C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T09:00:24+00:00Estimating DSGE-Model-Consistent Trends for Use in Forecasting
https://www.bankofcanada.ca/2009/12/working-paper-2009-35/
The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format.2009-12-15T14:59:43+00:00enEstimating DSGE-Model-Consistent Trends for Use in Forecasting2009-12-15Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2009-35 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-35.pdfEstimating DSGE-Model-Consistent Trends for Use in ForecastingJean-Philippe CayenMarc-André GosselinSharon KozickiDecember 2009CC3C32EE3E5E52A Consistent Test for Multivariate Conditional Distributions
https://www.bankofcanada.ca/2009/12/working-paper-2009-34/
We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt.2009-12-15T14:54:46+00:00enA Consistent Test for Multivariate Conditional Distributions2009-12-15Econometric and statistical methodsWorking Paper 2009-34 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-34.pdfA Consistent Test for Multivariate Conditional DistributionsFuchun LiGreg TkaczDecember 2009CC1C12C2C22Real 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 2009CC1C11C15C2C22C5C53Structural Inflation Models with Real Wage Rigidities: The Case of Canada
https://www.bankofcanada.ca/2009/07/working-paper-2009-21/
Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness.2009-07-12T15:38:01+00:00enStructural Inflation Models with Real Wage Rigidities: The Case of Canada2009-07-12Econometric and statistical methodsInflation and pricesLabour marketsWorking Paper 2009-21 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-21.pdfStructural Inflation Models with Real Wage Rigidities: The Case of CanadaJean-Marie DufourLynda KhalafMaral KichianJuly 2009CC1C13C5C52EE3E31Structural 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 2009CC1C15C3C31DD1D14EE5E51Testing for Financial Contagion with Applications to the Canadian Banking System
https://www.bankofcanada.ca/2009/05/working-paper-2009-14/
The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data.2009-05-03T11:26:49+00:00enTesting for Financial Contagion with Applications to the Canadian Banking System2009-05-03Central bank researchEconometric and statistical methodsFinancial stabilityWorking Paper 2009-14 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-14.pdfTesting for Financial Contagion with Applications to the Canadian Banking SystemFuchun LiMay 2009CC1C12GG0G01G1G15Computing the Accuracy of Complex Non-Random Sampling Methods: The Case of the Bank of Canada's Business Outlook Survey
https://www.bankofcanada.ca/2009/03/working-paper-2009-10/
A number of central banks publish their own business conditions survey based on non-random sampling methods. The results of these surveys influence monetary policy decisions and thus affect expectations in financial markets. To date, however, no one has computed the statistical accuracy of these surveys because their respective non-random sampling method renders this assessment non-trivial.2009-03-02T14:58:26+00:00enComputing the Accuracy of Complex Non-Random Sampling Methods: The Case of the Bank of Canada's Business Outlook Survey2009-03-02Central bank researchEconometric and statistical methodsRegional economic developmentsWorking Paper 2009-10 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-10.pdfComputing the Accuracy of Complex Non-Random Sampling Methods: The Case of the Bank of Canada's Business Outlook SurveyDaniel de MunnikDavid DupuisMark IllingMarch 2009CC4C8C81C9C90Assessing Indexation-Based Calvo Inflation Models
https://www.bankofcanada.ca/2009/02/working-paper-2009-7/
Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms.2009-02-02T14:11:09+00:00enAssessing Indexation-Based Calvo Inflation Models2009-02-02Econometric and statistical methodsInflation and pricesWorking Paper 2009-7 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp09-7.pdfAssessing Indexation-Based Calvo Inflation ModelsJean-Marie DufourLynda KhalafMaral KichianFebruary 2009CC1C13C5C52EE3E31Relative Prices, Trading Gains, and Real GDI: The Case of Canada
https://www.bankofcanada.ca/2009/01/discussion-paper-2009-4/
Treating imports as intermediate inputs to domestic production, the author adopts the translog function approach to model real gross domestic income (GDI) in Canada over the 1961–2006 period. She explores the role of price ratios, such as terms of trade and the real effective exchange rate, in explaining changes in real GDI, trade openness, trade […]2009-01-29T11:35:15+00:00enRelative Prices, Trading Gains, and Real GDI: The Case of Canada2009-01-29Econometric and statistical methodsProductivityDiscussion Paper 2009-4https://www.bankofcanada.ca/wp-content/uploads/2010/01/dp09-4.pdfRelative Prices, Trading Gains, and Real GDI: The Case of CanadaYi ZhengJanuary 2009CC4C43DD3D33FF1F10OO4O47