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1584 result(s)

Un examen de la crédibilité de la politique monétaire au Canada

Staff Working Paper 1998-12 Patrick Perrier
In this study, the author uses survey data on inflationary expectations to obtain information about the credibility of Canada's monetary policy. By comparing the differences between the forecasts made by survey participants with the targets set by the Bank of Canada for the 1992-1996 period (the period covered by the study), it was possible to […]
Content Type(s): Staff research, Staff working papers Topic(s): Inflation targets JEL Code(s): E, E5, E52

Liquidity Effects and Market Frictions

Staff Working Paper 1998-11 Scott Hendry, Guang-Jia Zhang
The goal of this paper is to shed light on the nature of the monetary transmission mechanism. Specifically, we attempt to tackle two problems in standard limited-participation models: (1) the interest rate liquidity effect is not as persistent as in the data; and (2) some nominal variables are unrealistically volatile. To address these problems, we […]
Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy transmission JEL Code(s): E, E5

Fundamentals, Contagion and Currency Crises: An Empirical Analysis

Staff Working Paper 1998-10 Mark Kruger, Patrick Osakwe, Jennifer Page
This paper examines the determinants of currency crises in Latin America, Asia and Africa. It asks two basic questions: (a) Are currency crises linked to economic fundamentals? and; (b) Is there any evidence of a contagion effect after controlling for the potential effects of economic fundamentals? Using pooled annual data for 19 developing countries spanning […]
Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): F, F3

Buying Back Government Bonds: Mechanics and Other Considerations

Staff Working Paper 1998-9 Toni Gravelle
With the elimination of the federal deficit, the Bank of Canada, the Department of Finance, and financial market participants are examining ways to manage the reduction in the stock of marketable debt. This paper summarizes three different methods—reverse auction, over-the-counter purchases, and conversions—that could be used to buy back Government of Canada bonds before they […]
Content Type(s): Staff research, Staff working papers Topic(s): Debt management, Financial markets JEL Code(s): G, G1

Easing Restrictions on the Stripping and Reconstitution of Government of Canada Bonds

Staff Working Paper 1998-8 David Bolder, Serge Boisvert
The Department of Finance and the Bank of Canada, as its fiscal agent, work closely with financial market participants in the management of the federal government's debt program. From the government's perspective, maintaining a liquid well-functioning market in Government of Canada securities is a key factor in ensuring that debt-service costs are minimized. It is […]
Content Type(s): Staff research, Staff working papers Topic(s): Debt management JEL Code(s): G, G1

Uncertainty and Multiple Paradigms of the Transmission Mechanism

Staff Working Paper 1998-7 Walter Engert, Jack Selody
An important challenge facing central banks is making decisions under uncertainty about the dynamic effects of monetary policy actions. The authors stress the importance of explicitly recognizing uncertainty about the transmission mechanism when formulating policy advice. They argue that one way to manage monetary policy under uncertainty is to draw on both an output-gap paradigm […]

Forecasting Inflation with the M1-VECM: Part Two

Staff Working Paper 1998-6 Walter Engert, Scott Hendry
A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […]

Predicting Canadian Recessions Using Financial Variables: A Probit Approach

Staff Working Paper 1998-5 Joseph Atta-Mensah, Greg Tkacz
This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding is that the spread between the yield on Canadian […]

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
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