Kerem Tuzcuoglu - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T14:53:08+00:00Forecasting Recessions in Canada: An Autoregressive Probit Model Approach
https://www.bankofcanada.ca/2024/03/staff-working-paper-2024-10/
We forecast recessions in Canada using an autoregressive (AR) probit model. The results highlight the short-term predictive power of the US economic activity and suggest that financial indicators are reliable predictors of Canadian recessions. In addition, the suggested model meaningfully improves the ability to forecast Canadian recessions, relative to a variety of probit models proposed in the Canadian literature.2024-03-27T12:42:07+00:00enForecasting Recessions in Canada: An Autoregressive Probit Model Approach2024-03-27Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2024-10https://www.bankofcanada.ca/wp-content/uploads/2024/03/swp2024-10.pdfForecasting Recessions in Canada: An Autoregressive Probit Model ApproachAntoine Poulin-MooreKerem TuzcuogluMarch 2024CC5C51C53EE3E32Supply Drivers of US Inflation Since the COVID-19 Pandemic
https://www.bankofcanada.ca/2023/03/staff-working-paper-2023-19/
This paper examines the contribution of several supply factors to US headline inflation since the start of the COVID-19 pandemic. We identify six supply shocks using a structural VAR model: labor supply, labor productivity, global supply chain, oil price, price mark-up and wage mark-up shocks.2023-03-31T13:04:01+00:00enSupply Drivers of US Inflation Since the COVID-19 Pandemic2023-03-31Business fluctuations and cyclesEconometric and statistical methodsInflation and pricesStaff Working Paper 2023-19https://www.bankofcanada.ca/wp-content/uploads/2023/03/swp2023-19.pdfStaff Working Paper 2023-19Serdar KabacaKerem TuzcuogluMarch 2023CC3C32EE3E31E32Risk Amplification Macro Model (RAMM)
https://www.bankofcanada.ca/2023/01/technical-report-123/
The Risk Amplification Macro Model (RAMM) is a new nonlinear two-country dynamic model that captures rare but severe adverse shocks. The RAMM can be used to assess the financial stability implications of both domestic and foreign-originated risk scenarios.2023-01-26T10:06:18+00:00enRisk Amplification Macro Model (RAMM)2023-01-26Business fluctuations and cyclesEconometric and statistical methodsFinancial stabilityMonetary policy transmissionTechnical Report 123https://www.bankofcanada.ca/wp-content/uploads/2023/01/tr123.pdfRisk Amplification Macro Model (RAMM)Kerem TuzcuogluJanuary 2023CC5C51EE3E37E4E44FF4F44Sectoral Uncertainty
https://www.bankofcanada.ca/2022/09/staff-working-paper-2022-38/
We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary.2022-09-09T10:36:10+00:00enSectoral Uncertainty2022-09-09Business fluctuations and cyclesEconometric and statistical methodsMonetary policy and uncertaintyStaff Working Paper 2022-38https://www.bankofcanada.ca/wp-content/uploads/2022/09/swp2022-38.pdfSectoral UncertaintyEfrem CastelnuovoKerem TuzcuogluLuis UzedaSeptember 2022CC5C51C55EE3E32E4E44International Transmission of Quantitative Easing Policies: Evidence from Canada
https://www.bankofcanada.ca/2022/06/staff-working-paper-2022-30/
This paper examines the cross-border spillovers from major economies’ quantitative easing (QE) policies to their trading partners. We concentrate on spillovers from the US to Canada during the zero lower bound period when QE policies were actively used.2022-06-30T07:51:33+00:00enInternational Transmission of Quantitative Easing Policies: Evidence from Canada2022-06-30Business fluctuations and cyclesInternational topicsMonetary policy transmissionStaff Working Paper 2022-30https://www.bankofcanada.ca/wp-content/uploads/2022/06/swp2022-30.pdfInternational Transmission of Quantitative Easing Policies: Evidence from CanadaSerdar KabacaKerem TuzcuogluJune 2022EE5E52FF4F41F44Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects
https://www.bankofcanada.ca/2019/05/staff-working-paper-2019-16/
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.2019-05-02T14:10:05+00:00enComposite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects2019-05-02Credit risk managementEconometric and statistical methodsEconomic modelsStaff Working Paper 2019-16https://www.bankofcanada.ca/wp-content/uploads/2019/05/swp2019-16.pdfComposite Likelihood Estimation of an Autoregressive Panel Probit Model with Random EffectsKerem TuzcuogluMay 2019CC2C23C25C5C58GG2G24