C1 - Econometric and Statistical Methods and Methodology: General - Bank of Canada
https://www.bankofcanada.ca/rss-feeds/
Bank of Canada RSS Feedsen2024-03-29T09:25:10+00:00Commodity Price Supercycles: What Are They and What Lies Ahead?
https://www.bankofcanada.ca/wp-content/uploads/2016/11/boc-review-autumn16-buyuksahin.pdf
Because commodity prices help determine Canada’s terms of trade, employment, income and, ultimately, inflation, it is important to understand what causes them to fluctuate. Since the early 1900s, there have been four commodity price supercycles—which we define as extended periods of boom and bust that can take decades to complete. Now in its downswing phase, the current supercycle started after growth in China and other emerging-market economies in the mid-1990s resulted in an unexpected demand shock. The extent of this downswing depends on numerous factors that are presently uncertain.2016-11-17T12:18:52+00:00enCommodity Price Supercycles: What Are They and What Lies Ahead?2016-11-17Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity
https://www.bankofcanada.ca/2016/05/staff-working-paper-2016-23/
This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models.2016-05-09T08:48:48+00:00enIdentification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity2016-05-09Econometric and statistical methodsStaff Working Paper 2016-23https://www.bankofcanada.ca/wp-content/uploads/2016/05/swp2016-23.pdfIdentification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction HeterogeneitySerafin GrundlYu ZhuMay 2016CC1C14C5C57DD4D44LL0L00Estimating Systematic Risk Under Extremely Adverse Market Conditions
https://www.bankofcanada.ca/2016/05/staff-working-paper-2016-22/
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.2016-05-04T15:02:09+00:00enEstimating Systematic Risk Under Extremely Adverse Market Conditions2016-05-04Econometric and statistical methodsFinancial marketsStaff Working Paper 2016-22https://www.bankofcanada.ca/wp-content/uploads/2016/05/swp2016-22.pdfEstimating Systematic Risk Under Extremely Adverse Market ConditionsMaarten van OordtChen ZhouMay 2016CC1C14GG0G01Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-21/
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.2016-04-27T13:39:57+00:00enEarly Warning of Financial Stress Events: A Credit-Regime-Switching Approach2016-04-27Econometric and statistical methodsFinancial stabilityStaff Working Paper 2016-21https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-21.pdfEarly Warning of Financial Stress Events: A Credit-Regime-Switching ApproachFuchun LiHongyu XiaoApril 2016CC1C12C14GG0G01G1G17Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey
https://www.bankofcanada.ca/2016/02/staff-working-paper-2016-7/
Inflation expectations are a key determinant of actual and future inflation and thus matter for the conduct of monetary policy. We study how firms form their inflation expectations using quarterly firm-level data from the Bank of Canada’s Business Outlook Survey, spanning the 2001 to 2015 period.2016-02-26T09:13:11+00:00enUnderstanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey2016-02-26Central bank researchCredibilityEconometric and statistical methodsFirm dynamicsInflation and pricesInflation targetsMonetary policy frameworkStaff Working Paper 2016-7https://www.bankofcanada.ca/wp-content/uploads/2016/02/swp2016-7.pdfUnderstanding Firms' Inflation Expectations Using the Bank of Canada's Business Outlook SurveySimon RichardsMatthieu VerstraeteFebruary 2016CC1C2C25DD2D21D8D84EE3E31E5E52E58New Housing Registrations as a Leading Indicator of the BC Economy
https://www.bankofcanada.ca/2016/02/staff-discussion-paper-2016-3/
Housing starts and building permits data are commonly used as leading indicators of economic activity. In British Columbia, all new homes must be registered with the Homeowner Protection Office, a branch of BC Housing, before the issuance of building permits and the start of construction.2016-02-04T14:23:49+00:00enNew Housing Registrations as a Leading Indicator of the BC Economy2016-02-04Business fluctuations and cyclesHousingRegional economic developmentsStaff Discussion Paper 2016-3https://www.bankofcanada.ca/wp-content/uploads/2016/02/sdp2016-3.pdfNew Housing Registrations as a Leading Indicator of the BC EconomyCalista CheungDmitry GranovskyFebruary 2016CC1C13C5C53EE3E32E37