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An Analysis of the Information Content of Alternative Credit Aggregates

Technical Report No. 49 Leslie Milton
This study evaluates the information content of 25 measures of credit with respect to three macroeconomic variables—nominal spending, real spending and prices. Initially, simple descriptive techniques are used to assess the contemporaneous and leading relationships between the credit aggregates and the three goal variables. Next, bivariate vector autoregression models are constructed by regressing each of […]
Content Type(s): Staff research, Technical reports Topic(s): Credit and credit aggregates JEL Code(s): E, E5, E51

An Analysis of the Information Content of Alternative Monetary Aggregates

Technical Report No. 48 Doug Hostland, Stephen S. Poloz, Paul Storer
In this study the authors compare the information content of alternative monetary aggregates with respect to total spending in the economy, using data for Canada. The analysis considers 46 monetary measures, about half of which constitute conventional summation aggregates, while the remainder are superlative indices of monetary services based on the Fisher Ideal formula. The […]
Content Type(s): Staff research, Technical reports Topic(s): Monetary aggregates JEL Code(s): E, E5, E51

Les effets macro-économiques des déficits budgétaires : résultats d'un modèle de simulation

Technical Report No. 47 Pierre Duguay, Yves Rabeau
An increase in a government deficit can have two effects: short-term stimulation of aggregate demand and employment, and long-term contraction of potential output. In this paper, these effects are illustrated using a dynamic, macroeconomic simulation model. The model is not a forecasting tool; it is intended to bridge the gap between Keynesian and supply-side economics […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models, Fiscal policy JEL Code(s): H, H6, H60

A VAR Analysis of Economic Interdependence: Canada, the United States, and the Rest of the World

Technical Report No. 46 John Kuszczak, John Murray
The authors use vector autoregression (VAR) modelling techniques to examine the response of the domestic economy to foreign influences and to quantify some of the concepts and relationships relating to economic interdependence. Particular attention is given to the dynamic behaviour and interactions of the U.S. and Canadian economies over the past twenty years. Extensive empirical […]
Content Type(s): Staff research, Technical reports Topic(s): International topics JEL Code(s): F, F1, F15, F4, F41

Regulation of Financial Institutions—A Functional Analysis

Technical Report No. 45 John Chant
This study has three main objectives: First, to examine the reasons for the existence of financial institutions that simultaneously lend to one group and borrow from another; second, to analyze the reasons for the special treatment of these institutions in terms of the regulation that governs their activities; and third, to assess the types of […]
Content Type(s): Staff research, Technical reports Topic(s): Financial institutions JEL Code(s): G, G2, G28

International Capital Mobility and Asset Substitutability: Some Theory and Evidence on Recent Structural Changes

This study examines different aspects of the international integration of capital markets. In particular, it attempts to determine whether the changes in controls and regulatory policies that have occurred in the past decade have been associated with a greater degree of market integration.

The Slowdown in Productivity Growth in the 1975-83 Period: A Survey of Possible Explanations

Technical Report No. 43 Gerald Stuber
The growth rates of both aggregate factor and labour productivity in Canada fell substantially during the period 1975-83. This paper examines this phenomenon and reviews a number of possible explanations for it. First, the productivity growth slowdown is examined at various levels of industry disaggregation. It is apparent from this analysis that the slowdown varied […]
Content Type(s): Staff research, Technical reports Topic(s): Productivity JEL Code(s): D, D2, D24

A Comparison of Alternative Monetary Policy Regimes in a Small Dynamic Open-Economy Simulation Model

Technical Report No. 42 David Longworth, Stephen S. Poloz
In this paper, the simulation properties of a small, dynamic, open-economy IS-LM-Aggregate Supply model are examined under a variety of alternative policy rule assumptions. These assumptions include rigid money stock, exchange rate and nominal income targets, as well as less rigid policy rules that recognize information limitations. The model that is used consists of four […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy framework JEL Code(s): E, E5, E52

An Integrated Model of the Portfolio Behaviour of the Canadian Household Sector: 1968-1983

Technical Report No. 41 Stephen S. Poloz
An econometric model of the portfolio behaviour of the Canadian household sector is developed to study the linkages between demands for financial assets. The theoretical basis for the model is a version of the well-known Brainard-Tobin framework, which is extended to integrate the consumption-savings and portfolio-allocation decisions. This integration allows joint estimation of the real […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy framework JEL Code(s): G, G1, G11

The Structure of the Small Annual Model

Technical Report No. 40 David Rose, Jack Selody
This volume contains a detailed description of the structure and sectoral properties of the Bank of Canada's Small Annual Model, SAM. The SAM model, constructed in the Research Department of the Bank, is designed for medium- to long-term simulation. It is small by econometric model standards; the version described in this report has 25 stochastic […]
Content Type(s): Staff research, Technical reports Topic(s): Interest rates JEL Code(s): C, C5, C51, E, E4
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