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The Propagation of Industrial Business Cycles
Camacho, Maximo; Leiva-Leon, Danilo - Bank of Canada - 2014
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is...
Persistent link: https://www.econbiz.de/10010960395
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Do Mechanical Filters Provide a Good Approximation of Business Cycles?
Guay, A; St-Amant, P - Bank of Canada - 1996
In this paper, the authors examine how weel 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.
Persistent link: https://www.econbiz.de/10005162367
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Common Trends and Common Cycles in Canadian Sectoral Output
Barillas, Francisco; Schleicher, Christoph - Bank of Canada - 2003
The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle...
Persistent link: https://www.econbiz.de/10005536877
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Risk Perceptions and Attitudes
Misina, Miroslav - Bank of Canada - 2005
Changes in risk perception have been used in various contexts to explain shorter-term developments in financial markets, as part of a mechanism that amplifies fluctuations in financial markets, as well as in accounts of "irrational exuberance." This approach holds that changes in risk perception...
Persistent link: https://www.econbiz.de/10005808296
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Expectations and Monetary Policy: Experimental Evidence
Kryvtsov, Oleksiy; Petersen, Luba - Bank of Canada - 2013
The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a … standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of … inflation and the output gap by at least two-thirds. These stabilization benefits can be substantially smaller if expectations …
Persistent link: https://www.econbiz.de/10010713920
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Consumer Attitudes and the Epidemiology of Inflation Expectations
Ehrmann, Michael; Pfajfar, Damjan; Santoro, Emiliano - Bank of Canada - 2014
This paper studies the formation of consumers’ inflation expectations using micro-level data from the Michigan Survey …. It shows that beyond the well-established socio-economic determinants of inflation expectations such as gender, income or …. Respondents with current or expected financial difficulties, pessimistic attitudes about major purchases, or expectations that …
Persistent link: https://www.econbiz.de/10010783636
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Are Distorted Beliefs Too Good to be True?
Misina, Miroslav - Bank of Canada - 2003
Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The …
Persistent link: https://www.econbiz.de/10005673366
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Real time detection of structural breaks in GARCH models
He, Zhongfang; Maheu, John M. - 2009
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...
Persistent link: https://www.econbiz.de/10003933353
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Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns
Aizenman, Joshua; Pasricha, Gurnain - Bank of Canada - 2013
In this paper, we provide empirical evidence on the factors that motivated emerging economies to change their capital outflow controls in recent decades. Liberalization of capital outflow controls can allow emerging-market economies (EMEs) to reduce net capital inflow (NKI) pressures, but may...
Persistent link: https://www.econbiz.de/10010849944
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Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions
Porter, Nathan; Xu, TengTeng - Bank of Canada - 2013
Interest rates in China are composed of a mix of both market-determined interest rates (interbank rates and bond yields), and regulated interest rates (retail lending and deposit rates), reflecting China’s gradual process of interest rate liberalization. This paper investigates the main...
Persistent link: https://www.econbiz.de/10010670841