Danilo Leiva-Leon - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-19T09:39:00+00:00Monetary Policy Independence and the Strength of the Global Financial Cycle
https://www.bankofcanada.ca/2020/06/staff-working-paper-2020-25/
We propose a new strength measure of the global financial cycle by estimating a regime-switching factor model on cross-border equity flows for 61 countries. We then assess how the strength of the global financial cycle affects monetary policy independence, which is defined as the response of central banks' policy interest rates to exogenous changes in inflation.2020-06-10T11:42:33+00:00enMonetary Policy Independence and the Strength of the Global Financial Cycle2020-06-10Business fluctuations and cyclesExchange rate regimesFinancial system regulation and policiesInternational financial marketsMonetary policyStaff Working Paper 2020-25https://www.bankofcanada.ca/wp-content/uploads/2020/06/swp2020-25.pdfMonetary Policy Independence and the Strength of the Global Financial CycleChristian FriedrichPierre GuérinDanilo Leiva-LeonJune 2020EE4E5FF3F32F4F42GG1G15G18Endogenous Time Variation in Vector Autoregressions
https://www.bankofcanada.ca/2020/05/staff-working-paper-2020-16/
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.2020-05-07T11:18:18+00:00enEndogenous Time Variation in Vector Autoregressions2020-05-07Econometric and statistical methodsInflation and pricesMonetary policy transmissionStaff Working Paper 2020-16https://www.bankofcanada.ca/wp-content/uploads/2020/05/swp2020-16.pdfStaff Working Paper 2020-16Danilo Leiva-LeonLuis UzedaMay 2020CC1C11C3C32EE3E31E5E52Markov‐Switching Three‐Pass Regression Filter
https://www.bankofcanada.ca/2017/04/staff-working-paper-2017-13/
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.2017-04-20T13:08:27+00:00enMarkov‐Switching Three‐Pass Regression Filter2017-04-20Econometric and statistical methodsStaff Working Paper 2017-13https://www.bankofcanada.ca/wp-content/uploads/2017/04/swp2017-13.pdfMarkov‐Switching Three‐Pass Regression FilterPierre GuérinDanilo Leiva-LeonMassimiliano MarcellinoApril 2017CC2C22C23C5C53Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
https://www.bankofcanada.ca/2015/06/working-paper-2015-24/
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.2015-06-26T16:30:16+00:00enModel Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data2015-06-26Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2015-24https://www.bankofcanada.ca/wp-content/uploads/2015/06/wp2015-24.pdfModel Averaging in Markov-Switching Models: Predicting National Recessions with Regional DataPierre GuérinDanilo Leiva-LeonJune 2015CC5C53EE3E32E37The Propagation of Industrial Business Cycles
https://www.bankofcanada.ca/2014/10/working-paper-2014-48/
This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is estimated by Gibbs sampling.2014-10-27T09:18:23+00:00enThe Propagation of Industrial Business Cycles2014-10-27Business fluctuations and cyclesDomestic demand and componentsEconometric and statistical methodsWorking Paper 2014-48https://www.bankofcanada.ca/wp-content/uploads/2014/10/wp2014-48.pdfThe Propagation of Industrial Business CyclesMaximo CamachoDanilo Leiva-LeonOctober 2014CC2C22EE2E27E3E32Real-Time Nowcasting of Nominal GDP Under Structural Breaks
https://www.bankofcanada.ca/2014/09/working-paper-2014-39/
This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges.2014-09-04T15:19:41+00:00enReal-Time Nowcasting of Nominal GDP Under Structural Breaks2014-09-04Business fluctuations and cyclesEconometric and statistical methodsInflation and pricesWorking Paper 2014-39https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-39.pdfReal-Time Nowcasting of Nominal GDP Under Structural BreaksWilliam A. BarnettMarcelle ChauvetDanilo Leiva-LeonSeptember 2014CC3C32EE2E27E3E31E32A New Approach to Infer Changes in the Synchronization of Business Cycle Phases
https://www.bankofcanada.ca/2014/09/working-paper-2014-38/
This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles.2014-09-04T15:18:46+00:00enA New Approach to Infer Changes in the Synchronization of Business Cycle Phases2014-09-04Business fluctuations and cyclesEconometric and statistical methodsRegional economic developmentsWorking Paper 2014-38 https://www.bankofcanada.ca/wp-content/uploads/2014/09/wp2014-38.pdfA New Approach to Infer Changes in the Synchronization of Business Cycle PhasesDanilo Leiva-LeonSeptember 2014CC3C32C4C45EE3E32