Econometric and statistical methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T09:17:50+00:00Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-47/
Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007, in the aftermath of the housing bubble.2015-12-29T07:51:54+00:00enDebt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption2015-12-29Credit and credit aggregatesEconometric and statistical methodsInternational topicsStaff Working Paper 2015-47https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-47.pdfDebt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on ConsumptionBruno AlbuquerqueGeorgi KrustevDecember 2015CC1C13C2C23C5C52DD1D12HH3H31Exchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries
https://www.bankofcanada.ca/2015/12/staff-working-paper-2015-45/
We estimate the link between exchange rate fluctuations and the labour input of Canadian manufacturing industries. The analysis is based on a dynamic model of labour demand, and the econometric strategy employs a panel two-step approach for cointegrating regressions.2015-12-03T14:05:51+00:00enExchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing Industries2015-12-03Econometric and statistical methodsExchange rate regimesExchange ratesLabour marketsRecent economic and financial developmentsStaff Working Paper 2015-45https://www.bankofcanada.ca/wp-content/uploads/2015/12/wp2015-45.pdfExchange Rate Fluctuations and Labour Market Adjustments in Canadian Manufacturing IndustriesGabriel BruneauKevin MoranDecember 2015EE2E24FF1F14F16F3F31F4F41JJ2J23Nowcasting BRIC+M in Real Time
https://www.bankofcanada.ca/2015/10/working-paper-2015-38/
Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.2015-10-28T09:31:09+00:00enNowcasting BRIC+M in Real Time2015-10-28Econometric and statistical methodsInternational topicsWorking Paper 2015-38https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp-2015-38.pdfNowcasting BRIC+M in Real TimeTatjana DahlhausJustin-Damien GuénetteGarima VasishthaOctober 2015CC3C33C5C53EE3E37Inflation Targeting—A Matter of Time
https://www.bankofcanada.ca/2015/10/inflation-targeting-matter-time/
Deputy Governor Tim Lane discusses monetary policy decision making and how the Bank assesses the underlying trend in inflation.2015-10-27T11:30:08+00:00Inflation Targeting—A Matter of Time2015-10-27Timothy LaneDomestic and Multilateral Effects of Capital Controls in Emerging Markets
https://www.bankofcanada.ca/2015/10/working-paper-2015-37/
Using a novel data set on capital control actions in 17 emerging-market economies (EMEs) over the period 2001–11, we provide new evidence on domestic and multilateral (or spillover) effects of capital controls.2015-10-23T10:31:48+00:00enDomestic and Multilateral Effects of Capital Controls in Emerging Markets2015-10-23Econometric and statistical methodsFinancial system regulation and policiesInternational financial marketsInternational topicsMonetary policy frameworkWorking Paper 2015-37https://www.bankofcanada.ca/wp-content/uploads/2015/10/wp2015-37.pdfDomestic and Multilateral Effects of Capital Controls in Emerging MarketsGurnain PasrichaMatteo FalagiardaMartin BijsterboschJoshua AizenmanOctober 2015FF3F32F4F41F42GG1G15Heterogeneity in the Dynamic Effects of Uncertainty on Investment
https://www.bankofcanada.ca/2015/09/working-paper-2015-34/
How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.2015-09-10T11:47:18+00:00enHeterogeneity in the Dynamic Effects of Uncertainty on Investment2015-09-10Domestic demand and componentsEconometric and statistical methodsInternational topicsWorking Paper 2015-34https://www.bankofcanada.ca/wp-content/uploads/2015/09/wp2015-34.pdfHeterogeneity in the Dynamic Effects of Uncertainty on InvestmentSungje ByunSoojin JoSeptember 2015CC2C22C23DD8D80EE2E22Model 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 2015EE3E32OO5O53QQ4Q43Testing 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 2015CC1C12C14EE1E17E4E43GG1G12G2G20Exploring Differences in Household Debt Across Euro Area Countries and the United States
https://www.bankofcanada.ca/2015/05/working-paper-2015-16/
We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.2015-05-28T07:56:24+00:00enExploring Differences in Household Debt Across Euro Area Countries and the United States2015-05-28Credit and credit aggregatesEconometric and statistical methodsInternational topicsWorking Paper 2015-16https://www.bankofcanada.ca/wp-content/uploads/2015/05/wp2015-16.pdfExploring Differences in Household Debt Across Euro Area Countries and the United StatesDimitris ChristelisMichael EhrmannDimitris GeorgarakosMay 2015DD1D12EE2E21GG1G11