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563
result(s)
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
Staff Working Paper 2005-45
Ingrid Lo
The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Interest rates
JEL Code(s):
C,
C1,
E,
E4
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
Staff Working Paper 2005-44
Frédérick Demers,
Annie De Champlain
The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Inflation and prices
JEL Code(s):
C,
C5,
E,
E3,
E37
The 1975–78 Anti-Inflation Program in Retrospect
Staff Working Paper 2005-43
John Sargent
The author provides an overview of the 1975–78 Anti-Inflation Program (AIP), in a background document prepared for a seminar organized by the Bank of Canada to mark the AIP's 30th anniversary.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Credibility,
Fiscal policy,
Inflation and prices,
Inflation targets,
Monetary policy framework,
Monetary policy implementation
JEL Code(s):
E,
E3,
E31,
E5,
E52,
E6,
E63,
E64,
E65
Order Submission: The Choice between Limit and Market Orders
Staff Working Paper 2005-42
Ingrid Lo,
Stephen Sapp
Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Exchange rates,
Financial institutions,
Market structure and pricing
JEL Code(s):
D,
D4,
G,
G1
December 2, 2005
From Flapper to Bluestocking: What Happened to the Young Woman of Wellington Street?
Helliwell traces the changes that have occurred at the Bank of Canada since the early 1960s, when he first began a long and extensive relationship with the institution and its staff. He begins with his work on the Royal Commission on Banking and Finance (the Porter Commission) and continues over the next 40 years, giving particular focus to the Bank's analytic and research activities. Although he is careful to note the benefits of alternative analytical and information-gathering techniques, such as the extensive mail and direct interview survey that he and his colleagues conducted as part of the Royal Commission, Helliwell devotes most of his attention to the Bank's econometric modelling efforts, starting with RDX1 and RDX2 in the late 1960s and early 1970s. He cites some of the internal, as well as external, obstacles that had to be overcome as the Bank's modelling efforts advanced, and how shifting trends in the economics profession have sometimes posed a challenge. Helliwell concludes that these developments helped the Bank to come of age and take its place in the front ranks of the world's evidence-based policy-research institutions.
Content Type(s):
Publications,
Bank of Canada Review articles
Research Topic(s):
Central bank research,
Economic models
Modelling and Forecasting Housing Investment: The Case of Canada
Staff Working Paper 2005-41
Frédérick Demers
The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Econometric and statistical methods,
Economic models
JEL Code(s):
E,
E2,
E27,
R,
R2,
R21
Quantity, Quality, and Relevance: Central Bank Research, 1990–2003
Staff Working Paper 2005-37
Pierre St-Amant,
Greg Tkacz,
Annie Guérard-Langlois,
Louis Morel
The authors document the research output of 34 central banks from 1990 to 2003, and use proxies of research inputs to measure the research productivity of central banks over this period.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Central bank research
JEL Code(s):
E,
E5,
E59
MUSE: The Bank of Canada's New Projection Model of the U.S. Economy
Technical Report No. 96
Marc-André Gosselin,
René Lalonde
The analysis and forecasting of developments in the U.S. economy have always played a critical role in the formulation of Canadian economic and financial policy. Thus, the Bank places considerable importance on generating internal forecasts of U.S. economic activity as an input to the Canadian projection.
Content Type(s):
Staff research,
Technical reports
Research Topic(s):
Business fluctuations and cycles,
Economic models
JEL Code(s):
C,
C5,
C53,
E,
E1,
E17,
E2,
E27,
E3,
E37,
F,
F1,
F17
The Exchange Rate and Canadian Inflation Targeting
Staff Working Paper 2005-34
Christopher Ragan
The author provides a non-technical explanation of the role played by the exchange rate in Canada's inflation-targeting monetary policy.
Content Type(s):
Staff research,
Staff working papers
Research Topic(s):
Exchange rates,
Inflation targets,
Monetary policy implementation
JEL Code(s):
E,
E5,
E50,
E52,
F,
F4,
F41