April 12, 2006
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2338
result(s)
Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion
Staff Working Paper 2006-14
Jean-Thomas Bernard,
Lynda Khalaf,
Maral Kichian,
Sebastien McMahon
Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C52,
C53,
E,
E3,
E37
Guarding Against Large Policy Errors under Model Uncertainty
Staff Working Paper 2006-13
Gino Cateau
How can policy-makers avoid large policy errors when they are uncertain about the true model of the economy?
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy and uncertainty
JEL Code(s):
D,
D8,
D81,
E,
E5,
E58
The Welfare Implications of Inflation versus Price-Level Targeting in a Two-Sector, Small Open Economy
Staff Working Paper 2006-12
Eva Ortega,
Nooman Rebei
The authors analyze the welfare implications of simple monetary policy rules in the context of an estimated model of a small open economy for Canada with traded and non-traded goods, and with sticky prices and wages.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Exchange rates,
Inflation targets
JEL Code(s):
E,
E3,
E31,
E32,
E5,
E52
The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States
Staff Working Paper 2006-11
René Lalonde,
Nicolas Parent
In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
C,
C2,
C22,
C5,
C52,
E,
E5,
E52
An Evaluation of Core Inflation Measures
Staff Working Paper 2006-10
Jamie Armour
The author provides a statistical evaluation of various measures of core inflation for Canada.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices
JEL Code(s):
E,
E3,
E31
Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
Staff Working Paper 2006-9
Ian Christensen,
Ali Dib
The authors estimate a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke, Gertler, and Gilchrist (1999), to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods,
Economic models
JEL Code(s):
E,
E3,
E32,
E37,
E4,
E44
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
Staff Working Paper 2006-8
Ingrid Lo,
Stephen Sapp
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates,
Financial markets
JEL Code(s):
C,
C3,
D,
D8,
F,
F3,
F31
Ownership Concentration and Competition in Banking Markets
Staff Working Paper 2006-7
Alexandra Lai,
Raphael Solomon
Many countries prohibit large shareholdings in their domestic banks.The authors examine whether such a restriction restrains competition in a duopolistic loan market. Blockholders may influence managers' output decisions by choosing capital structure, as in Brander and Lewis (1986).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial services,
Financial system regulation and policies
JEL Code(s):
G,
G2,
G21,
G28,
G3,
G32,
L,
L1,
L10
Regime Shifts in the Indicator Properties of Narrow Money in Canada
Staff Working Paper 2006-6
Tracy Chan,
Ramdane Djoudad,
Jackson Loi
Financial innovations and the removal of the reserve requirements in the early 1990s have made the distinction between demand and notice deposits arbitrary.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary aggregates
JEL Code(s):
E,
E4,
E40,
E42,
E5,
E50