Alain Guay - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:34:20+00:00The U.S. New Keynesian Phillips Curve: An Empirical Assessment
https://www.bankofcanada.ca/2004/09/working-paper-2004-35/
The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC).2004-09-01T15:13:48+00:00enThe U.S. New Keynesian Phillips Curve: An Empirical Assessment2004-09-01Econometric and statistical methodsInflation and pricesWorking Paper 2004-35 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-35.pdfThe U.S. New Keynesian Phillips Curve: An Empirical AssessmentAlain GuayFlorian PelgrinSeptember 2004CC1C13C5C52EE3E31A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap
https://www.bankofcanada.ca/1997/02/working-paper-1997-5/
In this paper, the authors survey some of the recent techniques proposed in the literature to measure the trend component of output or potential output. Given the reported shortcomings of mechanical filters and univariate approaches to estimate potential output, the paper focusses on three simple multivariate methodologies: the multivariate Beveridge-Nelson methodology (MBN), Cochrane's methodology (CO), and the structural VAR methodology with long-run restrictions applied to output (LRRO).1997-02-02T12:51:55+00:00enA Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap1997-02-02Econometric and statistical methodsWorking Paper 1997-5 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-5.pdfA Comparison of Alternative Methodologies for Estimating Potential Output and the Output GapChantal DupasquierAlain GuayPierre St-AmantFebruary 1997CC1C13C5C52EE5E52Do Mechanical Filters Provide a Good Approximation of Business Cycles?
https://www.bankofcanada.ca/1996/11/technical-report-no78/
In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.1996-11-01T14:20:30+00:00enDo Mechanical Filters Provide a Good Approximation of Business Cycles?1996-11-01Econometric and statistical methodsTechnical Report 78https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr78.pdfDo Mechanical Filters Provide a Good Approximation of Business Cycles?Alain GuayPierre St-AmantNovember 1996CC5C52EE3E32Selection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions
https://www.bankofcanada.ca/1995/10/working-paper-1995-9/
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 […]1995-10-01T14:50:23+00:00enSelection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run Restrictions1995-10-01Econometric and statistical methodsWorking Paper 1995-9 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp95-9.pdfSelection of the Truncation Lag in Structural VARs (or VECMs) with Long-Run RestrictionsAlain DeSerresAlain GuayOctober 1995Estimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy
https://www.bankofcanada.ca/1995/03/working-paper-1995-2/
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 […]1995-03-01T09:08:51+00:00enEstimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican Economy1995-03-01International topicsPotential outputWorking Paper 1995-2 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp95-2.pdfEstimating and Projecting Potential Output Using Structural VAR Methodology: The Case of the Mexican EconomyAlain DeSerresAlain GuayPierre St-AmantMarch 1995