E47 - Forecasting and Simulation: Models and Applications - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:32:49+00:00Predicting 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 2014CC1C14C4EE3E37E4E47FF3F36F37GG0G01G1G17Forecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions
https://www.bankofcanada.ca/2014/06/discussion-paper-2014-3/
In this paper, the authors develop a new tool to improve the short-term forecasting of real GDP growth in the euro area and Japan. This new tool, which uses unrestricted mixed-data sampling (U-MIDAS) regressions, allows an evaluation of the usefulness of a wide range of indicators in predicting short-term real GDP growth.2014-06-18T13:06:09+00:00enForecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS Regressions2014-06-18Econometric and statistical methodsInternational topicsDiscussion Paper 2014-3https://www.bankofcanada.ca/wp-content/uploads/2014/06/dp2014-3.pdfForecasting Short-Term Real GDP Growth in the Euro Area and Japan Using Unrestricted MIDAS RegressionsMaxime LeboeufLouis MorelJune 2014CC5C50C53EE3E37E4E47Bond Risk Premia and Gaussian Term Structure Models
https://www.bankofcanada.ca/2014/04/working-paper-2014-13/
Cochrane and Piazzesi (2005) show that (i) lagged forward rates improve the predictability of annual bond returns, adding to current forward rates, and that (ii) a Markovian model for monthly forward rates cannot generate the pattern of predictability in annual returns.2014-04-17T09:25:35+00:00enBond Risk Premia and Gaussian Term Structure Models2014-04-17Asset pricingInterest ratesWorking Paper 2014-13https://www.bankofcanada.ca/wp-content/uploads/2014/04/wp2014-13.pdfBond Risk Premia and Gaussian Term Structure ModelsBruno FeunouJean-Sébastien FontaineApril 2014EE4E43E47GG1G12