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1790
result(s)
Monetary Shocks in the G-6 Countries: Is There a Puzzle?
Staff Working Paper 1997-7
Ben Fung,
Marcel Kasumovich
This paper attempts to reduce the uncertainty about the dynamics of the monetary transmission mechanism. Central to this attempt is the identification of monetary policy shocks. Recently, VAR approaches that use over-identifying restrictions have shown success in isolating such shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
International topics,
Monetary policy transmission
JEL Code(s):
E,
E5,
E52,
E58
Lagging Productivity Growth in the Service Sector: Mismeasurement, Mismanagement or Misinformation?
Staff Working Paper 1997-6
Dinah Maclean
While the service sector has been growing rapidly as a share of total output, aggregate productivity growth has generally lagged behind that of the goods sector. In this report, the author assesses a range of explanations for lagging service sector productivity growth.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Productivity,
Recent economic and financial developments
JEL Code(s):
L,
L8,
L80,
O,
O4,
O47
A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap
Staff Working Paper 1997-5
Chantal Dupasquier,
Alain Guay,
Pierre St-Amant
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).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C13,
C5,
C52,
E,
E5,
E52
The Liquidity Trap: Evidence from Japan
Staff Working Paper 1997-4
Isabelle Weberpals
Japanese economic activity has been stagnant since the collapse of the speculative asset-price bubble in 1990, despite highly expansionary monetary policy which has brought interest rates down to record low levels. Although several reasons have been put forward to explain the sustained weakness of the Japanese economy, none is more intriguing from the viewpoint of a central bank than the possibility that monetary policy had been largely ineffective because the Japanese economy entered a Keynesian "liquidity trap."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
International topics,
Recent economic and financial developments
JEL Code(s):
E,
E4,
E42,
E5,
E51,
E52
La courbe de Phillips au Canada : un examen de quelques hypothèses
Staff Working Paper 1997-3
Jean-François Fillion,
André Léonard
This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets
JEL Code(s):
C,
C5,
C52,
E,
E3,
E31
Fads or Bubbles?
Staff Working Paper 1997-2
Huntley Schaller,
Simon van Norden
This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
G,
G1,
G12
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
Staff Working Paper 1997-1
Marie-Josée Godbout,
Simon van Norden
This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C15,
C2,
C22,
C3,
C32,
F,
F3,
F31
A Modified P*-Model of Inflation Based on M1
Staff Working Paper 1996-15
Joseph Atta-Mensah
This paper examines the performance of M1 in an indicator-model of inflation over time horizons as long as 16 quarters into the future.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
E,
E3,
E37
L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme
Staff Working Paper 1996-14
Jean-François Fillion
This paper examines the effects that Canada's indebtedness has on Canadian real long-term interest rates, using the vector error-correction model (VECM). Our results show that there is a strongly cointegrated relationship between real interest rates in Canada, U.S. real interest rates, and Canadian public and external debt ratios.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F30,
H,
H6,
H60