Andrew Lee-Poy

Senior Economist

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Andrew Lee-Poy

Senior Economist
Financial Stability
Regulatory Policy

Bank of Canada
234 Wellington Street
Ottawa, ON, K1A 0G9

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Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

Staff Analytical Note 2018-34 Andrew Lee-Poy
In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

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