Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T02:09:09+00:00Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles
https://www.bankofcanada.ca/2009/11/working-paper-2009-32/
This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur.2009-11-15T14:42:23+00:00enOptimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles2009-11-15Credit and credit aggregatesFinancial stabilityInflation targetsWorking Paper 2009-32 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-32.pdfOptimal Monetary Policy during Endogenous Housing-Market Boom-Bust CyclesHajime TomuraNovember 2009EE4E44E5E52Real Time Detection of Structural Breaks in GARCH Models
https://www.bankofcanada.ca/2009/11/working-paper-2009-31/
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time.2009-11-15T14:35:36+00:00enReal Time Detection of Structural Breaks in GARCH Models2009-11-15Econometric and statistical methodsFinancial marketsWorking Paper 2009-31 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-31.pdfReal Time Detection of Structural Breaks in GARCH ModelsZhongfang HeJohn M. MaheuNovember 2009CC1C11C15C2C22C5C53