Econometric and statistical methods - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T08:29:34+00:00Credit Risk and Collateral Demand in a Retail Payment System
https://www.bankofcanada.ca/2016/07/staff-discussion-paper-2016-16/
The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member.2016-07-27T07:41:33+00:00enCredit Risk and Collateral Demand in a Retail Payment System2016-07-27Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Discussion Paper 2016-16https://www.bankofcanada.ca/wp-content/uploads/2016/07/sdp2016-16.pdfCredit Risk and Collateral Demand in a Retail Payment SystemHéctor Pérez SaizGabriel XerriJuly 2016CC5C58GG2G21G23Time-Varying Crash Risk: The Role of Stock Market Liquidity
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-35/
We estimate a continuous-time model with stochastic volatility and dynamic crash probability for the S&P 500 index and find that market illiquidity dominates other factors in explaining the stock market crash risk. While the crash probability is time-varying, its dynamic depends only weakly on return variance once we include market illiquidity as an economic variable in the model.2016-07-22T13:04:46+00:00enTime-Varying Crash Risk: The Role of Stock Market Liquidity2016-07-22Asset pricingEconometric and statistical methodsFinancial stabilityStaff Working Paper 2016-35https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-35.pdfTime-Varying Crash Risk: The Role of Stock Market LiquidityPeter ChristoffersenBruno FeunouYoontae JeonChayawat OrnthanalaiJuly 2016GG0G01G1G12Crude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models
https://www.bankofcanada.ca/2016/07/staff-analytical-note-2016-8/
This note investigates the relationship between crude oil prices and investment in the energy sector. We employ a set of vector autoregression (VAR) models (unconstrained VAR, vector error-correction and Bayesian VAR) to formalize the relationship between the West Texas Intermediate (WTI) benchmark and fixed-asset cash spending in the oil and gas extraction and support activities sector of the Canadian economy.2016-07-18T13:47:04+00:00enCrude Oil Prices and Fixed-Asset Cash Spending in the Oil and Gas Industry: Findings from VAR Models2016-07-18Financial Inclusion—What’s it Worth?
https://www.bankofcanada.ca/2016/07/staff-working-paper-2016-30/
The paper studies the determinants of being unbanked in the euro area and the United States as well as the effects of being unbanked on wealth accumulation. Based on household-level data from The Eurosystem Household Finance and Consumption Survey and the U.S. Survey of Consumer Finances, it first documents that there are, respectively, 3.6 per cent and 7.5 per cent of unbanked households in the two economies.2016-07-18T09:53:56+00:00enFinancial Inclusion—What’s it Worth?2016-07-18Econometric and statistical methodsFinancial servicesFinancial system regulation and policiesHousingStaff Working Paper 2016-30https://www.bankofcanada.ca/wp-content/uploads/2016/07/swp2016-30.pdfFinancial Inclusion—What’s it Worth?Miguel AmpudiaMichael EhrmannJuly 2016DD1D14GG2G21G28