C1 - Econometric and Statistical Methods and Methodology: General
-
-
The Fisher BCPI: The Bank of Canada’s New Commodity Price Index
The prices of commodities produced in Canada have important implications for the performance of the Canadian economy and the conduct of monetary policy. The authors explain an important change to the methodology used to construct the Bank of Canada commodity price index (BCPI). -
Macroprudential Regulation and Systemic Capital Requirements
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks. -
A Consistent Test for Multivariate Conditional Distributions
We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. -
Real Time Detection of Structural Breaks in GARCH Models
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. -
Structural Inflation Models with Real Wage Rigidities: The Case of Canada
Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness. -
Simulations du ratio du service de la dette des consommateurs en utilisant des données micro
The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey. -
Testing for Financial Contagion with Applications to the Canadian Banking System
The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data. -
Assessing Indexation-Based Calvo Inflation Models
Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms. -
Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System
We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment processing speeds for the individual banks.