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Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices

Dufour, Jean-Marie; Tessier, David - Bank of Canada - 2006

The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights--in terms of information--for the conduct of monetary policy, since asset prices...

Persistent link: https://www.econbiz.de/10005162529

Targeting Inflation from Below - How Do Inflation Expectations Behave?

Ehrmann, Michael - Bank of Canada - 2014

Inflation targeting (IT) had originally been introduced as a device to bring inflation down and stabilize it at low levels. Given the current environment of persistently weak inflation in many advanced economies, IT central banks must now bring inflation up to target. In this paper, the author...

Persistent link: https://www.econbiz.de/10011094224

Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

Baumeister, Christiane; Benati, Luca - Bank of Canada - 2012

We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model. We identify a ‘pure’ spread shock defined as a shock that leaves the policy rate unchanged, which...

Persistent link: https://www.econbiz.de/10010559417

International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

Dahlhaus, Tatjana; Hess, Kristina; Reza, Abeer - Bank of Canada - 2014

The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process. We assess the international...

Persistent link: https://www.econbiz.de/10010960398

Resurrecting the role of real money balance effects

Dorich, José - 2009

I present a structural econometric analysis supporting the hypothesis that money is still relevant for shaping inflation and output dynamics in the United States. In particular, I find that real money balance effects are quantitatively important, although smaller than they used to be in the...

Persistent link: https://www.econbiz.de/10003933293

Risk premium shocks and the zero bound on nominal interest rates

Amano, Robert A.; Shukayev, Malik - 2009

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...

Persistent link: https://www.econbiz.de/10003933335

GAUSS™ Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide

Kichian, Maral - Bank of Canada - 2000

State-space models have long been popular in explaining the evolution of various economic variables. This is mainly because they generally have more economic content than do others in their class of parsimonious models (for example, VARs). Yet, in spite of their advantages, use of these models...

Persistent link: https://www.econbiz.de/10005162489

Forecasting Canadian GDP: Region-Specific versus Countrywide Information

Demers, Frédérick; Dupuis, David - Bank of Canada - 2005

The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of … growth. An array of multivariate forecasting models are considered for five Canadian regions, and single-equation models are … considered for direct forecasting of Canadian GDP. The authors focus on forecasts at 1-, 2-, 4-, and 8-quarter horizons, which …

Persistent link: https://www.econbiz.de/10005162434

Estimation and Inference by the Method of Projection Minimum Distance

Jordà, Òscar; Kozicki, Sharon - Bank of Canada - 2007

A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of...

Persistent link: https://www.econbiz.de/10005162517

Multivariate Realized Stock Market Volatility<br>

Bauer, Gregory H.; Vorkink, Keith - Bank of Canada - 2007

We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. The model has several advantages: it is parsimonious; it does not require imposing parameter restrictions; and, it...

Persistent link: https://www.econbiz.de/10005536896

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