An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates Staff Working Paper 2004-48 David Bolder, Adam Metzler, Grahame Johnson Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni Staff Working Paper 2004-46 Charles St-Arnaud The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C32, E, E2, E23, E3, E32
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires Staff Working Paper 2004-40 Frédérick Demers In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C53
A Forecasting Model for Inventory Investments in Canada Staff Working Paper 2004-39 Marwan Chacra, Maral Kichian The authors present an empirical model to forecast short-run inventory investment behaviour for Canada. Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E2, E22, E6, E62
The U.S. New Keynesian Phillips Curve: An Empirical Assessment Staff Working Paper 2004-35 Alain Guay, Florian Pelgrin The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC). Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31
Estimating New Keynesian Phillips Curves Using Exact Methods Staff Working Paper 2004-11 Lynda Khalaf, Maral Kichian The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31
Structural Change and Forecasting Long-Run Energy Prices Staff Working Paper 2004-5 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C52, C53, Q, Q4, Q40
Modélisation « PAC » du secteur extérieur de l'économie américaine Staff Working Paper 2004-3 Marc-André Gosselin, René Lalonde In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector. Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47
Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates Staff Working Paper 2004-2 Richard Luger The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22, C5, C52, C53
Common Trends and Common Cycles in Canadian Sectoral Output Staff Working Paper 2003-44 Francisco Barillas, Christoph Schleicher The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, E, E3, E32