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Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real of Imagined?
Murray, J.; Van Norden, S.; Vigfusson, R. - Bank of Canada - 1996
responses can be contemplated, the question whether asset prices are in fact subject to excess volatility needs to be answered …
Persistent link: https://www.econbiz.de/10005808256
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Unit-Root Test and Excess Returns.
Godbout, M.J.; Van Norden, S. - Bank of Canada - 1996
that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zoro I(0 …). It has been suggested that this should be interpreted as evidence of the importance of regime- switching in asset prices …
Persistent link: https://www.econbiz.de/10005536889
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Commodity Price Co-Movement and Global Economic Activity
Alquist, Ron; Coibion, Olivier - Bank of Canada - 2014
Guided by a macroeconomic model in which non-energy commodity prices are endogenously determined, we apply a new factor …-based identification strategy to decompose the historical sources of changes in commodity prices and global economic activity. The model … yields a factor structure for commodity prices and identification conditions that provide the factors with an economic …
Persistent link: https://www.econbiz.de/10010849946
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Uncertain Fiscal Consolidations
Bi, Huixin; Leeper, Eric M.; Leith, Campbell - Bank of Canada - 2013
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain. We find that the composition of the fiscal consolidation, its duration, the monetary policy stance, the level of government debt, and...
Persistent link: https://www.econbiz.de/10010849954
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Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem; Xu, TengTeng - Bank of Canada - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post due to different realizations of firm-specific...
Persistent link: https://www.econbiz.de/10010849962
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A Policy Model to Analyze Macroprudential Regulations and Monetary Policy
Alpanda, Sami; Cateau, Gino; Meh, Césaire - Bank of Canada - 2014
We construct a small-open-economy, New Keynesian dynamic stochastic general-equilibrium model with real-financial linkages to analyze the effects of financial shocks and macroprudential policies on the Canadian economy. Our model has four key features. First, it allows for non-trivial...
Persistent link: https://www.econbiz.de/10010849963
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Housing and Tax Policy
Alpanda, Sami; Zubairy, Sarah - Bank of Canada - 2013
frictions in the form of collateral constraints tied to house prices, and a rental housing market alongside owner …
Persistent link: https://www.econbiz.de/10010849964
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ToTEM II: An Updated Version of the Bank of Canada’s Quarterly Projection Model
Dorich, José; Johnston, Michael K.; Mendes, Rhys R.; … - Bank of Canada - 2013
This report provides a detailed technical description of an updated version of the Terms-of-Trade Economic Model (ToTEM II), which replaced ToTEM (Murchison and Rennison 2006) in June 2011 as the Bank of Canada’s quarterly projection model for Canada. ToTEM has been improved along a number of...
Persistent link: https://www.econbiz.de/10010849975
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On the Importance of Sales for Aggregate Price Flexibility
Kryvtsov, Oleksiy; Vincent, Nicolas - Bank of Canada - 2014
response to a monetary contraction, firms facing costs of decreasing regular prices post more sales, and households spend more …
Persistent link: https://www.econbiz.de/10010960391
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Measuring Potential Output at the Bank of Canada: The Extended Multivariate Filter and the Integrated Framework
Pichette, Lise; St-Amant, Pierre; Tomlin, Ben; Anoma, Karine - Bank of Canada - 2015
Estimating potential output and the output gap - the difference between actual output and its potential - is important for the proper conduct of monetary policy. However, the measurement and interpretation of potential output, and hence the output gap, is fraught with uncertainty, since it is...
Persistent link: https://www.econbiz.de/10011253083