I welcome comments, questions and suggestions
on my research (particularly the unpublished work), as well as information
about related work you might have in progress. Drop me a line at Simon.van-Norden@hec.ca
(N’hesitez pas à communiquer avec moi en français pour toute information ou commentaire.)
Modeling
Data Revisions: Measurement Error and Dynamics of “True” Values
CCSO WP 2006-07 with Jan P.A.M. Jacobs
Are
We There Yet? Looking for Evidence of a New Economy
(October 2005 Draft)
The
Reliability of Canadian Output Gap Estimates (2005 North American Journal of Economics and Finance) with Jean-Philippe Cayen
Filtres pour l’analyse
courante (2004 L’actualité économique)
·
Optimal
Band-Pass Filtering and the Reliability of Current Analysis
(forthcoming Eurostat working paper)
· Previous version: Filtering for Current Analysis Bank of Canada working paper 2002-28.
The
Reliability of Inflation Forecasts Based on Output Gaps in Real Time
(Updated July 2004 draft) with Athanasios Orphanides
Code
and data for real-time estimates of US output gaps (updated 2003)
Testing Optimal Punishment Mechanisms Under Price Regulation:
the Case of the Retail Market for Gasoline
CIRANO working paper 2003s-57 (joint with Robert Gagné
and Bruno Versaevel.)
The
Reliability of Inflation Forecasts Based on Output Gaps in Real Time
(2005) Journal of Money, Credit and Banking (joint with Athanasios Orphanides)
The
Unreliability of Output Gap Estimates in Real Time (2002) Review of Economics and Statistics (joint
with Athanasios Orphanides).
Avoiding the
Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? (1998) Studies in Non-Linear Dynamics and Econometrics (joint
with Robert Vigfusson)
Oil Prices and
the Rise and Fall of the U.S. Real Exchange Rate (1998) Journal of International Money and Finance
(joint with Robert Amano)
Exchange Rates
and Oil Prices (1998) Review of
International Economics (joint with Robert Amano)
Analytical
Derivatives for Markov Switching Models (1997) Computational Economics (joint with Robert Vigfusson and Jeff Gable)
Regime Switching
in Stock Market Returns (1997) Applied
Financial Economics, 7, 177-191 (joint with Huntley Schaller)
Regime
Switching as a Test for Exchange Rate Bubbles (1996) Journal of Applied Econometrics, 11,
219-251.
Terms of Trade and Real Exchange Rates: The
Canadian Evidence. (1995) Journal
of International Money and Finance 14(1) 83-104 (joint with Robert Amano)
The Prediction of Stock Market Regime:
Evidence from the Toronto Stock Exchange.
(1993) The Review of Economics and
Statistics, 505-510. (joint with Huntley Schaller)
Measurement of
the Output Gap: A Discussion of Recent Research at the Bank of Canada (1997) Bank of Canada Technical Report No. 79
(joint with Pierre St-Amant)
The
Credibility of Monetary Policy: A Survey of the Literature With Some Simple
Applications to Canada (1997) in Exchange
Rates and Monetary Policy, Paul Fenton and John Murray eds., 1-64 (joint
with Robert Amano, Paul Fenton and David Tessier)
Unit Root
Tests and Excess Returns (1999) in
Nonlinear Time Series Analysis of Economic and Financial Data, Philip
Rothman ed. (joint with Marie-Josée Godbout)
Speculative Behaviour, Regime Switching and Stock Market
Fundamentals. (1999) in Nonlinear Time
Series Analysis of Economic and Financial Data, Philip Rothman ed. (joint
with Huntley Schaller)
Discussion of
``Testing the Link Between Inflation and Growth'' (1998) in Price Stability, Inflation Targets and
Monetary Policy, Tiff Macklem ed.
Measurement of
the Output Gap: A Discussion of Recent Research at the Bank of Canada (1997) Bank of Canada Technical Report No. 79
(joint with Pierre St-Amant). Also published in Monetary
Policy and the Inflation Process, BIS conference papers Vol. 4, pp.
1-38. (joint with Pierre St-Amant)
The
Credibility of Monetary Policy: A Survey of the Literature With Some Simple
Applications to Canada (1997) in Exchange
Rates and Monetary Policy, Paul Fenton and John Murray eds., 1-64 (joint
with Robert Amano, Paul Fenton and David Tessier)
Excess Volatility and Speculative Bubbles in the Canadian Dollar
(Real or Imagined?) (1996)
in Financial Market Volatility: Measurement, Causes and Consequences,
Bank of International Settlements, 309-333 (joint with John Murray and Robert Vigfusson)
To fix or to float? a review of issues related to Canada's
exchange rate (1995) Money
Affairs, 8(1), 51-68 (joint with Robert Lafrance)
Exchange Rate
Fundamentals and the Canadian dollar
(1995) Bank of Canada Review, Spring, 1-17
(joint with Robert Lafrance)
Discussion of ``What Makes
Aggregate Fluctuations in
A Forecasting Equation for the Canada-U.S.
Dollar Exchange Rate (1993) in The
Exchange Rate and the Economy, Bank of Canada, 207-265 (joint with Robert
Amano)
Regime Switching and Exchange Rate Bubbles (1993) in The Exchange
Rate and the Economy, Bank of
The
Unreliability of Output Gap Estimates in Real Time CIRANO working
paper 2001s-57 (joint with Athanasios Orphanides). Subsequently published in The Review of
Economics and Statistics 84(4) 569-83.
Measuring
Trends in Productivity:
The
Reliability of Output Gap Estimates in Real Time FEDS working paper
1999-38 (joint with Athanasios Orphanides)
Reconsidering Cointegration in International Finance presented to the Econometric Society Winter Meetings in
San Fransisco and European Summer Meetings in
Santiago de Compostel (joint with Marie-Josée Godbout)
Why is it
So Hard to Measure the Current Output Gap? presented to the Canadian
Economics Association, the Bank of England, the Federal Reserve Bank of
A Guide to
the Bank of Canada Regime Switching Procedures (joint with Robert Vigfusson)
The Exchange Rate, the Terms of Trade, and
the Trade Balance: A Comparison of Canada and Mexico presented to the 1996 meetings of Central Bank Technicians
of the Americas (CEMLA) (joint with Mark Kruger)
Fads or Bubbles? presented to
meetings of the Society for Economic Dynamics and Control and the Canadian
Econometric Study Group (joint with Huntley Schaller.)
Unit Roots and
the Burden of Proof (joint with
Robert Amano)