Staff working papers - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:08:44+00:00Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
https://www.bankofcanada.ca/2015/06/working-paper-2015-24/
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.2015-06-26T16:30:16+00:00enModel Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data2015-06-26Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2015-24https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-24.pdfModel Averaging in Markov-Switching Models: Predicting National Recessions with Regional DataPierre GuérinDanilo Leiva-LeonJune 2015CC5C53EE3E32E37Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies
https://www.bankofcanada.ca/2015/06/working-paper-2015-23/
This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock.2015-06-26T16:17:49+00:00enRevisiting the Macroeconomic Impact of Oil Shocks in Asian Economies2015-06-26Econometric and statistical methodsInternational topicsWorking Paper 2015-23https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-23.pdfRevisiting the Macroeconomic Impact of Oil Shocks in Asian EconomiesJuncal CunadoSoojin JoFernando Perez de GraciaJune 2015EE3E32OO5O53QQ4Q43Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004
https://www.bankofcanada.ca/2015/06/working-paper-2015-22/
We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years.2015-06-26T10:48:01+00:00enSheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 20042015-06-26Domestic demand and componentsWorking Paper 2015-22https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-22.pdfSheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004Geoffrey R. DunbarChunling FuJune 2015HH2H26II3I32KK4K42Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects
https://www.bankofcanada.ca/2015/06/working-paper-2015-21/
Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve’s large-scale asset purchase (LSAP) programs.2015-06-22T07:32:39+00:00enLarge-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects2015-06-22International topicsWorking Paper 2015-21https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-21.pdfLarge-Scale Asset Purchases: Impact on Commodity Prices and International Spillover EffectsSharon KozickiLena SuchanekEric SantorJune 2015EE5E58GG1G14QQ0Q00Changes in Payment Timing in Canada’s Large Value Transfer System
https://www.bankofcanada.ca/2015/06/working-paper-2015-20/
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.2015-06-22T07:24:58+00:00enChanges in Payment Timing in Canada’s Large Value Transfer System2015-06-22Payment clearing and settlement systemsWorking Paper 2015-20https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-20.pdfChanges in Payment Timing in Canada’s Large Value Transfer SystemNellie ZhangJune 2015EE5E50GG2G20Productive Misallocation and International Transmission of Credit Shocks
https://www.bankofcanada.ca/2015/06/working-paper-2015-19/
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.2015-06-12T13:27:56+00:00enProductive Misallocation and International Transmission of Credit Shocks2015-06-12Business fluctuations and cyclesEconomic modelsFinancial marketsFinancial stabilityInternational topicsWorking Paper 2015-19https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-19.pdfInternational Transmission of Credit Shocks in an Equilibrium Model with Production HeterogeneityYuko ImuraJulia ThomasJune 2015EE2E22E3E32E4E44FF4F41F44Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes
https://www.bankofcanada.ca/2015/06/working-paper-2015-18/
The period from 1914 to 1935 in the United States is unique in that it was the only time that both privately-issued bank notes (national bank notes) and central bank-issued bank notes (Federal Reserve notes) were simultaneously in circulation.2015-06-12T13:20:58+00:00enGovernment and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes2015-06-12Bank notesDigital currencies and fintechFinancial servicesWorking Paper 2015-18https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-18.pdfGovernment and Private E-Money-Like Systems: Federal Reserve Notes and National Bank NotesWarren E. WeberJune 2015EE4E41E42E5E58Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates
https://www.bankofcanada.ca/2015/06/working-paper-2015-17/
The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.2015-06-05T10:44:33+00:00enTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates2015-06-05Asset pricingEconometric and statistical methodsInterest ratesWorking Paper 2015-17https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-17.pdfTesting for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest RatesFuchun LiJune 2015CC1C12C14EE1E17E4E43GG1G12G2G20