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2338
result(s)
International Financial Crises and Flexible Exchange Rates: Some Policy Lessons from Canada
Technical Report No. 88
John Murray,
Mark Zelmer,
Zahir Antia
This paper examines the behaviour of the Canadian dollar from 1997 to 1999 to see if there is any evidence of excess volatility or significant overshooting. A small econometric model of the exchange rate, based on market fundamentals, is presented and used to make tentative judgments about the extent to which the currency might have been systematically over- or undervalued.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Exchange rate regimes,
Exchange rates
JEL Code(s):
F,
F3,
F31
Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996)
Staff Working Paper 2000-6
Seamus Hogan,
Lise Pichette
A number of authors have suggested that economies face a long-run inflation-unemployment trade-off due to downward nominal-wage rigidity. This theory has implications for the nature of the short-run Phillips curve when wage inflation is low.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary policy framework,
Monetary policy transmission
JEL Code(s):
C,
C5,
C52,
E,
E2,
E24,
E5,
E50
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
Staff Working Paper 2000-5
Greg Tkacz
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C1,
C13,
E,
E4,
E43
Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis
Staff Working Paper 2000-4
Ramdane Djoudad,
David Tessier
This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Exchange rates
JEL Code(s):
F,
F3,
F31
Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada
Staff Working Paper 2000-3
Gilles Bérubé,
Denise Côté
This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
C,
C2,
C22,
E,
E2,
E21
GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide
Staff Working Paper 2000-2
Maral Kichian
State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models until recently was limited by the assumption that all […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C3,
C32,
C8,
C82,
C87,
C89
The Employment Costs of Downward Nominal-Wage Rigidity
Staff Working Paper 2000-1
Jean Farès,
Seamus Hogan
In this paper, we use firm-level wage and employment data to address whether there is evidence of downward nominal-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can result when estimating reduced-form wage and employment equations and suggest a way of controlling for that bias. […]
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
C,
C3,
C33,
J,
J2,
J23,
J3,
J31
December 16, 1999
Economic and Financial Developments to 16 February 2000: An Update to the Monetary Policy Report
Bank of Canada Review - Winter 1999–2000
Tim Noël,
Sheryl Kennedy,
Gordon Thiessen,
Malcolm Knight,
Pierre Duguay,
Paul Jenkins,
Charles Freedman
Highlights
* The pace of economic activity in the United States remains strong, exceeding earlier expectations.
* With the stronger momentum of external demand, the Bank now expects Canada's real GDP growth in 2000 to be in the upper half of the 2.75 to 3.75 per cent range projected in the last Monetary Policy Report.
* Core inflation was below expectations in November, partly because of price discounting on certain semi-durables.
* The Bank expects core inflation to increase to 2 per cent in the first quarter of 2000.
* Because of higher energy prices, the rate of increase in total CPI is expected to rise to close to 3 per cent early in the year.
* Developments during the last three months underscore the risks to Canada's economic outlook highlighted in the last Report : stronger momentum of demand for Canadian output from both domestic and external sources and potential inflationary pressures in the United States.
Information received since 14 January, when the update to our November Monetary Policy Report was completed, continues to point to a strengthening outlook for the world economy and for Canada.
In the United States, real GDP again exceeded expectations—rising at an annual rate of 5.8 per cent in the fourth quarter. While some price and cost pressures are evident in the United States, strong productivity growth has thus far held unit labour costs down. Because of the rapid expansion of demand above the growth of potential capacity, however, and the associated inflation risks, the Federal Reserve increased its federal funds rate by 25 basis points to 5.75 per cent on 2 February.
Although trend inflation remains low in the industrial countries, a number of other major central banks have also raised their policy rates in the last couple of weeks because of concern about future inflation pressures, given strengthening demand.
The buoyancy of external demand, particularly that coming from the United States, continues to show in our latest merchandise trade numbers. Export growth in November remained strong, with the overall trade balance in large surplus. World prices for our key primary commodities also continue to firm in response to rising global demand. On the domestic side, the latest information on demand and production points to continued robustness. Real GDP (at factor cost) rose 0.6 per cent (4.6 per cent year-over-year) in November, and employment continued to grow strongly through year-end and into January. Other indicators, including the latest data on the monetary aggregates, support this strong economic picture. The Bank now expects real GDP growth in 2000 to be near the top of the 2.75 to 3.75 per cent range projected in November.
Our core measure of inflation was 1.6 per cent (year-over-year) in December, slightly below expectations, partly because of temporary discounts on certain items. Core inflation is still expected to move up to the midpoint of the Bank's 1 to 3 per cent target range in the first quarter. Over the same period, the total CPI will likely rise to close to 3 per cent because of the recent sharp step-up in energy prices but is still expected to come down towards the core rate during the course of 2000 as energy prices moderate.
The Bank of Canada raised its Bank Rate by 25 basis points to 5.25 per cent on 3 February. The factors behind this decision included the strong momentum of demand in Canada from both external and domestic sources, the importance of approaching full capacity in a prudent way, and the risk of a spillover of potential inflation pressures from the United States.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Recent economic and financial developments
December 15, 1999
The Exchange Rate, Productivity, and the Standard of Living
This article examines the recent proposition that the decline in Canada's standard of living relative to that of the United States is causally related to the decline in our exchange rate. The authors explore the main channels through which the exchange rate and the standard of living could be related—productivity and the terms of trade—focusing mainly on productivity. They conclude that the decline in world commodity prices and weak demand for domestic output were affecting both Canada's standard of living and the exchange rate and that the flexible exchange rate regime itself did not play an independent role.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Exchange rates