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11 Results

IMPACT: The Bank of Canada’s International Model for Projecting Activity

We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance.

Implementing Cross-Border Interbank Lending in BoC-GEM-FIN

Staff Discussion Paper 2016-19 Malik Shukayev, Argyn Toktamyssov
BIS interbank lending data show that the Great Recession generated large and persistent changes in the international interbank lending positions of various countries. The main objective of this study is to understand the role of changes in international interbank credit flows in transmitting shocks across borders.

Exchange Rates and Individual Good’s Price Misalignment: Some Preliminary Evidence of Long-Horizon Predictability

Staff Discussion Paper 2011-8 Wei Dong, Deokwoo Nam
When prices are sticky, movements in the nominal exchange rate have a direct impact on international relative prices. A relative price misalignment would trigger an adjustment in consumption and employment, and may help to predict future movements in the exchange rate.
Content Type(s): Staff research, Staff discussion papers Topic(s): Exchange rates, International topics JEL Code(s): F, F3, F31, F4, F47

Nowcasting the Global Economy

Staff Discussion Paper 2010-12 James Rossiter
Forecasts of global economic activity and inflation are important inputs when conducting monetary policy in small open economies such as Canada. As part of the Bank of Canada's broad agenda to augment its short-term forecasting tools, the author constructs simple mixed-frequency forecasting equations for quarterly global output, imports, and inflation using the monthly global Purchasing Managers Index (PMI).
Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, International topics JEL Code(s): E, E3, E37, F, F4, F47

Le pouvoir de prévision des indices PMI

Staff Discussion Paper 2010-3 Claudia Godbout, Jocelyn Jacob
The forecast of world economic growth plays a key role in the conduct of Canadian monetary policy. In this context, the authors study the usefulness of the monthly Purchasing Managers’ Indexes (PMIs) in predicting short-term real GDP growth in the euro area, Japan, the United Kingdom, and China, as well as in the world economy.

A Wave of Protectionism? An Analysis of Economic and Political Considerations

Staff Working Paper 2008-2 Philipp Maier
In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism.

The Bank of Canada's Version of the Global Economy Model (BoC-GEM)

Technical Report No. 98 René Lalonde, Dirk Muir
The Bank of Canada's version of the Global Economy Model (BoC-GEM) is derived from the model created at the International Monetary Fund by Douglas Laxton (IMF) and Paolo Pesenti (Federal Reserve Bank of New York and National Bureau of Economic Research).

Oil Price Movements and the Global Economy: A Model-Based Assessment

We develop a five-region version (Canada, an oil exporter, the United States, emerging Asia and Japan plus the euro area) of the Global Economy Model (GEM) encompassing production and trade of crude oil, and use it to study the international transmission mechanism of shocks that drive oil prices.

Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?

Staff Working Paper 2005-5 Sylvain Martel
This study on overinvestment differs from the existing literature in that investment in machinery and equipment is modelled as a structural vector autoregression with identification achieved by imposing long-run restrictions, as in Blanchard and Quah (1989).
Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components JEL Code(s): C, C3, C32, E, E3, E37, F, F4, F47