Econometric and statistical methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:51:42+00:00Government of Canada Yield-Curve Dynamics, 1986-2003
https://www.bankofcanada.ca/wp-content/uploads/2010/06/johnson.pdf
A database of historical Government of Canada zero-coupon yield curves developed at the Bank of Canada is introduced in this article, which also includes an initial statistical analysis of the behaviour and evolution of the zero-coupon interest (spot) rates over the full period and two distinct subperiods. Specific areas of interest include the evolution of the levels of key interest rates and yield-curve measures over the sample as well as daily changes in the key interest rates and the yield-curve measures; the identification of a relatively small number of factors that drove the evolution of the yield curve; and the total returns that would have been realized by holding bonds of different maturities for a given holding period.2004-12-24T07:11:02+00:00enGovernment of Canada Yield-Curve Dynamics, 1986-20032004-12-24An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
https://www.bankofcanada.ca/2004/12/working-paper-2004-48/
Zero-coupon interest rates are the fundamental building block of fixed-income mathematics, and as such have an extensive number of applications in both finance and economics.2004-12-01T10:21:37+00:00enAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates2004-12-01Econometric and statistical methodsFinancial marketsInterest ratesWorking Paper 2004-48 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-48.pdfAn Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest RatesDavid BolderAdam MetzlerGrahame JohnsonDecember 2004CC0C6EE4GG1Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni
https://www.bankofcanada.ca/2004/12/working-paper-2004-46/
The author describes results obtained by using a new methodology to estimate potential output for the United Kingdom.2004-12-01T09:00:36+00:00frUne approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni2004-12-01Business fluctuations and cyclesEconometric and statistical methodsPotential outputWorking Paper 2004-46https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-46.pdfUne approche éclectique d’estimation du PIB potentiel pour le Royaume-UniCharles St-ArnaudDecember 2004CC3C32EE2E23E3E32Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires
https://www.bankofcanada.ca/2004/10/working-paper-2004-40/
In this paper, the author describes reduced-form linear and non-linear econometric models developed to forecast and analyze quarterly data on output growth in the Canadian manufacturing sector from 1981 to 2003.2004-10-01T16:27:30+00:00frPrévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires2004-10-01Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2004-40https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-40.pdfPrévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéairesFrédérick DemersOctober 2004CC2C22C5C53A Forecasting Model for Inventory Investments in Canada
https://www.bankofcanada.ca/2004/10/working-paper-2004-39/
The authors present an empirical model to forecast short-run inventory investment behaviour for Canada.2004-10-01T16:23:18+00:00enA Forecasting Model for Inventory Investments in Canada2004-10-01Domestic demand and componentsEconometric and statistical methodsWorking Paper 2004-39 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-39.pdfA Forecasting Model for Inventory Investments in CanadaMarwan ChacraMaral KichianOctober 2004CC5C53EE2E22E6E62The U.S. New Keynesian Phillips Curve: An Empirical Assessment
https://www.bankofcanada.ca/2004/09/working-paper-2004-35/
The authors examine the evidence presented by Galí and Gertler (1999) and Galí, Gertler, and Lopez-Salido (2001, 2003) that the inflation dynamics in the United States can be well-described by the New Keynesian Phillips curve (NKPC).2004-09-01T15:13:48+00:00enThe U.S. New Keynesian Phillips Curve: An Empirical Assessment2004-09-01Econometric and statistical methodsInflation and pricesWorking Paper 2004-35 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-35.pdfThe U.S. New Keynesian Phillips Curve: An Empirical AssessmentAlain GuayFlorian PelgrinSeptember 2004CC1C13C5C52EE3E31Estimating New Keynesian Phillips Curves Using Exact Methods
https://www.bankofcanada.ca/2004/04/working-paper-2004-11/
The authors use simple new finite-sample methods to test the empirical relevance of the New Keynesian Phillips curve (NKPC) equation.2004-04-01T11:59:06+00:00enEstimating New Keynesian Phillips Curves Using Exact Methods2004-04-01Econometric and statistical methodsInflation and pricesWorking Paper 2004-11 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-11.pdfEstimating New Keynesian Phillips Curves Using Exact MethodsLynda KhalafMaral KichianApril 2004CC1C13C5C52EE3E31Structural Change and Forecasting Long-Run Energy Prices
https://www.bankofcanada.ca/2004/02/working-paper-2004-5/
The authors test the statistical significance of Pindyck's (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices.2004-02-01T11:18:47+00:00enStructural Change and Forecasting Long-Run Energy Prices2004-02-01Econometric and statistical methodsWorking Paper 2004-5 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-5.pdfStructural Change and Forecasting Long-Run Energy PricesJean-Thomas BernardLynda KhalafMaral KichianFebruary 2004CC2C22C5C52C53QQ4Q40Modélisation « PAC » du secteur extérieur de l'économie américaine
https://www.bankofcanada.ca/2004/02/working-paper-2004-3/
In this paper, the authors use polynomial adjustment cost (PAC) models to analyze and forecast the main components of the U.S. trade sector.2004-02-01T10:49:07+00:00frModélisation « PAC » du secteur extérieur de l'économie américaine2004-02-01Domestic demand and componentsEconometric and statistical methodsInternational topicsWorking Paper 2004-3https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-3.pdfModélisation « PAC » du secteur extérieur de l’économie américaineMarc-André GosselinRené LalondeFebruary 2004CC3C32EE3E37FF4F47Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
https://www.bankofcanada.ca/2004/01/working-paper-2004-2/
The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts.2004-01-01T10:43:23+00:00enExact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates2004-01-01Econometric and statistical methodsWorking Paper 2004-2 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp04-2.pdfExact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest RatesRichard LugerJanuary 2004CC1C12C2C22C5C52C53