Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T19:22:14+00:00The Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness
https://www.bankofcanada.ca/2009/06/working-paper-2009-20/
We introduce the Homoscedastic Gamma [HG] model where the distribution of returns is characterized by its mean, variance and an independent skewness parameter under both measures. The model predicts that the spread between historical and risk-neutral volatilities is a function of the risk premium and of skewness.2009-06-12T15:23:44+00:00enThe Equity Premium and the Volatility Spread: The Role of Risk-Neutral Skewness2009-06-12Financial marketsWorking Paper 2009-20 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-20.pdfThe Equity Premium and the Volatility Spread: The Role of Risk-Neutral SkewnessBruno FeunouJean-Sébastien FontaineRoméo TedongapJune 2009GG1G12G13Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit
https://www.bankofcanada.ca/2009/06/working-paper-2009-19/
Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable.2009-06-03T15:56:27+00:00enStructural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit2009-06-03Econometric and statistical methodsInflation and pricesWorking Paper 2009-19 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-19.pdfStructural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and FitJean-Marie DufourLynda KhalafMaral KichianJune 2009CC5C52C53EE3E37Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
https://www.bankofcanada.ca/2009/06/working-paper-2009-18/
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey.2009-06-03T15:36:11+00:00frSimulations du ratio du service de la dette des consommateurs en utilisant des données micro2009-06-03Econometric and statistical methodsFinancial stabilityWorking paper 2009-18https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-18.pdfSimulations du ratio du service de la dette des consommateurs en utilisant des données microRamdane DjoudadJune 2009CC1C15C3C31DD1D14EE5E51