Ying Liu

Author

Staff discussion papers

A Note on Contestability in the Canadian Banking Industry

Staff Discussion Paper 2007-7 Jason Allen, Ying Liu
The authors examine the degree of contestability in the Canadian banking system using the H-statistic proposed by Panzar and Rosse (1987) and modified by Bikker, Spierdijk, and Finnie (2006). A modification is necessary because the standard approach of controlling for size using total assets leads to an upward bias in the H-statistic. The authors propose […]
Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions JEL Code(s): G, G2, G21, L, L1, L11

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Staff working papers

Efficiency and Economies of Scale of Large Canadian Banks

Staff Working Paper 2005-13 Jason Allen, Ying Liu
The authors measure the economies of scale of Canada's six largest banks and their costefficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale.
Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21

Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model

Staff Working Paper 2001-23 Ying Liu
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.
Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C2, C22, C4, C49, E, E4, E47

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Technical reports

A Comparison of Twelve Macroeconomic Models of the Canadian Economy

Technical Report No. 94 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant
In this report, the authors examine and compare twelve private and public sector models of the Canadian economy with respect to their paradigm, structure, and dynamic properties. These open-economy models can be grouped into two economic paradigms.
Content Type(s): Staff research, Technical reports Topic(s): Economic models, Monetary policy and uncertainty JEL Code(s): C, C5, E, E5, E52, E58

The Performance and Robustness of Simple Monetary Policy Rules in Models of the Canadian Economy

Technical Report No. 92 Denise Côté, John Kuszczak, Jean-Paul Lam, Ying Liu, Pierre St-Amant
In this report, we evaluate several simple monetary policy rules in twelve private and public sector models of the Canadian economy. Our results indicate that none of the simple policy rules we examined is robust to model uncertainty, in that no single rule performs well in all models.
Content Type(s): Staff research, Technical reports Topic(s): Monetary policy and uncertainty JEL Code(s): E, E5, E52, E58

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Bank publications

Bank of Canada Review articles

August 18, 2002

The Role of Simple Rules in the Conduct of Canadian Monetary Policy

Bank of Canada Review - Summer 2002 Denise Côté, Jean-Paul Lam, Ying Liu, Pierre St-Amant
The third strategy employed by the Bank when dealing with uncertainty is the consideration of appropriate simple reaction functions or "rules" for the setting of the policy interest rate. Since John Taylor's presentation of his much-discussed rule, research on simple policy rules has exploded. Simple rules have several advantages. In particular, they are easy to construct and communicate and are believed by some to be robust, in the sense of generating good results in a variety of economic models. This article provides an overview of the recent research regarding the usefulness and robustness of simple monetary policy rules, particularly in models of the Canadian economy. It also describes and explains the role of simple rules in the conduct of monetary policy in Canada.
Content Type(s): Publications, Bank of Canada Review articles Topic(s): Monetary policy and uncertainty

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Financial System Review articles