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Probing Potential Output: Monetary Policy, Credibility, and Optimal Learning under Uncertainty

Staff Working Paper 2000-10 James Yetman
The effective conduct of monetary policy is complicated by uncertainty about the level of potential output, and thus about the size of the monetary policy response that would be sufficient to achieve the targeted inflation rate. One possible response to such uncertainty is for the monetary authority to "probe," interpreted here as actively using its policy response to learn about the level of potential output.

Modelling Risk Premiums in Equity and Foreign Exchange Markets

Staff Working Paper 2000-9 René Garcia, Maral Kichian
The observed predictability of excess returns in equity and foreign exchange markets has largely been attributed to the presence of time-varying risk premiums in these markets. For example, excess equity returns were found to be explained by various financial and economic variables.

Non-Parametric and Neural Network Models of Inflation Changes

Staff Working Paper 2000-7 Greg Tkacz
Previous studies have shown that interest rate yield spreads contain useful information about future changes in inflation. However, such studies have for the most part focused on linear models, ignoring potential non-linearities between interest rates and inflation.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices JEL Code(s): C, C5, C51, E, E3, E31

Some Explorations, Using Canadian Data, of the S-Variable in Akerlof, Dickens, and Perry (1996)

Staff Working Paper 2000-6 Seamus Hogan, Lise Pichette
A number of authors have suggested that economies face a long-run inflation-unemployment trade-off due to downward nominal-wage rigidity. This theory has implications for the nature of the short-run Phillips curve when wage inflation is low.

Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator

Staff Working Paper 2000-5 Greg Tkacz
The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada from 1948 to 1999.

Long-Term Determinants of the Personal Savings Rate: Literature Review and Some Empirical Results for Canada

Staff Working Paper 2000-3 Gilles Bérubé, Denise Côté
This paper examines the structural determinants of the personal savings rate in Canada over the last 30 years, using cointegration techniques. The main finding is that the real interest rate, expected inflation, the ratio of the all-government fiscal balances to nominal GDP, and the ratio of household net worth to personal disposable income are the most […]
Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C2, C22, E, E2, E21

The Expectations Hypothesis for the Longer End of the Term Structure: Some Evidence for Canada

Staff Working Paper 1999-20 Ron Lange
This paper assesses the expectations theory for the longer end of the term structure of Canadian interest rates using three empirical approaches that have received attention in the literature: (i) cointegration tests of the long-run unbiasedness hypothesis; (ii) simulations of a theoretical long-term yield that is consistent with the expectations hypothesis, and (iii) ex post […]
Content Type(s): Staff research, Staff working papers Topic(s): Interest rates JEL Code(s): E, E4, E43
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