Topic: Econometric and statistical methods

1. A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata

   Discussion Paper 2012-3 - Ramdane Djoudad

   Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector.

   Topics: Econometric and statistical methods; Financial stability

2. Growth in Emerging Market Economies and the Commodity Boom of 2003–2008: Evidence from Growth Forecast Revisions

   Working Paper 2012-8 - Elif Arbatli, Garima Vasishtha

   Demand for industrial raw materials from emerging economies, particularly emerging Asia, is widely believed to have fueled the surge in oil and industrial commodity prices during 2002-2008. The paper first presents a simple storage model in which commodity prices respond to market participant’s changing expectations of the future macroeconomic environment.

   Topics: Econometric and statistical methods; International topics

3. Short-Term Forecasting of the Japanese Economy Using Factor Models

   Working Paper 2012-7 - Claudia Godbout, Marco J. Lombardi

   While the usefulness of factor models has been acknowledged over recent years, little attention has been devoted to the forecasting power of these models for the Japanese economy. In this paper, we aim at assessing the relative performance of factor models over different samples, including the recent financial crisis.

   Topics: Econometric and statistical methods; International topics

4. Medium-Term Fluctuations in Canadian House Prices

   Bank of Canada Review Article: Bank of Canada Review - Winter 2011-2012 - Brian Peterson, Yi Zheng

   This article draws on theory and empirical evidence to examine a number of factors behind movements in Canadian house prices. It begins with an overview of the movements in house prices in Canada, using regional data to highlight factors that influence prices over the long run. It then turns to the central theme, that there are medium-run movements in prices not accounted for by long-run factors. Drawing on recent Bank of Canada research, the article discusses several factors behind these medium-run movements, including interest rates, expected price appreciation and market liquidity. The article concludes by identifying areas for future research that would further our understanding of fluctuations in house prices.

   Topics: Asset Pricing; Econometric and statistical methods; Market structure and pricing