Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T08:42:12+00:00Shift Contagion in Asset Markets
https://www.bankofcanada.ca/2003/02/working-paper-2003-5/
The authors develop a new methodology to investigate how crises cause the relationship between financial variables to change. Two possible sources of increased co-movement between markets during high-variance episodes are considered: larger common shocks operating through standard market linkages, and a structural change in the propagation of shocks between markets, called "shift contagion."2003-02-01T17:07:27+00:00enShift Contagion in Asset Markets2003-02-01Econometric and statistical methodsFinancial marketsWorking Paper 2003-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-5.pdfShift Contagion in Asset MarketsToni GravelleMaral KichianJames MorleyFebruary 2003CC3C32FF4F42GG1G15Are Distorted Beliefs Too Good to be True?
https://www.bankofcanada.ca/2003/02/working-paper-2003-4/
In a recent attempt to account for the equity-premium puzzle within a representative-agent model, Cecchetti, Lam, and Mark (2000) relax the assumption of rational expectations and in its place use the assumption of distorted beliefs. The author shows that the explanatory power of the distorted beliefs model is due to an inconsistency in the model and that an attempt to remove this inconsistency removes the model's explanatory power.2003-02-01T16:49:06+00:00enAre Distorted Beliefs Too Good to be True?2003-02-01Economic modelsFinancial marketsWorking Paper 2003-4 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-4.pdfAre Distorted Beliefs Too Good to be True?Miroslav MisinaFebruary 2003DD8D84GG1G12Modélisation et prévision du taux de change réel effectif américain
https://www.bankofcanada.ca/2003/02/working-paper-2003-3/
This study describes a simple model for predicting the real U.S. exchange rate. Starting with a large number of error-correction models, the authors choose the one giving the best out-of-sample forecasts over the period 1992Q3–2002Q1.2003-02-01T16:15:49+00:00frModélisation et prévision du taux de change réel effectif américain2003-02-01Econometric and statistical methodsEconomic modelsExchange ratesInternational topicsWorking Paper 2003-3 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-3.pdfModélisation et prévision du taux de change réel effectif américainRené LalondePatrick SabourinFebruary 2003EE1E17FF3F31F4F47Managing Operational Risk in Payment, Clearing, and Settlement Systems
https://www.bankofcanada.ca/2003/02/working-paper-2003-2/
Awareness of operational risk has increased greatly in recent years, both at individual financial institutions and for payment, clearing, and settlement systems (PCSS). PCSS consist of networks of interconnected elements (i.e., central operators, participants, and settlement agents); operational problems at any one of the key elements have the potential to disrupt the system as a whole and negatively affect financial stability.2003-02-01T15:49:31+00:00enManaging Operational Risk in Payment, Clearing, and Settlement Systems2003-02-01Financial institutionsPayment clearing and settlement systemsWorking Paper 2003-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-2.pdfManaging Operational Risk in Payment, Clearing, and Settlement SystemsKim McPhailFebruary 2003EE4E44GG2G21Banking Crises and Contagion: Empirical Evidence
https://www.bankofcanada.ca/2003/02/working-paper-2003-1/
Recent events, such as the East Asian, Mexican, Scandinavian, and Argentinian crises, have sparked considerable interest in exploring how shocks experienced by one country can spread vis-à-vis real and nominal links to other countries' banking systems. Given the large costs associated with banking-system failures, both economists and policy-makers are interested in predicting the onset of banking crises and assessing the likelihood of contagion during crisis events.2003-02-01T15:36:05+00:00enBanking Crises and Contagion: Empirical Evidence2003-02-01International topicsWorking Paper 2003-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-1.pdfBanking Crises and Contagion: Empirical EvidenceEric SantorFebruary 2003FF3F30GG2G20Money in the Bank (of Canada)
https://www.bankofcanada.ca/2003/02/technical-report-no93/
With the demise of monetary targeting over the past 20 years in many major countries, the question has arisen as to whether central banks should look at money at all when formulating and conducting monetary policy.2003-02-01T09:41:46+00:00enMoney in the Bank (of Canada)2003-02-01Monetary aggregatesMonetary policy transmissionTechnical Report 93 https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr93.pdfMoney in the Bank (of Canada)David LongworthFebruary 2003EE5E50E51E52