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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

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

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

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

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

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

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

Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?

Vigfusson, R.; Van Norden, S. - Bank of Canada - 1996

Our paper reports on Monte Carlo experiments using Evans's data-generating process to gauge the performance of these two kinds of regime-switching tests.

Persistent link: https://www.econbiz.de/10005536884

Unit-Root Test and Excess Returns.

Godbout, M.J.; Van Norden, S. - Bank of Canada - 1996

Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1)...

Persistent link: https://www.econbiz.de/10005536889

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

Bérubé, Gilles; Côté, Denise - Bank of Canada - 2000

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...

Persistent link: https://www.econbiz.de/10005536897