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187 Results

Menu Costs, Relative Prices, and Inflation: Evidence for Canada

Staff Working Paper 1997-14 Robert Amano, Tiff Macklem
The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks.

A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap

Staff Working Paper 1997-5 Chantal Dupasquier, Alain Guay, Pierre St-Amant
In this paper, the authors survey some of the recent techniques proposed in the literature to measure the trend component of output or potential output. Given the reported shortcomings of mechanical filters and univariate approaches to estimate potential output, the paper focusses on three simple multivariate methodologies: the multivariate Beveridge-Nelson methodology (MBN), Cochrane's methodology (CO), and the structural VAR methodology with long-run restrictions applied to output (LRRO).
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C5, C52, E, E5, E52

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
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