C1 - Econometric and Statistical Methods and Methodology: General

• Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach

  Staff Working Paper 2010-36 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C3, C33, G, G1, G11, G12

• Semi-Structural Models for Inflation Forecasting

  Staff Working Paper 2010-34 Maral Kichian, Rumler Fabio, Paul Corrigan

  We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C53, E, E3, E31

• On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model

  Staff Working Paper 2010-30 Sarah Zubairy

  This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Economic models, Fiscal policy JEL Code(s): C, C1, C11, E, E3, E32, E6, E62, H, H3, H30

• Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

  Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi

  We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

• Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data

  Staff Working Paper 2010-13 James Chapman, Nellie Zhang

  In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20

• The Fisher BCPI: The Bank of Canada’s New Commodity Price Index

  Staff Discussion Paper 2010-6 Ilan Kolet, Ryan Macdonald

  The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI).

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, E, E3

• Macroprudential Regulation and Systemic Capital Requirements

  Staff Working Paper 2010-4 Céline Gauthier, Alfred Lehar, Moez Souissi

  In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21