): Exchange rates JEL Code(s): C, C4, C40, F, F3, F31

Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures

Staff Working Paper 1996-3 Simon van Norden, Robert Vigfusson
This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C6, C63

Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach

Staff Working Paper 1996-1 Robert Vigfusson
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12

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