C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:48:51+00:00Salaire réel, chocs technologiques et fluctuations économiques
https://www.bankofcanada.ca/2002/12/working-paper-2002-42/
The author presents empirical evidence that he has obtained from an analysis of the response of different economic variables, including the real wage rate, to a technology shock.2002-12-01T17:16:26+00:00frSalaire réel, chocs technologiques et fluctuations économiques2002-12-01Business fluctuations and cyclesEconomic modelsWorking Paper 2002-42https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-42.pdfSalaire réel, chocs technologiques et fluctuations économiquesDominique TremblayDecember 2002CC3C32EE2E24E3E32Inflation Changes, Yield Spreads, and Threshold Effects
https://www.bankofcanada.ca/2002/12/working-paper-2002-40/
Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models.2002-12-01T16:31:34+00:00enInflation Changes, Yield Spreads, and Threshold Effects2002-12-01Inflation and pricesInterest ratesWorking Paper 2002-40 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-40.pdfInflation Changes, Yield Spreads, and Threshold EffectsGreg TkaczDecember 2002CC5C51EE3E31Oil-Price Shocks and Retail Energy Prices in Canada
https://www.bankofcanada.ca/2002/12/working-paper-2002-38/
The effects of global energy-price shocks on retail energy prices in Canada are examined. More specifically, the author looks at the response of the consumer price indexes for gasoline, heating oil, natural gas, and electricity in Canada to movements in world crude oil prices.2002-12-01T16:12:27+00:00enOil-Price Shocks and Retail Energy Prices in Canada2002-12-01Econometric and statistical methodsInflation and pricesMarket structure and pricingWorking Paper 2002-38 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-38.pdfOil-Price Shocks and Retail Energy Prices in CanadaMarwan ChacraDecember 2002CC2C22C5C51C53QQ4Q40An Eclectic Approach to Estimating U.S. Potential GDP
https://www.bankofcanada.ca/2002/11/working-paper-2002-36/
The authors describe the principal results obtained from a new method applied to the estimation of potential U.S. GDP.2002-11-01T14:57:12+00:00enAn Eclectic Approach to Estimating U.S. Potential GDP2002-11-01Business fluctuations and cyclesEconometric and statistical methodsPotential outputWorking Paper 2002-36 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-36-e.pdfAn Eclectic Approach to Estimating U.S. Potential GDPMarc-André GosselinRené LalondeNovember 2002CC3C32EE2E23E3E32Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence
https://www.bankofcanada.ca/2002/11/working-paper-2002-31/
In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals.2002-11-01T12:45:07+00:00enSupply Shocks and Real Exchange Rate Dynamics: Canadian Evidence2002-11-01Exchange ratesWorking Paper 2002-31 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-31.pdfSupply Shocks and Real Exchange Rate Dynamics: Canadian EvidenceCéline GauthierDavid TessierNovember 2002CC3C32FF3F31Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
https://www.bankofcanada.ca/2002/10/working-paper-2002-29/
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices.2002-10-01T12:03:37+00:00enExponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada2002-10-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2002-29 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-29.pdfExponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of CanadaDavid BolderScott GusbaOctober 2002CC0C6EE4GG1Filtering for Current Analysis
https://www.bankofcanada.ca/2002/10/working-paper-2002-28/
This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles.2002-10-01T11:53:09+00:00enFiltering for Current Analysis2002-10-01Econometric and statistical methodsPotential outputWorking Paper 2002-28 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-28.pdfFiltering for Current AnalysisSimon van NordenOctober 2002CC1Evaluating the Quarterly Projection Model: A Preliminary Investigation
https://www.bankofcanada.ca/2002/08/working-paper-2002-20/
This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM).2002-08-01T14:32:54+00:00enEvaluating the Quarterly Projection Model: A Preliminary Investigation2002-08-01Economic modelsWorking Paper 2002-20 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-20.pdfEvaluating the Quarterly Projection Model: A Preliminary InvestigationRobert AmanoKim McPhailHope PioroAndrew RennisonAugust 2002CC5C52EE1E17E3E30E37Towards a More Complete Debt Strategy Simulation Framework
https://www.bankofcanada.ca/2002/05/working-paper-2002-13/
An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy.2002-05-01T12:23:55+00:00enTowards a More Complete Debt Strategy Simulation Framework2002-05-01Debt managementEconometric and statistical methodsInterest ratesWorking Paper 2002-13 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-13.pdfTowards a More Complete Debt Strategy Simulation FrameworkDavid BolderMay 2002CC0C5GG0Risk, Entropy, and the Transformation of Distributions
https://www.bankofcanada.ca/2002/04/working-paper-2002-11/
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion.2002-04-01T11:54:42+00:00enRisk, Entropy, and the Transformation of Distributions2002-04-01Econometric and statistical methodsFinancial marketsMarket structure and pricingWorking Paper 2002-11 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-11.pdfRisk, Entropy, and the Transformation of DistributionsMark ReesorDon McLeishApril 2002CC0C1DD8GG0