Xiangjin Shen - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:35:45+00:00Modelling the Macrofinancial Effects of a House Price Correction in Canada
https://www.bankofcanada.ca/2018/11/staff-analytical-note-2018-36/
We use a suite of risk-assessment models to examine the possible impact of a hypothetical house price correction, centred in the Toronto and Vancouver areas. We also assume financial stress significantly amplifies the macroeconomic impact of the house price decline.2018-11-14T09:00:37+00:00enModelling the Macrofinancial Effects of a House Price Correction in Canada2018-11-14Financial System Resilience and House Price Corrections
https://www.bankofcanada.ca/2018/11/financial-system-resilience-and-house-price-corrections/
We use models to better understand and assess how risks could affect the financial system. In our hypothetical scenario, a house price correction and elevated financial stress weigh on the economy. An increased number of households and businesses have difficulty repaying loans. Nonetheless, the large banks remain resilient.2018-11-14T08:00:49+00:00enFinancial System Resilience and House Price Corrections2018-11-14Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement
https://www.bankofcanada.ca/2018/05/staff-working-paper-2018-21/
We explore properties of asymmetric generalized autoregressive conditional heteroscedasticity (GARCH) models in the threshold GARCH (GTARCH) family and propose a more general Spline-GTARCH model, which captures high-frequency return volatility, low-frequency macroeconomic volatility as well as an asymmetric response to past negative news in both autoregressive conditional heteroscedasticity (ARCH) and GARCH terms.2018-05-14T14:30:19+00:00enAnalysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement2018-05-14Econometric and statistical methodsPayment clearing and settlement systemsStaff Working Paper 2018-21https://www.bankofcanada.ca/wp-content/uploads/2018/05/swp2018-21.pdfAnalysis of Asymmetric GARCH Volatility Models with Applications to Margin MeasurementElena GoldmanXiangjin ShenMay 2018CC5C58GG1G19G2G23G28