Canadian Policy Analysis Model: CPAM Staff Working Paper 1997-16 Richard Black, David Rose This paper documents the structure and properties of the Canadian Policy Analysis Model (CPAM). CPAM is designed to provide a reasonably complete representation of the Canadian macro economy. Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models JEL Code(s): C, C5, C53, E, E1, E17
Menu Costs, Relative Prices, and Inflation: Evidence for Canada Staff Working Paper 1997-14 Robert Amano, Tiff Macklem The menu-cost models of price adjustment developed by Ball and Mankiw (1994;1995) predict that short-run movements in inflation should be positively related to the skewness and the variance of the distribution of disaggregated relative-price shocks in each period. We test these predictions on Canadian data using the distribution of changes in disaggregated producer prices to measure the skewness and standard deviation of relative-price shocks. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Monetary policy framework JEL Code(s): C, C5, C52, E, E3, E31
What Does Downward Nominal-Wage Rigidity Imply for Monetary Policy? Staff Working Paper 1997-13 Seamus Hogan A recent paper has suggested there might be a trade-off between inflation and unemployment at low inflation rates and this has led some economists to recommend that Canada increase its inflation rate. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation targets, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C5, C52, E, E2, E24, E5, E50
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 Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C5, C52, E, E5, E52
La courbe de Phillips au Canada : un examen de quelques hypothèses Staff Working Paper 1997-3 Jean-François Fillion, André Léonard This study, which draws on a variety of research on price dynamics in Canada, examines some hypotheses that might explain the poor quality of recent inflation forecasts based on the conventional Phillips curve. Content Type(s): Staff research, Staff working papers Research Topic(s): Inflation and prices, Inflation targets JEL Code(s): C, C5, C52, E, E3, E31
Fads or Bubbles? Staff Working Paper 1997-2 Huntley Schaller, Simon van Norden This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples Staff Working Paper 1997-1 Marie-Josée Godbout, Simon van Norden This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, F, F3, F31
Do Mechanical Filters Provide a Good Approximation of Business Cycles? Technical Report No. 78 Alain Guay, Pierre St-Amant In this paper, the authors examine how well the Hodrick-Prescott filter (HP) and the band-pass filter recently proposed by Baxter and King (BK) extract the business-cycle component of macroeconomic time series. Content Type(s): Staff research, Technical reports Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, E, E3, E32
The Bank of Canada's New Quarterly Projection Model, Part 4. A Semi-Structural Method to Estimate Potential Output: Combining Economic Theory with a Time-Series Filter Technical Report No. 77 Leo Butler The level of potential output plays a central role in the Bank of Canada's new Quarterly Projection Model (QPM). This report, the fourth in a series documenting QPM, describes a general method to measure potential output, as well as its implementation in the QPM system. Content Type(s): Staff research, Technical reports Research Topic(s): Economic models JEL Code(s): C, C5, C51, E, E2, E23
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 Research Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12