C - Mathematical and Quantitative Methods
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Are Canadian Banks Efficient? A Canada–U.S. Comparison
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways. -
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies. -
Using Monthly Indicators to Predict Quarterly GDP
The authors build a model for predicting current-quarter real gross domestic product (GDP) growth using anywhere from zero to three months of indicators from that quarter. -
Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices
The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation. -
Launching the NEUQ: The New European Union Quarterly Model, A Small Model of the Euro Area and U.K. Economies
The authors develop a projection model of the euro area and the United Kingdom. The model consists of two country blocks, endogenous to each other via the foreign demand channel. -
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral. -
Forecasting Commodity Prices: GARCH, Jumps, and Mean Reversion
Fluctuations in the prices of various natural resource products are of concern in both policy and business circles; hence, it is important to develop accurate price forecasts. -
The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States
In the United States, the Federal Reserve has a dual mandate of promoting stable inflation and maximum employment. Since the Fed directly controls only one instrument - the federal funds rate - the authors argue that the Fed's priorities continuously alternate between inflation and economic activity. -
A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market
Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.