Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1290
result(s)
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
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
Staff Working Paper 1996-11
Simon van Norden,
Robert Vigfusson
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C5,
C52
Unit-Root Tests and Excess Returns
Staff Working Paper 1996-10
Marie-Josée Godbout,
Simon van Norden
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C12,
F,
F3,
F31
Does Inflation Uncertainty Vary with the Level of Inflation?
Staff Working Paper 1996-9
Allan Crawford,
Marcel Kasumovich
The purpose of this study is to test the hypothesis that inflation uncertainty increases at higher levels of inflation. Our analysis is based on the generalized autoregressive conditional heteroscedasticity (GARCH) class of models, which allow the conditional variance of the error term to be time-varying. Since this variance is a proxy for inflation uncertainty, a positive relationship between the conditional variance and inflation would be interpreted as evidence that inflation uncertainty increases with the level of inflation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Inflation and prices,
Monetary policy and uncertainty
JEL Code(s):
C,
C5,
C52,
E,
E3,
E31
Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks
Staff Working Paper 1996-8
Marcel Kasumovich
In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Monetary and financial indicators,
Monetary policy transmission
JEL Code(s):
E,
E4,
E43,
E5,
E51
An Econometric Examination of the Trend Unemployment Rate in Canada
Staff Working Paper 1996-7
Denise Côté,
Doug Hostland
This paper attempts to identify the trend unemployment rate, an empirical concept, using cointegration theory. The authors examine whether there is a cointegrating relationship between the observed unemployment rate and various structural factors, focussing neither on the non-accelerating-inflation rate of unemployment (NAIRU) nor on the natural rate of unemployment, but rather on the trend unemployment rate, which they define in terms of cointegration.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Labour markets
JEL Code(s):
E,
E2,
E24
Provincial Credit Ratings in Canada: An Ordered Probit Analysis
Staff Working Paper 1996-6
Stella Cheung
The author estimates the relationship between the provincial credit ratings, as assessed by Standard & Poor's, and a number of economic variables, using the ordered probit methodology. All the variables in her estimation prove to be significant. In particular, she finds that downgrades take place at almost the same speed at different levels of the debt-to-GDP ratio, based on a pooled sample of nine provinces.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets
JEL Code(s):
H,
H6,
H63
A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria
Staff Working Paper 1996-5
Joseph Atta-Mensah,
Walter Engert,
Scott Hendry,
Jamie Armour
A vector error-correction model (VECM) that forecasts inflation between the current quarter and eight quarters ahead is found to provide significant leading information about inflation. The model focusses on the effects of deviations of M1 from its long-run demand but also includes, among other things, the influence of the exchange rate, a simple measure of the output gap and past prices.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary aggregates,
Monetary policy transmission
JEL Code(s):
E,
E3,
E37,
E5,
E52
Overnight Rate Innovations as a Measure of Monetary Policy Shocks in Vector Autoregressions
Staff Working Paper 1996-4
Walter Engert,
Ben Fung,
Jamie Armour
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models. Since the time series of the Bank's current measure of the overnight rate begins only in 1971, the authors splice it to day loan rate observations to obtain a sufficiently long period of data.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Monetary and financial indicators
JEL Code(s):
E,
E5,
E52