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268 Results

Monetary Shocks in the G-6 Countries: Is There a Puzzle?

Staff Working Paper 1997-7 Ben Fung, Marcel Kasumovich
This paper attempts to reduce the uncertainty about the dynamics of the monetary transmission mechanism. Central to this attempt is the identification of monetary policy shocks. Recently, VAR approaches that use over-identifying restrictions have shown success in isolating such 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 Liquidity Trap: Evidence from Japan

Staff Working Paper 1997-4 Isabelle Weberpals
Japanese economic activity has been stagnant since the collapse of the speculative asset-price bubble in 1990, despite highly expansionary monetary policy which has brought interest rates down to record low levels. Although several reasons have been put forward to explain the sustained weakness of the Japanese economy, none is more intriguing from the viewpoint of a central bank than the possibility that monetary policy had been largely ineffective because the Japanese economy entered a Keynesian "liquidity trap."

A Distant-Early-Warning Model of Inflation Based on M1 Disequilibria

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.

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.

From Monetary Policy Instruments to Administered Interest Rates: The Transmission Mechanism in Canada

Technical Report No. 69 Kevin Clinton, Donna Howard
The authors investigate interest-rate aspects of the transmission mechanism of monetary policy instruments in Canada, focussing on the stability of the relationships between some key interest rates and the instruments of monetary policy. To determine what shifts may have occurred in recent years, they describe movements in rate differentials, apply cointegration tests and estimate error-correction […]
Content Type(s): Staff research, Technical reports Topic(s): Monetary policy transmission JEL Code(s): E, E5, E52

Monetary Policy, Uncertainty and the Presumption of Linearity

Technical Report No. 63 Douglas Laxton, David Rose, Robert Tetlow
This report shows that extreme conditions and volatility in markets are much more likely to result from systematic policy errors in gauging and responding to inflationary pressures in an economy than from unfortunate random shocks. We describe a simple model that incorporates the key features of the policy control process. We use two versions of […]

A Comparison of Alternative Monetary Policy Regimes in a Small Dynamic Open-Economy Simulation Model

Technical Report No. 42 David Longworth, Stephen S. Poloz
In this paper, the simulation properties of a small, dynamic, open-economy IS-LM-Aggregate Supply model are examined under a variety of alternative policy rule assumptions. These assumptions include rigid money stock, exchange rate and nominal income targets, as well as less rigid policy rules that recognize information limitations. The model that is used consists of four […]
Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy framework JEL Code(s): E, E5, E52
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