Financial markets - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T13:28:12+00:00Real 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 2009CC1C11C15C2C22C5C53The Evolution of Capital Flows to Emerging-Market Economies
https://www.bankofcanada.ca/wp-content/uploads/2010/06/suchanek_vasishtha.pdf
Many emerging-market economies (EMEs) have significantly improved their macroeconomic fundamentals and undergone structural reforms since the Asian crisis. These developments have enhanced the composition of capital flows to EMEs through an improved debt structure, a larger share of capital flows as foreign direct investment, and greater access to international debt markets for corporations in EMEs. Structural changes in the global financial landscape have also increased capital flows, bringing economic and financial benefits to EMEs. During the recent financial crisis, however, the opening up of capital accounts and increased financial and trade linkages left many countries vulnerable to external disruptions. Countries with sound fundamentals have weathered the crisis relatively well. Policy-makers in EMEs need to implement policies that support capital flows and ensure that controls imposed to deal with detrimental outflows during periods of stress or rapid inflows are only temporary.2009-11-11T09:10:50+00:00enThe Evolution of Capital Flows to Emerging-Market Economies2009-11-11Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
https://www.bankofcanada.ca/2009/11/discussion-paper-2009-12/
Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks.2009-11-01T11:32:22+00:00enMeasures of Aggregate Credit Conditions and Their Potential Use by Central Banks2009-11-01Credit and credit aggregatesFinancial marketsFinancial stabilityDiscussion Paper 2009-12https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp09-12.pdfMeasures of Aggregate Credit Conditions and Their Potential Use by Central BanksAlejandro GarcíaAndrei ProkopiwNovember 2009GG1G10G12G13