There appears to be a disconnect between the importance of the zero bound on nominal interest rates in the real-world and predictions from quantitative DSGE models. Recent economic events have reinforced the relevance of the zero bound for monetary policy whereas quantitative models suggest that...

We add downward nominal wage rigidity to a standard New Keynesian model with sticky prices and wages, where the zero lower bound on nominal interest rates is allowed to bind. We find that wage rigidity not only reduces the frequency of zero bound episodes but also mitigates the severity of...

A growing number of advanced economies with monetary policy frameworks that involve inflation targeting have adopted formal processes of review and renewal. These allow policy-makers and other stakeholders to assess the current framework's performance to date, explore the merits of potential...

The Great Recession and current pandemic have focused attention on the constraint on nominal interest rates from the effective lower bound. This has renewed interest in monetary policies that embed makeup strategies, such as price-level or average-inflation targeting. This paper examines the...

Recent discussions on climate change have led to an interest in its potential impact on economic phenomena and public policy. In this paper, we focus on one aspect of the climate change question by documenting the time-series properties of temperatures across Canada. In particular, we examine...

This paper proposes a variant of a threshold stochastic conditional duration (TSCD) model for financial data at the transaction level. It assumes that the innovations of the duration process follow a threshold distribution with a positive support. In addition, it also assumes that the latent...

This paper studies multiscale stochastic volatility models of financial asset returns. It specifies two components in the log-volatility process and allows for leverage/asymmetric effects from both components while return innovation terms follow a heavy/fat tailed Student t distribution. The two...