Modelling Risk Premiums in Equity and Foreign Exchange Markets Staff Working Paper 2000-9 René Garcia, Maral Kichian The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables. Content Type(s): Staff research, Staff working papers Research Topic(s): Exchange rates, Financial markets, Market structure and pricing JEL Code(s): E, E4, E44, F, F3, F31, G, G1, G12, G15
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry Staff Working Paper 2000-8 Lynda Khalaf, Maral Kichian Pricing-to-market (PTM) theory suggests that monopolistic firms which export adjust their destination-specific markups in reaction to exchange rate shocks. These adjustments limit changes in the price of their exports. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C12, C15, L, L1, L11, L16
Non-Parametric and Neural Network Models of Inflation Changes Staff Working Paper 2000-7 Greg Tkacz Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31
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 Research 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 Research 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 Research 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 Research 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 Research 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 Research Topic(s): Labour markets JEL Code(s): C, C3, C33, J, J2, J23, J3, J31
The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada Staff Working Paper 1999-20 Ron Lange This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […] Content Type(s): Staff research, Staff working papers Research Topic(s): Interest rates JEL Code(s): E, E4, E43