Modelling the Evolution of Credit Spreads in the United States Staff Working Paper 2004-45 Stuart Turnbull, Jun Yang The authors use Jarrow and Turnbull's (1995) reduced-form methodology to model the evolution of the term structure of interest rates in the United States for different credit classes and different industries. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): G, G1, G12, G13
The Transmission of World Shocks to Emerging-Market Countries: An Empirical Analysis Staff Working Paper 2004-44 Brigitte Desroches The first step in designing effective policies to stabilize an economy is to understand business cycles. No country is isolated from the world economy and external shocks are becoming increasingly important. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rate regimes, International topics, Monetary policy transmission JEL Code(s): E, E3, E30, E32, E6, E61, F, F0, F02
Real Return Bonds, Inflation Expectations, and the Break-Even Inflation Rate Staff Working Paper 2004-43 Ian Christensen, Christopher Reid, Frédéric Dion According to the Fisher hypothesis, the gap between Canadian nominal and Real Return Bond yields (or break-even inflation rate) should be a good measure of inflation expectations. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Interest rates, Market structure and pricing JEL Code(s): E, E3, E31, E4, E43
International Equity Flows and Returns: A Quantitative Equilibrium Approach Staff Working Paper 2004-42 Rui Albuquerque, Martin Schneider, Gregory Bauer The authors model trading by foreign and domestic investors in developed-country equity markets. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, International topics, Market structure and pricing JEL Code(s): F, F3, F30, G, G1, G12, G14, G15
Characterization of the Dynamic Effects of Fiscal Shocks in a Small Open Economy Staff Working Paper 2004-41 Nooman Rebei The author studies the macroeconomic consequences of discretionary changes in the fiscal policy instruments for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Fiscal policy JEL Code(s): E, E3, E32, E6, E62
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires Staff Working Paper 2004-40 Frédérick Demers In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53
A Forecasting Model for Inventory Investments in Canada Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian The authors present an empirical model to forecast short-run inventory investment behaviour for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62
Finance Constraints and Inventory Investment: Empirical Tests with Panel Data Staff Working Paper 2004-38 Rose Cunningham The author empirically tests two aspects of the interaction between financial variables and inventory investment: negative cash flow and finance constraints due to asymmetric information. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Financial institutions JEL Code(s): E, E2, E22, G, G1, G14
The Implications of Transmission and Information Lags for the Stabilization Bias and Optimal Delegation Staff Working Paper 2004-37 Jean-Paul Lam, Florian Pelgrin In two recent papers, Jensen (2002) and Walsh (2003), using a hybrid New Keynesian model, demonstrate that a regime that targets either nominal income growth or the change in the output gap can effectively replicate the outcome under commitment and hence reduce the size of the stabilization bias. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy transmission JEL Code(s): E, E5, E52, E58, E6, E62
Optimal Taylor Rules in an Estimated Model of a Small Open Economy Staff Working Paper 2004-36 Steve Ambler, Ali Dib, Nooman Rebei The authors compute welfare-maximizing Taylor rules in a dynamic general-equilibrium model of a small open economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Exchange rates, Inflation targets JEL Code(s): F, F2, F3, F31, F33