C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T10:22:14+00:00Cash Management and Payment Choices: A Simulation Model with International Comparisons
https://www.bankofcanada.ca/2013/12/working-paper-2013-53/
Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size.2013-12-30T08:55:48+00:00enCash Management and Payment Choices: A Simulation Model with International Comparisons2013-12-30Bank notesFinancial servicesInternational topicsWorking Paper 2013-53https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-53.pdfCash Management and Payment Choices: A Simulation Model with International ComparisonsCarlos ArangoYassine BouhdaouiDavid BounieMartina EschelbachLola HernándezDecember 2013CC6C61EE4E41E47A Distributional Approach to Realized Volatility
https://www.bankofcanada.ca/2013/12/working-paper-2013-49/
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price.2013-12-20T10:14:03+00:00enA Distributional Approach to Realized Volatility2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-49https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-49.pdfA Distributional Approach to Realized VolatilitySelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58Volatility Forecasting when the Noise Variance Is Time-Varying
https://www.bankofcanada.ca/2013/12/working-paper-2013-48/
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the noise variance is related to the true return volatility.2013-12-20T10:13:05+00:00enVolatility Forecasting when the Noise Variance Is Time-Varying2013-12-20Econometric and statistical methodsFinancial marketsWorking Paper 2013-48https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-48.pdfVolatility Forecasting when the Noise Variance Is Time-VaryingSelma ChakerNour MeddahiDecember 2013CC1C14C5C51C58Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment
https://www.bankofcanada.ca/2013/12/working-paper-2013-46/
Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.2013-12-19T08:33:21+00:00enHeterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment2013-12-19Labour marketsWorking Paper 2013-46https://www.bankofcanada.ca/wp-content/uploads/2013/12/wp2013-46.pdfHeterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree AttainmentMai SekiDecember 2013CC3C30II2I21Expectations and Monetary Policy: Experimental Evidence
https://www.bankofcanada.ca/2013/11/working-paper-2013-44/
The effectiveness of monetary policy depends, to a large extent, on market expectations of its future actions. In a standard New Keynesian business-cycle model with rational expectations, systematic monetary policy reduces the variance of inflation and the output gap by at least two-thirds.2013-11-22T10:26:12+00:00enExpectations and Monetary Policy: Experimental Evidence2013-11-22Business fluctuations and cyclesMonetary policy implementationMonetary policy transmissionWorking Paper 2013-44https://www.bankofcanada.ca/wp-content/uploads/2013/11/wp2013-44.pdfExpectations and Monetary Policy: Experimental EvidenceOleksiy KryvtsovLuba PetersenNovember 2013CC9DD8D84EE3E5E52High-Frequency Real Economic Activity Indicator for Canada
https://www.bankofcanada.ca/2013/11/working-paper-2013-42/
I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.2013-11-22T08:43:13+00:00enHigh-Frequency Real Economic Activity Indicator for Canada2013-11-22Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2013-42https://www.bankofcanada.ca/wp-content/uploads/2013/11/wp2013-42.pdfHigh-Frequency Real Economic Activity Indicator for CanadaGitanjali KumarNovember 2013CC3C38EE3E32The Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada
https://www.bankofcanada.ca/2013/10/working-paper-2013-35/
In this paper, the authors propose a measure of underlying inflation for Canada obtained from estimating a monthly factor model on individual components of the CPI. This measure, labelled the common component of CPI, has intuitive appeal and a number of interesting features.2013-10-03T15:52:10+00:00enThe Common Component of CPI: An Alternative Measure of Underlying Inflation for Canada2013-10-03Business fluctuations and cyclesEconometric and statistical methodsInflation and pricesMonetary policy frameworkWorking Paper 2013-35https://www.bankofcanada.ca/wp-content/uploads/2013/10/wp2013-35.pdfThe Common Component of CPI: An Alternative Measure of Underlying Inflation for CanadaMikael KhanLouis MorelPatrick SabourinOctober 2013CC1EE3E31E32E5E52E58Which Parametric Model for Conditional Skewness?
https://www.bankofcanada.ca/2013/09/working-paper-2013-32/
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.2013-09-06T09:08:40+00:00enWhich Parametric Model for Conditional Skewness?2013-09-06Econometric and statistical methodsWorking Paper 2013-32 https://www.bankofcanada.ca/wp-content/uploads/2013/09/wp2013-32.pdfWhich Parametric Model for Conditional Skewness?Bruno FeunouMohammad R. Jahan-ParvarRoméo TedongapSeptember 2013CC2C22C5C51GG1G12G15Volatility 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 2013CC5C53EE3E32QQ4Q43