Pierre St-Amant - Latest

• The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Economy

  Technical Report No. 92 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant

  In this report, we evaluate several simple monetary policy rules in twelve private and public sector models of the Canadian economy. Our results indicate that none of the simple policy rules we examined is robust to model uncertainty, in that no single rule performs well in all models.

  Content Type(s): Staff research, Technical reports Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58
• August 18, 2002

  The Role of Simple Rules in the Conduct of Canadian Monetary Policy

  Bank of Canada Review - Summer 2002 Denise Côté, Jean-Paul Lam, Ying Liu, Pierre St-Amant

  The third strategy employed by the Bank when dealing with uncertainty is the consideration of appropriate simple reaction functions or "rules" for the setting of the policy interest rate. Since John Taylor's presentation of his much-discussed rule, research on simple policy rules has exploded. Simple rules have several advantages. In particular, they are easy to construct and communicate and are believed by some to be robust, in the sense of generating good results in a variety of economic models. This article provides an overview of the recent research regarding the usefulness and robustness of simple monetary policy rules, particularly in models of the Canadian economy. It also describes and explains the role of simple rules in the conduct of monetary policy in Canada.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Monetary policy and uncertainty
• November 14, 1999

  Real Exchange Rate Indexes for the Canadian Dollar

  Bank of Canada Review - Autumn 1999 Robert Lafrance, Pierre St-Amant

  In this article, the authors explain the methodology used to construct real exchange rate (RER) indexes. They also compare and assess various Canadian RER indexes from both an empirical and conceptual standpoint. The authors conclude that both theory and empirical evidence suggest that the best RER indexes are those based on unit labour costs. They note, however, that, for practical reasons, policy-makers should also consider RER indexes based on prices when formulating monetary policy.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Exchange rates

• Canada's Exchange Rate Regime and North American Economic Integration: The Role of Risk-Sharing Mechanisms

  Staff Working Paper 1999-17 Zahir Antia, Ramdane Djoudad, Pierre St-Amant

  Our contribution in this paper is threefold. First, we survey the empirical literature on consumption smoothing mechanisms of regional economic shocks. Second, building on the work of Asdrubali et al. (1996), we present evidence on the role played by various smoothing mechanisms for specific economic shocks affecting Canadian provinces. Third, we assess whether smoothing mechanisms […]

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes, Exchange rates JEL Code(s): F, F3, F33, F36, G, G1, G15

• Optimal Currency Areas: A Review of the Recent Literature

  Staff Working Paper 1999-16 Robert Lafrance, Pierre St-Amant

  This paper surveys the recent literature on optimal currency areas (OCAs). Topics that are covered include theoretical developments in the context of general-equilibrium models and empirical work on shocks asymmetry and adjustment mechanisms. Issues relating to the endogeneity of OCA criteria, the role of exchange rate flexibility in promoting greater macroeconomic stability, and the links […]

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rate regimes JEL Code(s): E, E4, E42, F, F3, F33

• Résultats empiriques multi-pays relatifs à l'impact des cibles d'inflation sur la crédibilité de la politique monétaire

  Staff Working Paper 1998-23 Pierre St-Amant, David Tessier

  Over the last few years, many countries have adopted inflation targets. The objective of this paper is to report some empirical results that bear on the link between the adoption of inflation targets and the behaviour of the main macroeconomic variables. After a discussion of some recent articles analyzing international experience, some simple statistical tests […]

  Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets

• Une nouvelle méthode d'estimation de l'écart de production et son application aux États-Unis, au Canada et à l'Allemagne

  Staff Working Paper 1998-21 René Lalonde, Jennifer Page, Pierre St-Amant

  This study introduces a new method for identifying the output gap, based on the estimation of multivariate autoregression (VAR) models. This approach, which involves using restrictions to identify structural shocks that have only a transitory effect on output but that affect the trend inflation rate, is compared with the decomposition method proposed by Blanchard and […]

  Content Type(s): Staff research, Staff working papers

• Evaluating Alternative Measures of the Real Effective Exchange Rate

  Staff Working Paper 1998-20 Robert Lafrance, Patrick Osakwe, Pierre St-Amant

  This paper discusses the merits and shortcomings of alternative price indices used in constructing real effective exchange rate indices and examines the effects of different weighting schemes. It also compares selected measures of the real effective exchange rate in terms of their ability to explain movements in Canadian net exports and real output. The paper […]

  Content Type(s): Staff research, Staff working papers

• A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions

  Staff Working Paper 1998-4 Pierre St-Amant, David Tessier

  In a recent article, Faust and Leeper (1997) discuss reasons why inference from structural VARs identified with long-run restrictions may not be reliable. In this paper, the authors argue that there are reasons to believe that Faust and Leeper's arguments are not devastating in practice. First, simulation exercises suggest that this approach does well when […]

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3

• Tendance des dépenses publiques et de l'inflation et évolution comparative du taux de chômage au Canada et aux États-Unis

  Staff Working Paper 1998-3 Pierre St-Amant, David Tessier

  The authors' purpose in this paper is to isolate the respective contributions of budgetary and monetary policy in Canada and the United States to the behaviour of unemployment rates in the two countries. Their method consists of estimating VAR models and using long-term identification restrictions to perform a structural analysis. Budgetary policy shocks are defined […]

  Content Type(s): Staff research, Staff working papers Topic(s): Fiscal policy JEL Code(s): E, E6