Speculative Behaviour, Regime-Switching and Stock Market Crashes Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics." Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12
Interpreting Money-Supply and Interest-Rate Shocks as Monetary-Policy Shocks Staff Working Paper 1996-8 Marcel Kasumovich In this paper two shocks are analysed using Canadian data: a money-supply shock ("M-shock") and an interest-rate shock ("R-shock"). Money-supply shocks are derived using long-run restrictions based on long-run propositions of monetary theory. Thus, an M-shock is represented by an orthogonalized innovation in the trend shared by money and prices. Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators, Monetary policy transmission JEL Code(s): E, E4, E43, E5, E51
Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest Rates Using Structural VAR Methodology Staff Working Paper 1996-2 Pierre St-Amant In this paper, the author uses structural vector autoregression methodology to decompose U.S. nominal interest rates into an expected inflation component and an ex ante real interest rate component. He identifies inflation expectations and ex ante real interest rate shocks by assuming that nominal interest rates and inflation expectations move one-for-one in the long-run—they are cointegrated (1,1)—and that the real interest rate is stationary. Content Type(s): Staff research, Staff working papers Topic(s): Interest rates, International topics JEL Code(s): E, E3, E31, E4, E43
The Electronic Purse: An Overview of Recent Developments and Policy Issues Technical Report No. 74 Gerald Stuber Futurists have been speculating about the prospects for a cashless society for many years, and such predictions became more frequent following the introduction of "smart" cards - cards containing a computer chip - in the mid-1970s. Content Type(s): Staff research, Technical reports Topic(s): Digital currencies and fintech, Financial institutions, Payment clearing and settlement systems, Recent economic and financial developments JEL Code(s): E, E4, E41, G, G2, G20
The Structure of the Small Annual Model Technical Report No. 40 David Rose, Jack Selody This volume contains a detailed description of the structure and sectoral properties of the Bank of Canada's Small Annual Model, SAM. The SAM model, constructed in the Research Department of the Bank, is designed for medium- to long-term simulation. It is small by econometric model standards; the version described in this report has 25 stochastic […] Content Type(s): Staff research, Technical reports Topic(s): Interest rates JEL Code(s): C, C5, C51, E, E4