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This paper studies the asymptotic behaviour of least squares estimates in a stock adjustment model when the variables are nonstationary. The paper first considers the cas[...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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Based on historical accounts of "manias and panics," we explore a model of speculative behaviour in which apparent overvaluation increases the probability of a stock mark[...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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This paper presents empirical evidence linking the Canada-U.S. real exchange rate with terms-of-trade variables. Using recently developed econometric methods for nonstati[...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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This paper develops a new test for speculative bubbles which is applied to data for the exchange rate of the Japanese yen, the Deutsche mark and the Canadian dollar again[...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we report results of a Monte Carlo study designed to examine the power of direct tests for non-linearity. The example we use is the Phillips curve. We spec[...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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In this paper, we provide econometric evidence that suggests that the Canadian Phillips curve is non-linear. The non-linearity has two important characteristics. First, t[...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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This paper uses the Johansen methodology to test for the existence of a stable long-run demand function for certain broad measures of liquidity in Canada. We find strong [...]
1993 | Text | Staff Working Paper - Document de travail du personnel |
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