Survey-Based Estimates of the Term Structure of Expected U.S. Inflation Staff Working Paper 2006-46 Sharon Kozicki, P. A. Tinsley Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Monetary policy and uncertainty JEL Code(s): E, E3, E5
The Role of Debt and Equity Finance over the Business Cycle Staff Working Paper 2006-45 Francisco Covas, Wouter den Haan The authors show that debt and equity issuance are procyclical for most listed U.S. firms. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability JEL Code(s): E, E3, G, G1, G3
ToTEM: The Bank of Canada's New Quarterly Projection Model Technical Report No. 97 Stephen Murchison, Andrew Rennison The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4
An Optimized Monetary Policy Rule for ToTEM Staff Working Paper 2006-41 Jean-Philippe Cayen, Amy Corbett, Patrick Perrier The authors propose a monetary policy rule for the Terms-of-Trade Economic Model (ToTEM), the Bank of Canada's new projection and policy-analysis model for the Canadian economy. Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Monetary policy framework, Monetary policy transmission JEL Code(s): E, E5, E52
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices Staff Working Paper 2006-39 Jean-Marie Dufour, David Tessier The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators JEL Code(s): C, C1, C12, C15, C3, C32, C5, C51, C53, E, E5, E52
Survey of Price-Setting Behaviour of Canadian Companies Staff Working Paper 2006-35 David Amirault, Carolyn Kwan, Gordon Wilkinson In many mainstream macroeconomic models, sticky prices play an important role in explaining the effects of monetary policy on the economy. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Monetary policy transmission JEL Code(s): D, D4, D40, E, E3, E30, L, L1, L11
The Macroeconomic Effects of Non-Zero Trend Inflation Staff Working Paper 2006-34 Robert Amano, Steve Ambler, Nooman Rebei The authors study the macroeconomic effects of non-zero trend inflation in a simple dynamic stochastic general-equilibrium model with sticky prices. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Economic models, Inflation and prices, Inflation targets JEL Code(s): E, E2, E24, E3, E32
Can Affine Term Structure Models Help Us Predict Exchange Rates? Staff Working Paper 2006-27 Antonio Diez de los Rios The author proposes an arbitrage-free model of the joint behaviour of interest and exchange rates whose exchange rate forecasts outperform those produced by a random-walk model, a vector autoregression on the forward premiums and the rate of depreciation, and the standard forward premium regression. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Exchange rates, Interest rates JEL Code(s): E, E4, E43, F, F3, F31, G, G1, G12, G15
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices Staff Working Paper 2006-25 Greg Tkacz, Carolyn A. Wilkins The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Inflation and prices JEL Code(s): C, C5, C53, E, E4