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1776
result(s)
Le pouvoir de prévision des indices PMI
Staff Discussion Paper 2010-3
Claudia Godbout,
Jocelyn Jacob
The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Business fluctuations and cycles,
International topics
JEL Code(s):
E,
E3,
E37,
F,
F4,
F47
On the Advantages of Disaggregated Data: Insights from Forecasting the U.S. Economy in a Data-Rich Environment
Staff Working Paper 2010-10
Nikita Perevalov,
Philipp Maier
The good forecasting performance of factor models has been well documented in the literature. While many studies focus on a very limited set of variables (typically GDP and inflation), this study evaluates forecasting performance at disaggregated levels to examine the source of the improved forecasting accuracy, relative to a simple autoregressive model. We use the latest revision of over 100 U.S. time series over the period 1974-2009 (monthly and quarterly data).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C50,
C53,
E,
E3,
E37,
E4,
E47
Alternative Optimized Monetary Policy Rules in Multi-Sector Small Open Economies: The Role of Real Rigidities
Staff Working Paper 2010-9
Carlos De Resende,
Ali Dib,
Maral Kichian
Inflation-targeting central banks around the world often state their inflation objectives with regard to the consumer price index (CPI). Yet the literature on optimal monetary policy based on models with nominal rigidities and more than one sector suggests that CPI inflation is not always the best choice from a social welfare perspective.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Inflation targets,
Inflation: costs and benefits,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E4,
E5,
E52,
F,
F3,
F4
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
Staff Discussion Paper 2010-2
Alejandro García,
Andrei Prokopiw
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.
Content Type(s):
Staff research,
Staff discussion papers
Topic(s):
Econometric and statistical methods,
Exchange rates,
Financial markets
JEL Code(s):
C,
C0,
C00,
C02,
G,
G1,
G13
Price Level Targeting: What Is the Right Price?
Staff Working Paper 2010-8
Malik Shukayev,
Alexander Ueberfeldt
Various papers have suggested that Price-Level targeting is a welfare improving policy relative to Inflation targeting. From a practical standpoint, this raises an important yet unanswered question: What is the optimal price index to target?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework
JEL Code(s):
E,
E3,
E32,
E5,
E52
Time Variation in Okun's Law: A Canada and U.S. Comparison
Staff Working Paper 2010-7
Kimberly Beaton
This article investigates the stability of Okun's law for Canada and the United States using a time varying parameter approach. Time variation is modeled as driftless random walks and is estimated using the median unbiased estimator approach developed by Stock and Watson (1998).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Labour markets
JEL Code(s):
E,
E2,
E24,
J,
J0,
J00
Assembling a Real-Financial Micro-Dataset for Canadian Households
Staff Working Paper 2010-6
Umar Faruqui
The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Sectoral balance sheet
JEL Code(s):
C,
C8,
C81,
D,
D1,
D10
What Drives Exchange Rates? New Evidence from a Panel of U.S. Dollar Bilateral Exchange Rates
Staff Working Paper 2010-5
Jean-Philippe Cayen,
Donald Coletti,
René Lalonde,
Philipp Maier
We use a novel approach to identify economic developments that drive exchange rates in the long run. Using a panel of six quarterly U.S. bilateral real exchange rates – Australia, Canada, the euro, Japan, New Zealand and the United Kingdom – over the 1980-2007 period, a dynamic factor model points to two common factors.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Exchange rates
JEL Code(s):
J,
J3,
J31
Macroprudential Regulation and Systemic Capital Requirements
Staff Working Paper 2010-4
Céline Gauthier,
Alfred Lehar,
Moez Souissi
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability
JEL Code(s):
C,
C1,
C15,
C8,
C81,
E,
E4,
E44,
G,
G2,
G21