This paper analyzes the effects of perfectly foreseen monetary policy within the framework of a standard cash-in-advance economy. Anticipated monetary policy is shown to have real effects by influencing inflationary expectations. In a cash-in-advance economy, an increase in the anticipated rate...

In this paper, the authors consider the restrictions imposed on excess returns denominated in different currencies by a dynamic optimization model. The restrictions are tested on stock market data from the New York Stock Exchange and the Toronto Stock Exchange. In the first part of the paper,...

We develop an equilibrium model of the monetary policy transmission mechanism that highlights information frictions in the market for money and search frictions in the labour market. The information friction increases the persistence in the response of interest rates following monetary policy...

This paper assesses the out-of-sample forecasting accuracy of the New Keynesian Model for Canada. We estimate a variant of the model on a series of rolling subsamples, computing out-of-sample forecasts one to eight quarters ahead at each step. We compare these forecasts with those arising from...