C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T11:19:44+00:00The Role of Card Acceptance in the Transaction Demand for Money
https://www.bankofcanada.ca/2014/09/working-paper-2014-44/
The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.2014-09-24T16:09:23+00:00enThe Role of Card Acceptance in the Transaction Demand for Money2014-09-24Bank notesDigital currencies and fintechEconometric and statistical methodsFinancial servicesWorking Paper 2014-44https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-44.pdfThe Role of Card Acceptance in the Transaction Demand for MoneyKim HuynhPhilipp Schmidt-DenglerHelmut StixSeptember 2014CC3C35C8C83EE4E41International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada
https://www.bankofcanada.ca/2014/09/working-paper-2014-43/
The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.2014-09-24T15:48:14+00:00enInternational Transmission Channels of U.S. Quantitative Easing: Evidence from Canada2014-09-24International topicsMonetary policy frameworkMonetary policy transmissionWorking Paper 2014-43https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-43.pdfInternational Transmission Channels of U.S. Quantitative Easing: Evidence from CanadaTatjana DahlhausAbeer RezaKristina HessSeptember 2014CC3C32EE5E52E58FF4F42F44What Does the Convenience Yield Curve Tell Us about the Crude Oil Market?
https://www.bankofcanada.ca/2014/09/working-paper-2014-42/
Using the prices of crude oil futures contracts, we construct the term structure of crude oil convenience yields out to one-year maturity. The crude oil convenience yield can be interpreted as the interest rate, denominated in barrels of oil, for borrowing a single barrel of oil, and it measures the value of storing crude oil over the borrowing period.2014-09-09T07:55:42+00:00enWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?2014-09-09Asset pricingInternational topicsWorking Paper 2014-42https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-42.pdfWhat Does the Convenience Yield Curve Tell Us about the Crude Oil Market?Ron AlquistGregory BauerAntonio Diez de los RiosSeptember 2014CC5C53GG1G12G13QQ4Q43Balance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?
https://www.bankofcanada.ca/2014/09/working-paper-2014-40/
This paper conducts a real-time, out-of-sample analysis of the forecasting power of various aggregate financial intermediaries’ balance sheets to a wide range of economic activity measures in the United States.2014-09-09T07:54:50+00:00enBalance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?2014-09-09Econometric and statistical methodsWorking Paper 2014-40https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-40.pdfBalance Sheets of Financial Intermediaries: Do They Forecast Economic Activity?Rodrigo SekkelSeptember 2014CC5C53Real-Time Nowcasting of Nominal GDP Under Structural Breaks
https://www.bankofcanada.ca/2014/09/working-paper-2014-39/
This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges.2014-09-04T15:19:41+00:00enReal-Time Nowcasting of Nominal GDP Under Structural Breaks2014-09-04Business fluctuations and cyclesEconometric and statistical methodsInflation and pricesWorking Paper 2014-39https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-39.pdfReal-Time Nowcasting of Nominal GDP Under Structural BreaksWilliam A. BarnettMarcelle ChauvetDanilo Leiva-LeonSeptember 2014CC3C32EE2E27E3E31E32A New Approach to Infer Changes in the Synchronization of Business Cycle Phases
https://www.bankofcanada.ca/2014/09/working-paper-2014-38/
This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles.2014-09-04T15:18:46+00:00enA New Approach to Infer Changes in the Synchronization of Business Cycle Phases2014-09-04Business fluctuations and cyclesEconometric and statistical methodsRegional economic developmentsWorking Paper 2014-38 https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-38.pdfA New Approach to Infer Changes in the Synchronization of Business Cycle PhasesDanilo Leiva-LeonSeptember 2014CC3C32C4C45EE3E32Predicting Financial Stress Events: A Signal Extraction Approach
https://www.bankofcanada.ca/2014/09/working-paper-2014-37/
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor the evolution of a number of economic indicators that tend to exhibit an unusual behaviour in the periods preceding a financial stress event.2014-09-04T09:14:36+00:00enPredicting Financial Stress Events: A Signal Extraction Approach2014-09-04Econometric and statistical methodsFinancial stabilityWorking Paper 2014-37https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-37.pdfPredicting Financial Stress Events: A Signal Extraction ApproachIan ChristensenFuchun LiAugust 2014CC1C14C4EE3E37E4E47FF3F36F37GG0G01G1G17