Research - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T12:48:31+00:00Volatility and Liquidity Costs
https://www.bankofcanada.ca/2013/08/working-paper-2013-29/
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.2013-08-20T10:09:42+00:00enVolatility and Liquidity Costs2013-08-20Econometric and statistical methodsFinancial marketsMarket structure and pricingWorking Paper 2013-29https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-29.pdfVolatility and Liquidity CostsSelma ChakerAugust 2013CC1C14C5C51C58GG2G20Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
https://www.bankofcanada.ca/2013/08/working-paper-2013-28/
The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil.2013-08-20T09:22:18+00:00enForecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach2013-08-20Econometric and statistical methodsInternational topicsWorking Paper 2013-28https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-28.pdfForecasting the Real Price of Oil in a Changing World: A Forecast Combination ApproachChristiane BaumeisterLutz KilianAugust 2013CC5C53EE3E32QQ4Q43Analyzing Fiscal Sustainability
https://www.bankofcanada.ca/2013/08/working-paper-2013-27/
The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt.2013-08-20T09:05:35+00:00enAnalyzing Fiscal Sustainability2013-08-20Economic modelsFiscal policyWorking Paper 2013-27https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-27.pdfAnalyzing Fiscal SustainabilityHuixin BiEric M. LeeperAugust 2013EE6E62E65HH6H63Uncertain Fiscal Consolidations
https://www.bankofcanada.ca/2013/08/working-paper-2013-26/
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain.2013-08-15T12:18:55+00:00enUncertain Fiscal Consolidations2013-08-15Economic modelsFiscal policyMonetary policy and uncertaintyWorking Paper 2013-26https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-26.pdfUncertain Fiscal ConsolidationsHuixin BiEric M. LeeperCampbell LeithAugust 2013EE6E62E63HH3H30H6H60Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
https://www.bankofcanada.ca/2013/08/working-paper-2013-25/
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.2013-08-15T12:06:08+00:00enAre Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis2013-08-15Econometric and statistical methodsInternational topicsWorking Paper 2013-25https://www.bankofcanada.ca/wp-content/uploads/2013/08/wp2013-25.pdfAre Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger HypothesisChristiane BaumeisterLutz KilianXiaoqing ZhouAugust 2013CC5C53GG1G15QQ4Q43