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182 Results

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

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

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.

The Bank of Canada's New Quarterly Projection Model, Part 3. The Dynamic Model: QPM

The Bank of Canada's new Quarterly Projection Model, QPM, combines the short-term dynamic properties necessary to support regular economic projections with the consistent behavioural structure necessary for policy analysis.
Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17

The Bank of Canada's New Quarterly Projection Model, Part 2. A Robust Method for Simulating Forward-Looking Models

In this report, we describe methods for solving economic models when expectations are presumed to have at least some element of consistency with the predictions of the model itself. We present analytical results that establish the convergence properties of alternative solution procedures for linear models with unique solutions. Only one method is guaranteed to converge, […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C3, C32, C5, C53

The Bank of Canada's New Quarterly Projection Model, Part 1. The Steady-State Model: SSQPM

This report is the first documenting the Bank of Canada's new model of the Canadian economy, the Quarterly Projection Model (QPM). QPM is used at the Bank of Canada for both economic projections and policy analysis. Here the authors focus on the model's long-run properties, describing SSQPM, a model of the steady state of QPM […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C51, E, E1, E13

Government Debt in an Open Economy

Technical Report No. 58 Douglas Laxton, Robert Tetlow
This paper introduces the CORE model, a prototype for a new quarterly model of the Canadian economy, designed for projections and policy analysis with focus beyond the very short run. The model has a clearly defined equilibrium and explicit adjustment mechanisms, primarily through relative prices, that are dynamically stable. Overlaid on a neo-classical growth model […]
Content Type(s): Staff research, Technical reports Topic(s): Fiscal policy JEL Code(s): C, C5, C53, F, F3, F32, H, H3, H30, H6, H60

Wage and Price Dynamics in Canada

Technical Report No. 56 Barry Cozier
This paper examines wage and price dynamics in Canada with a view towards testing the implications of a wage-price dynamics, according to which unit labour costs are determined by a wage Phillips curve while prices are set as a markup over unit labour costs. This model is compared to an alternative model in which excess […]
Content Type(s): Staff research, Technical reports Topic(s): Inflation and prices JEL Code(s): C, C5, C51, C52, E, E2, E24, E3, E31

The Structure of the Small Annual Model

Technical Report No. 40 David Rose, Jack Selody
This volume contains a detailed description of the structure and sectoral properties of the Bank of Canada's Small Annual Model, SAM. The SAM model, constructed in the Research Department of the Bank, is designed for medium- to long-term simulation. It is small by econometric model standards; the version described in this report has 25 stochastic […]
Content Type(s): Staff research, Technical reports Topic(s): Interest rates JEL Code(s): C, C5, C51, E, E4

Responses of Various Econometric Models to Selected Policy Shocks

Technical Report No. 38 Brian O'Reilly, Graydon Paulin, Philip Smith
In July, 1982 a seminar was held in Ottawa to compare the responses of nine major econometric models to a previously specified set of shocks to the Canadian economy. At the seminar, which was sponsored by the Bank of Canada and the Department of Finance, participants presented the results of their simulations and discussed the […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models JEL Code(s): C, C5, C52, E, E1, E17
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