In an era where the primary policy instrument is the level of short-term interest rates, comparing the level of such a rate relative to some equilibrium value can be a useful guide for policy and a convenient method to measure the stance of monetary policy. The real interest rate gap, the...

This paper examines the ability of a number of financial variables to predict Canadian recessions. Regarding methodology, we follow closely the technique employed by Estrella and Mishkin (1998), who use a probit model to predict U.S. recessions up to eight quarters in advance. Our main finding...

The debate on the order of integration of interest rates has long focused on the I(1) versus I(0) distinction. In this paper, we use instead the wavelet OLS estimator of Jensen (1999) to estimate the fractional integration parameters of several interest rates for the United States and Canada...