Econometric and statistical methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:34:17+00:00Combining Canadian Interest-Rate Forecasts
https://www.bankofcanada.ca/2008/09/working-paper-2008-34/
Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"2008-09-28T13:07:30+00:00enCombining Canadian Interest-Rate Forecasts2008-09-28Econometric and statistical methodsInterest ratesWorking Paper 2008-34 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-34.pdfCombining Canadian Interest-Rate ForecastsDavid BolderYuliya RomanyukSeptember 2008CC1C11EE4E43E47A Tool for Assessing Financial Vulnerabilities in the Household Sector
https://www.bankofcanada.ca/wp-content/uploads/2010/06/djoudad.pdf
In this article, the authors build on the framework used in the Bank of Canada's Financial System Review to assess the evolution of household indebtedness and financial vulnerabilities in response to changing economic conditions. To achieve this, they first compare two microdata sets generated by Ipsos Reid's Canadian Financial Monitor and Statistics Canada's Survey of Financial Security. They find that the surveys are broadly comparable, despite methodological differences. This enables them to use the combined information content for the identification of the threshold value of the debt-service ratio (DSR). The article then presents an innovative framework that uses household-level microdata to simulate changes in the distribution of the DSR under various stress scenarios. The authors show how this framework can be used by analyzing the effects of two different scenarios on the distribution of the debt-service ratio and the impact on vulnerable households. This tool will enable researchers to refine their analyses of current risks to the financial health of Canadian households. The article concludes with comments on future directions for refining the Bank's analyses of household sector risk.2008-06-17T13:00:29+00:00enA Tool for Assessing Financial Vulnerabilities in the Household Sector2008-06-17Empirical Likelihood Block Bootstrapping
https://www.bankofcanada.ca/2008/06/working-paper-2008-18/
Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated.2008-06-06T09:24:26+00:00enEmpirical Likelihood Block Bootstrapping2008-06-06Econometric and statistical methodsWorking Paper 2008-18 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-18.pdfEmpirical Likelihood Block BootstrappingJason AllenAllan GregoryKatsumi ShimotsuJune 2008CC1C14C2C22Markups in Canada: Have They Changed and Why?
https://www.bankofcanada.ca/2008/03/working-paper-2008-7/
Many empirical studies have examined the cyclical nature of the markup ratio. Until recently, few have attempted to ascertain the changes in the markup over a longer time horizon.2008-03-08T11:44:55+00:00enMarkups in Canada: Have They Changed and Why?2008-03-08Econometric and statistical methodsWorking Paper 2008-7 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-7.pdfMarkups in Canada: Have They Changed and Why?Danny LeungMarch 2008EE3E31FF4F41LL1L11Default Dependence: The Equity Default Relationship
https://www.bankofcanada.ca/2008/01/working-paper-2008-1/
The paper examines three equity-based structural models to study the nonlinear relationship between equity and credit default swap (CDS) prices. These models differ in the specification of the default barrier.2008-01-10T15:04:07+00:00enDefault Dependence: The Equity Default Relationship2008-01-10Econometric and statistical methodsFinancial marketsWorking Paper 2008-1 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp08-1.pdfDefault Dependence: The Equity Default RelationshipStuart TurnbullJun YangJanuary 2008GG1G12G13