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Resurrecting the role of real money balance effects
Dorich, José - 2009
inflation and output dynamics in the United States. In particular, I find that real money balance effects are quantitatively …
Persistent link: https://www.econbiz.de/10003933293
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Decomposing U.S. Nominal Interest Rates into Expected Inflation and Ex Ante Real Interest rates Using Structural VAR Methodology.
St-Amant, P. - Bank of Canada - 1996
into an expected inflation component and an ex ante real interest rate component. …
Persistent link: https://www.econbiz.de/10005673349
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Long Memory Dynamics for Multivariate Dependence under Heavy Tails
Janus, Pawel; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2011
We develop a new simultaneous time series model for volatility and dependence with long memory (fractionally integrated) dynamics and heavy-tailed densities. Our new multivariate model accounts for typical empirical features in financial time series while being robust to outliers or jumps in the...
Persistent link: https://www.econbiz.de/10009386532
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A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2010
We propose a new class of observation-driven time-varying parameter models for dynamic volatilities and correlations to handle time series from heavy-tailed distributions. The model adopts generalized autoregressive score dynamics to obtain a time-varying covariance matrix of the multivariate...
Persistent link: https://www.econbiz.de/10008838568
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A General Framework for Observation Driven Time-Varying Parameter Models
Creal, Drew; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2008
We propose a new class of observation driven time series models referred to as Generalized Autoregressive Score (GAS) models. The driving mechanism of the GAS model is the scaled score of the likelihood function. This approach provides a unified and consistent framework for introducing...
Persistent link: https://www.econbiz.de/10005209514
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Overnight Rate Innovations as a measure of monetary Policy Shocks in Vector Autoregressions.
Armour, J.; Engert, W.; Fung, B.S.C. - Bank of Canada - 1996
The authors examine the Bank of Canada's overnight rate as a measure of monetary policy in vector autoregression (VAR) models.
Persistent link: https://www.econbiz.de/10005673306
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Structural inflation models with real wage rigidities : the case of Canada
Dufour, Jean-Marie; Khalif, Lynda; Kichian, Maral - 2009
Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the … and inflation in the New Keynesian Phillips curve. From a methodological perspective, these results derive from our … Curves hold promise empirically and provide interesting research directions. -- Inflation and prices ; Labour markets …
Persistent link: https://www.econbiz.de/10003933276
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On Inflation and the Persistence of Shocks to Output
Luger, Richard; Kichian, Maral - Bank of Canada - 2001
inflation. The analysis extends Elwood’s (1998) framework by incorporating in the model an inflation-threshold process that can …, depending on the level of inflation: negative shocks are more detrimental when inflation is high, and positive shocks are more … persistent when inflation is low. …
Persistent link: https://www.econbiz.de/10005808321
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Measuring Potential Output at the Bank of Canada: The Extended Multivariate Filter and the Integrated Framework
Pichette, Lise; St-Amant, Pierre; Tomlin, Ben; Anoma, Karine - Bank of Canada - 2015
Estimating potential output and the output gap - the difference between actual output and its potential - is important for the proper conduct of monetary policy. However, the measurement and interpretation of potential output, and hence the output gap, is fraught with uncertainty, since it is...
Persistent link: https://www.econbiz.de/10011253083
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The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada
Khan, Mikael; Morel, Louis; Sabourin, Patrick - Bank of Canada - 2013
In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly … distort the signal in many other measures of underlying inflation, and appears to capture price movements that are indicative … measures of underlying inflation monitored by the Bank of Canada. …
Persistent link: https://www.econbiz.de/10010698836