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Evaluating the Quarterly Projection Model: A Preliminary Investigation

Amano1, Robert; McPhail, Kim; Pioro, Hope; Rennison, Andrew - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005673264

Introducing the Bank of Canada's Projection Model for the Global Economy

Bailliu, Jeannine; Blagrave, Patrick; Rossiter, James - Bank of Canada - 2010

To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund. The GPM is a highly stylized quarterly projection model...

Persistent link: https://www.econbiz.de/10010700727

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

Lalonde, Rene; Muir, Dirk - Bank of Canada - 2007

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). The GEM is a dynamic stochastic...

Persistent link: https://www.econbiz.de/10005808259

Predicting Financial Stress Events: A Signal Extraction Approach

Christensen, Ian; Li, Fuchun - Bank of Canada - 2014

The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...

Persistent link: https://www.econbiz.de/10010960397

On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - Bank of Canada - 2008

The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...

Persistent link: https://www.econbiz.de/10005220952

Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing

Chabi-Yo, Fousseni; Leisen, Dietmar; Renault, Eric - Bank of Canada - 2007

Asymmetric shocks are common in markets; securities' payoffs are not normally distributed and exhibit skewness. This paper studies the portfolio holdings of heterogeneous agents with preferences over mean, variance and skewness, and derives equilibrium prices. A three funds separation theorem...

Persistent link: https://www.econbiz.de/10005808375

Inflation, Nominal Portfolios, and Wealth Redistribution in Canada

Meh, Césaire; Terajima, Yaz - Bank of Canada - 2008

There is currently a policy debate on potential refinements to monetary policy regimes in countries with low and stable inflation such as the U.S. and Canada. For example, in Canada, a systematic review of the current inflation targeting framework is underway. An issue that has generally...

Persistent link: https://www.econbiz.de/10005536850

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

investment, (iii) a role for financial wealth in household consumption, and (iv) rule-of-thumb price and wage setters. These new …

Persistent link: https://www.econbiz.de/10010849975

Changes in the Effects of Monetary Policy on Disaggregate Price Dynamics

Baumeister, Christiane; Liu, Philip; Mumtaz, Haroon - Bank of Canada - 2012

underlying components, the degree of monetary non-neutrality is ultimately the result of relative price effects at the sectoral … level. We provide evidence of considerable heterogeneity in sectoral price responses by introducing time variation in a … monetary policy shock and the price dispersion diminishes. We link these empirical findings to a multi-sector DSGE model and …

Persistent link: https://www.econbiz.de/10010548354

Survey of Price-Setting Behaviour of Canadian Companies

Amirault, David; Kwan, Carolyn; Wilkinson, Gordon - Bank of Canada - 2006

. In particular, the Bank of Canada's regional offices surveyed 170 Canadian firms for their views on price dynamics. The … authors find that the most important motivators of price changes are price changes by competitors, changes in domestic input …

Persistent link: https://www.econbiz.de/10005673303

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