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 minimum distance to estimate model parameters.
Topics: Econometric and statistical methodsNowadays researchers can choose the sampling frequency of exchange rates and interest rates.
Topics: Econometric and statistical methods; Exchange ratesThe primary objective of this paper is to compare a variety of joint models of the term structure of interest rates and the macroeconomy.
Topics: Econometric and statistical methods; Financial markets; Interest ratesIn this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars.
Topics: Econometric and statistical methods; Exchange ratesThis paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics.
Topics: Business fluctuations and cycles; Econometric and statistical methodsWe propose a framework that allows a portfolio manager to quantify the probability of simultaneous losses in multiple assets of a collateral portfolio. Using this framework, we propose a methodology to conduct stress tests on the market value of the portfolio of collateral when undesirable extreme dependence occurs.
Topics: Econometric and statistical methods; Financial markets; Financial stabilityWe study the joint dynamics of macroeconomic variables, bond yields, and the exchange rate in an empirical two-country New-Keynesian model complemented with a no-arbitrage term structure model. With Canadian and US data, we are able to study the impact of macroeconomic shocks from both countries on their yield curves and the exchange rate.
Topics: Debt Management; Econometric and statistical methods; Exchange rates; Financial markets; Interest ratesWe 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.
Topics: Econometric and statistical methods; Financial marketsWe assess the implications of price indexation for estimated frequency of price adjustment in sticky price models of business cycles. These models predominantly assume that non-reoptimized prices are indexed to lagged or average inflation.
Topics: Econometric and statistical methods; Economic models; Inflation and pricesThe stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form.
Topics: Debt Management; Econometric and statistical methods; Financial markets; Fiscal PolicyThis paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.
Topics: Econometric and statistical methodsHousing wealth is a large component of total wealth and plays an important role in aggregate business cycles. In this paper, we explore data on real house price cycles at the aggregate level and city level for the United States and Canada.
Topics: Business fluctuations and cycles; Econometric and statistical methodsFor stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables.
Topics: Business fluctuations and cycles; Econometric and statistical methods
