C5 - Econometric Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:15:59+00:00Inflation 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 2002CC2C22C5C51C53QQ4Q40Evaluating 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 2002CC0C5GG0Asset Allocation Using Extreme Value Theory
https://www.bankofcanada.ca/2002/01/working-paper-2002-2/
This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank.2002-01-01T13:05:48+00:00enAsset Allocation Using Extreme Value Theory2002-01-01Financial marketsWorking Paper 2002-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-2.pdfAsset Allocation Using Extreme Value TheoryYounes BensalahJanuary 2002CC0C4C5GG1