November 9, 1996
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2343
result(s)
November 8, 1996
Money markets and central bank operations: Conference summary
This article summarizes the proceedings of a conference hosted by the Bank of Canada in November 1995. The conference examined the interaction between monetary policy operations and the money market. It provided an opportunity to assess current operations before the introduction of a large-value transfer system leads the Bank to change the techniques it uses to implement monetary policy on a day-to-day basis. From the Bank's perspective, the papers prepared externally provided some useful insights into recent innovations in money markets and their implications for the implementation of monetary policy. Meanwhile, the sessions devoted to the Bank's operations in financial markets were designed to provide market practitioners and academics with further insight into how the Bank operates in these markets.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Monetary policy implementation
Do Mechanical Filters Provide a Good Approximation of Business Cycles?
Technical Report No. 78
Alain Guay,
Pierre St-Amant
In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C52,
E,
E3,
E32
A Modified P*-Model of Inflation Based on M1
Staff Working Paper 1996-15
Joseph Atta-Mensah
This paper examines the performance of M1 in an indicator-model of inflation over time horizons as long as 16 quarters into the future.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models
JEL Code(s):
E,
E3,
E37
L'endettement du Canada et ses effets sur les taux d'intérêt réels de long terme
Staff Working Paper 1996-14
Jean-François Fillion
This paper examines the effects that Canada's indebtedness has on Canadian real long-term interest rates, using the vector error-correction model (VECM). Our results show that there is a strongly cointegrated relationship between real interest rates in Canada, U.S. real interest rates, and Canadian public and external debt ratios.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Fiscal policy,
Interest rates
JEL Code(s):
E,
E4,
E43,
F,
F3,
F30,
H,
H6,
H60
The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter
Technical Report No. 77
Leo Butler
The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Economic models
JEL Code(s):
C,
C5,
C51,
E,
E2,
E23
Speculative Behaviour, Regime-Switching and Stock Market Crashes
Staff Working Paper 1996-13
Simon van Norden,
Huntley Schaller
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
C,
C4,
C40,
E,
E4,
E44,
G,
G1,
G12
The Commodity-Price Cycle and Regional Economic Performance in Canada
Staff Working Paper 1996-12
Mario Lefebvre,
Stephen S. Poloz
This paper attempts to provide one interpretation of the broad regional economic history of Canada since the early 1970s. As the title of the paper suggests, we believe that, to a significant degree, regional diversity in economic performance reflects movements in Canada's terms of trade, which very frequently are tied to developments in world commodity markets.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Regional economic developments
JEL Code(s):
E,
E3,
E32
August 11, 1996
Real short-term interest rates and expected inflation: Measurement and interpretation
This article compares different measures of real short-term interest rates for Canada over the period from 1956 to 1995. A new measure for the expected real interest rate is constructed using a proxy for inflation expectations that is based on the properties of past inflation. The history of inflation in Canada suggests that the characteristics of inflation have changed considerably over time. Past inflation can be characterized by three different types of behaviour: an environment in which average inflation is low and shocks to inflation have only temporary effects; an environment of moderate inflation with more persistent disturbances; and an environment of drifting inflation in which shocks have permanent effects on the level of inflation. The proxy for inflation expectations uses a statistical model, called a Markov Switching Model, to take account of changes in the behaviour of inflation over time. It is found that uncertainty about the changing characteristics of inflation behaviour leads to uncertainty about estimates of inflation expectations and thus about measures of real interest rates. Target ranges for keeping inflation low should help reduce the uncertainty about inflation behaviour. The behaviour of inflation and interest rates suggests that the credibility of the Bank of Canada's inflation-control objectives is growing. This should reduce inflation uncertainty and lead to lower nominal interest rates over time.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Inflation and prices,
Interest rates
August 10, 1996
Inflation expectations and Real Return Bonds
The existence of a market for Real Return Bonds in Canada provides a direct tool with which to measure market expectations of inflation by comparing the yields on these bonds with those on conventional Government of Canada long-term bonds. However, there are other factors besides inflation expectations that may affect the yield differential. After reviewing these factors, the authors note that they can lead to a potentially large bias in the level of inflation expectations. The changes in the differential over time may, nonetheless, be a good indicator of movements in long-run inflation expectations. Based on this measure, expectations of long-run inflation have declined since late 1994.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Interest rates