C5 - Econometric Modeling - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T05:12:48+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 2016CC5C58GG2G21G23Identification 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 2016CC1C14C5C57DD4D44LL0L00A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil
https://www.bankofcanada.ca/2016/04/staff-working-paper-2016-18/
Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.2016-04-18T09:53:37+00:00enA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil2016-04-18Econometric and statistical methodsInternational topicsStaff Working Paper 2016-18https://www.bankofcanada.ca/wp-content/uploads/2016/04/swp2016-18.pdfA General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude OilChristiane BaumeisterLutz KilianApril 2016CC5C53DD8D84GG1G14QQ4Q43Dating Systemic Financial Stress Episodes in the EU Countries
https://www.bankofcanada.ca/2016/03/staff-working-paper-2016-11/
This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.2016-03-18T08:34:32+00:00enDating Systemic Financial Stress Episodes in the EU Countries2016-03-18Business fluctuations and cyclesCentral bank researchEconometric and statistical methodsEconomic modelsFinancial marketsFinancial stabilityFinancial system regulation and policiesMonetary and financial indicatorsStaff Working Paper 2016-11https://www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-11.pdfDating Systemic Financial Stress Episodes in the EU CountriesBenjamin KlausTuomas PeltonenThibaut DupreyMarch 2016CC5C54GG0G01G1G15Measuring Systemic Risk Across Financial Market Infrastructures
https://www.bankofcanada.ca/2016/03/staff-working-paper-2016-10/
We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.2016-03-15T08:37:05+00:00enMeasuring Systemic Risk Across Financial Market Infrastructures2016-03-15Econometric and statistical methodsFinancial stabilityPayment clearing and settlement systemsStaff Working Paper 2016-10https://www.bankofcanada.ca/wp-content/uploads/2016/03/swp2016-10.pdfMeasuring Systemic Risk Across Financial Market InfrastructuresFuchun LiHéctor Pérez SaizMarch 2016CC5C58GG2G21G23New 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