Alain DeSerres - Latest

• Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions

  Staff Working Paper 1995-9 Alain DeSerres, Alain Guay

  authors examine the issue of lag-length selection in the context of a structural vector autoregression (VAR) and a vector error-correction model with long-run restrictions. First, they show that imposing long-run restrictions implies, in general, a moving-average (MA) component in the stationary multivariate representation. Then they examine the sensitivity of estimates of the permanent and transitory […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods

• Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy

  Staff Working Paper 1995-2 Alain DeSerres, Alain Guay, Pierre St-Amant

  In this paper the authors show how potential output can be estimated and projected through an approach derived from the structural vector autoregression methodology. This approach is applied to the Mexican economy. To identify demand, supply and world oil shocks, the authors assume that demand shocks do not have a permanent effect on output and […]

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Potential output

• Symétrie des chocs touchant les régions canadiennes et choix d'un régime de change

  Staff Working Paper 1994-9 Alain DeSerres, René Lalonde

  The authors attempt to determine whether the primary advantage of the flexible exchange rate between Canada and the United States—the rapid adjustment of the real exchange rate following an asymmetrical shock—is as evident at the regional as at the national level.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates

• Optimum Currency Areas and Shock Asymmetry: A Comparison of Europe and the United States

  Staff Working Paper 1994-1 Nick Chamie, Alain DeSerres, René Lalonde

  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): Exchange rates, Financial markets JEL Code(s): C, C4, C40, G, G1, G12

• Les sources des fluctuations des taux de change en Europe et leurs implications pour l'union monétaire

  Technical Report No. 66 Alain DeSerres, René Lalonde

  The objective of this paper is to provide an empirical evaluation of the degree of shock asymmetry between eight European countries that would form the core of a monetary union. Given that the relevant measure is the degree of real shock asymmetry, our approach is to use the observed movement in real exchange rates as […]

  Content Type(s): Staff research, Technical reports Topic(s): Exchange rates JEL Code(s): F, F1, F15, F3, F31