# Subscribe to C - Mathematical and Quantitative Methods C - Mathematical and Quantitative Methods

• ### Housing and Tax-Deferred Retirement Accounts

Staff Working Paper 2016-24
Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.
Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21
• ### Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity

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.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C57, D, D4, D44, L, L0, L00
• ### Estimating Systematic Risk Under Extremely Adverse Market Conditions

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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, G, G0, G01
• ### Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach

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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17
• ### A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, D, D8, D84, G, G1, G14, Q, Q4, Q43
• ### Dating Systemic Financial Stress Episodes in the EU Countries

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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C54, G, G0, G01, G1, G15
• ### Measuring Systemic Risk Across Financial Market Infrastructures

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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C58, G, G2, G21, G23
• ### Understanding Firms’ Inflation Expectations Using the Bank of Canada’s Business Outlook Survey

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.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C2, C25, D, D2, D21, D8, D84, E, E3, E31, E5, E52, E58
• ### Macroeconomic Uncertainty Through the Lens of Professional Forecasters

Staff Working Paper 2016-5
We analyze the evolution of macroeconomic uncertainty in the United States, based on the forecast errors of consensus survey forecasts of different economic indicators. Comprehensive information contained in the survey forecasts enables us to capture a real-time subjective measure of uncertainty in a simple framework.
Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C38, E, E1, E17, E3, E32
• ### What Is Behind the Weakness in Global Investment?

Staff Discussion Paper 2016-5
The recovery in private business investment globally remains extremely weak more than seven years after the financial crisis. This paper contributes to the ongoing policy debate on the factors behind this weakness by analyzing the role of growth prospects and uncertainty in explaining developments in non-residential private business investment in large advanced economies since the crisis.
Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C2, C23, C3, C33, D, D2, D24, D8, D80, D84, E, E2, E22, F, F0, F01, G, G3, G31
Go To Page