Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion Staff Working Paper 2006-14 Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian, Sebastien McMahon Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E37
The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States Staff Working Paper 2006-11 René Lalonde, Nicolas Parent In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Monetary policy framework, Monetary policy implementation JEL Code(s): C, C2, C22, C5, C52, E, E5, E52
Monetary Policy in an Estimated DSGE Model with a Financial Accelerator Staff Working Paper 2006-9 Ian Christensen, Ali Dib The authors estimate a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke, Gertler, and Gilchrist (1999), to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): E, E3, E32, E37, E4, E44
Forecasting Canadian Time Series with the New Keynesian Model Staff Working Paper 2006-4 Ali Dib, Mohamed Gammoudi, Kevin Moran The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C1, C12, E, E3, E32, E37
Money and Credit Factors Staff Working Paper 2006-3 Paul Gilbert, Erik Meijer The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Credit and credit aggregates, Econometric and statistical methods, Monetary aggregates JEL Code(s): C, C4, C43, C8, C82, E, E5, E51
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada Staff Working Paper 2006-2 Lynda Khalaf, Maral Kichian The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E31, F, F3, F31, F4, F40
The Institutional and Political Determinants of Fiscal Adjustment Staff Working Paper 2006-1 Robert Lavigne The author empirically assesses the effects of institutional and political factors on the need and willingness of governments to make large fiscal adjustments. Content Type(s): Staff research, Staff working papers Research Topic(s): Development economics, Econometric and statistical methods, Fiscal policy, International topics JEL Code(s): E, E6, E62, O, O1, O17, O19
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate Staff Working Paper 2005-45 Ingrid Lo The author compares the performance of three Gaussian approximation methods - by Nowman (1997), Shoji and Ozaki (1998), and Yu and Phillips (2001) - in estimating a model of the nonlinear continuous-time short-term interest rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, E, E4
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components? Staff Working Paper 2005-44 Frédérick Demers, Annie De Champlain The authors investigate the behaviour of core inflation in Canada to analyze three key issues: (i) homogeneity in the response of various price indexes to demand or real exchange rate shocks relative to the response of aggregate core inflation; (ii) whether using disaggregate data helps to improve the forecast of core inflation; and (iii) whether using monthly data helps to improve quarterly forecasts. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, E, E3, E37
Modelling and Forecasting Housing Investment: The Case of Canada Staff Working Paper 2005-41 Frédérick Demers The author proposes and evaluates econometric models that try to explain and forecast real quarterly housing expenditures in Canada. Structural and leading-indicator models of the Canadian housing sector are described. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Economic models JEL Code(s): E, E2, E27, R, R2, R21