C3 - Multiple or Simultaneous Equation Models; Multiple Variables - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T06:46:06+00:00Common Trends and Common Cycles in Canadian Sectoral Output
https://www.bankofcanada.ca/2003/12/working-paper-2003-44/
The authors examine evidence of long- and short-run co-movement in Canadian sectoral output data. Their framework builds on a vector-error-correction representation that allows them to test for and compute full-information maximum-likelihood estimates of models with codependent cycle restrictions.2003-12-08T16:38:29+00:00enCommon Trends and Common Cycles in Canadian Sectoral Output2003-12-08Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2003-44 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-44.pdfCommon Trends and Common Cycles in Canadian Sectoral OutputFrancisco BarillasChristoph SchleicherDecember 2003CC1C15C2C22C3C32EE3E32Are Wealth Effects Important for Canada?
https://www.bankofcanada.ca/2003/10/working-paper-2003-30/
The authors examine the link between consumption and disaggregate wealth in Canada. They use a vector-error-correction model in which permanent and transitory shocks are identified using the restrictions implied by cointegration proposed by King, Plosser, Stock, and Watson (1991) and Gonzalo and Granger (1995).2003-10-01T12:05:12+00:00enAre Wealth Effects Important for Canada?2003-10-01Domestic demand and componentsWorking Paper 2003-30 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-30.pdfAre Wealth Effects Important for Canada?Lise PichetteDominique TremblayOctober 2003CC3C32EE2E21Un modèle « PAC » d'analyse et de prévision des dépenses des ménages américains
https://www.bankofcanada.ca/2003/05/working-paper-2003-13/
Traditional structural models cannot distinguish whether changes in activity are a function of altered expectations today or lagged responses to past plans. Polynomial-adjustment-cost (PAC) models remove this ambiguity by explicitly separating observed dynamic behaviour into movements that have been induced by changes in expectations, and responses to expectations, that have been delayed because of adjustment costs.2003-05-01T09:47:18+00:00frUn modèle « PAC » d'analyse et de prévision des dépenses des ménages américains2003-05-01Business fluctuations and cyclesEconometric and statistical methodsEconomic modelsWorking Paper 2003-13 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp03-13.pdfUn modèle « PAC » d’analyse et de prévision des dépenses des ménages américainsMarc-André GosselinRené LalondeMay 2003CC3C32EE2E21E3E32Shift 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 2003CC3C32FF4F42GG1G15