Evaluating Factor Models: An Application to Forecasting Inflation in Canada Staff Working Paper 2001-18 Marc-André Gosselin, Greg Tkacz This paper evaluates the forecasting performance of factor models for Canadian inflation. This type of model was introduced and examined by Stock and Watson (1999a), who have shown that it is quite promising for forecasting U.S. inflation. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E3, E37
May 1, 2001 Renewal of the Inflation-Control Target (May 2001) Commentary relating to the 2001 target renewal. Content Type(s): Background materials Research Topic(s): Inflation and prices, Monetary policy
On the Nature and the Stability of the Canadian Phillips Curve Staff Working Paper 2001-4 Maral Kichian This paper empirically determines why, during the 1990s, inflation in Canada was consistently more stable than predicted by the fixed-coefficients Phillips curve. A time-varying-coefficient model, where all the parameters adjust simultaneously, shows that the behaviour of expectations was probably a major contributing factor. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): E, E3, E37
Core Inflation Technical Report No. 89 Seamus Hogan, Marianne Johnson, Thérèse Laflèche The Bank of Canada uses core CPI inflation, the year-over-year rate of change of the consumer price index excluding food, energy, and the effects of changes in indirect taxes, as the operational guide for monetary policy. Content Type(s): Staff research, Technical reports Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31
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
Indicator Models of Core Inflation for Canada Staff Working Paper 1999-13 Richard Dion When there is uncertainty about estimates of the margin of unused capacity in the economy, examining a range of inflation indicators may help in assessing the balance of risks regarding the outlook for inflation. This paper tests a wide range of observable variables for their leading-indicator properties with respect to core inflation, including: commodity prices, […] Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices JEL Code(s): E, E3, E31, E37
Uncovering Inflation Expectations and Risk Premiums From Internationally Integrated Financial Markets Staff Working Paper 1999-6 Ben Fung, Scott Mitnick, Eli Remolona Theory and empirical evidence suggest that the term structure of interest rates reflects risk premiums as well as market expectations about future inflation and real interest rates. We propose an approach to extracting such premiums and expectations by exploiting both the comovements among interest rates across the yield curve and between two countries, Canada and […] Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Inflation and prices, Interest rates, International topics JEL Code(s): E, E4, E43, G, G1, G12, G15
A Non-Paradoxical Interpretation of the Gibson Paradox Staff Working Paper 1998-22 Serge Coulombe In this study, we show how, to yield the real cost of borrowing, the price level can be combined with the nominal interest rate in a monetary regime where the level of prices is trend stationary. We show that the price level then conveys intertemporal information in a way similar to nominal interest rates. We […] Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets, Inflation: costs and benefits, Interest rates
May 12, 1998 Measurement biases in the Canadian CPI: An update Bank of Canada Review - Spring 1998 Allan Crawford The consumer price index (CPI) is used to measure changes in the price level of consumer goods and services. As an indicator of changes in the cost of living, it is susceptible to various types of measurement biases. This article provides estimates of the size of these biases in the Canadian CPI. It concludes that the rate of increase in the CPI probably overstates the rate of increase in the cost of living by about 0.5 percentage points per year. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Inflation and prices
Forecasting Inflation with the M1-VECM: Part Two Staff Working Paper 1998-6 Walter Engert, Scott Hendry A central bank's main concern is the general direction of future inflation, and not transitory fluctuations of the inflation rate. As a result, this paper is concerned with forecasting a simple measure of the trend of inflation, the eight-quarter CPI-inflation rate. The primary objective is to improve the M1-based vector-error-correction model (VECM) developed by Hendry […] Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Inflation and prices, Monetary aggregates JEL Code(s): C, C3, C5, E, E3, E4, E5