Simon van Norden - Latest - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T08:49:51+00:00Filtering for Current Analysis
https://www.bankofcanada.ca/2002/10/working-paper-2002-28/
This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles.2002-10-01T11:53:09+00:00enFiltering for Current Analysis2002-10-01Econometric and statistical methodsPotential outputWorking Paper 2002-28 https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-28.pdfFiltering for Current AnalysisSimon van NordenOctober 2002CC1La fiabilité des estimations de l'écart de production au Canada
https://www.bankofcanada.ca/2002/04/working-paper-2002-10/
In this paper, we measure, with Canadian data, the scope of the revisions to real-time estimates of the output gap generated with several univariate and multivariate techniques. We also make an empirical evaluation of the usefulness of the output gap estimates for predicting inflation.2002-04-01T11:47:36+00:00frLa fiabilité des estimations de l'écart de production au Canada2002-04-01Potential outputWorking Paper 2002-10https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp02-10.pdfLa fiabilité des estimations de l’écart de production au CanadaJean-Philippe CayenSimon van NordenApril 2002EE3E32Measurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada
https://www.bankofcanada.ca/1997/08/technical-report-no79/
In this paper, we discuss some methodologies for estimating potential output and the output gap that have recently been studied at the Bank of Canada. The assumptions and econometric techniques used by the different methodologies are discussed in turn, and applications to Canadian data are presented.1997-08-01T14:37:25+00:00enMeasurement of the Output Gap: A Discussion of Recent Research at the Bank of Canada1997-08-01Potential outputTechnical Report 79https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr79.pdfMeasurement of the Output Gap: A Discussion of Recent Research at the Bank of CanadaPierre St-AmantSimon van NordenAugust 1997DD2D24Fads or Bubbles?
https://www.bankofcanada.ca/1997/01/working-paper-1997-2/
This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns.1997-01-02T11:33:24+00:00enFads or Bubbles?1997-01-02Financial marketsWorking Paper 1997-2 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-2.pdfFads or Bubbles?Huntley SchallerSimon van NordenJanuary 1997CC4C40GG1G12Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
https://www.bankofcanada.ca/1997/01/working-paper-1997-1/
This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.1997-01-01T11:27:57+00:00enReconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples1997-01-01Econometric and statistical methodsWorking Paper 1997-1 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp97-1.pdfReconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite SamplesMarie-Josée GodboutSimon van NordenJanuary 1997CC1C15C2C22C3C32FF3F31Speculative Behaviour, Regime-Switching and Stock Market Crashes
https://www.bankofcanada.ca/1996/10/working-paper-1996-13/
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."1996-10-01T09:35:55+00:00enSpeculative Behaviour, Regime-Switching and Stock Market Crashes1996-10-01Financial marketsWorking Paper 1996-13 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-13.pdfSpeculative Behaviour, Regime-Switching and Stock Market CrashesSimon van NordenHuntley SchallerOctober 1996CC4C40EE4E44GG1G12Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
https://www.bankofcanada.ca/1996/08/working-paper-1996-11/
Work on testing for bubbles has caused much debate, much of which has focussed on methodology. Monte Carlo simulations reported in Evans (1991) showed that standard tests for unit roots and cointegration frequently reject the presence of bubbles even when such bubbles are present by construction. Evans referred to this problem as the pitfall of testing for bubbles.1996-08-03T16:35:30+00:00enAvoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?1996-08-03Econometric and statistical methodsWorking Paper 1996-11 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-11.pdfAvoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?Simon van NordenRobert VigfussonAugust 1996CC2C22C5C52Unit-Root Tests and Excess Returns
https://www.bankofcanada.ca/1996/08/working-paper-1996-10/
Several recent papers have presented evidence from foreign exchange and other markets suggesting that the log of excess returns can be characterized as first-order integrated processes (I(1)). This contrasts sharply with the "conventional" wisdom that log prices are integrated of order one I(1) and that log returns should therefore be integrated of order zero I(0), and even more sharply with the view that past returns have no ability to predict future returns (weak market efficiency).1996-08-02T16:16:04+00:00enUnit-Root Tests and Excess Returns1996-08-02Econometric and statistical methodsWorking Paper 1996-10 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-10.pdfUnit-Root Tests and Excess ReturnsMarie-Josée GodboutSimon van NordenAugust 1996CC1C12FF3F31Excess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?
https://www.bankofcanada.ca/1996/07/technical-report-no76/
Greater intervention by the public sector is often proposed as a solution to the increased speculation and excessive price volatility thought to characterize today's competitive world financial system.1996-07-01T14:09:19+00:00enExcess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?1996-07-01Exchange ratesTechnical Report 76 https://www.bankofcanada.ca/wp-content/uploads/2010/01/tr76.pdfExcess Volatility and Speculative Bubbles in the Canadian Dollar: Real or Imagined?John MurraySimon van NordenRobert VigfussonJuly 1996CC4C40FF3F31Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
https://www.bankofcanada.ca/1996/01/working-paper-1996-3/
This paper is a user's guide to a set of Gauss procedures developed at the Bank of Canada for estimating regime-switching models.1996-01-03T14:52:57+00:00enRegime-Switching Models: A Guide to the Bank of Canada Gauss Procedures1996-01-03Econometric and statistical methodsWorking Paper 1996-3https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-3.pdfRegime-Switching Models: A Guide to the Bank of Canada Gauss ProceduresSimon van NordenRobert VigfussonJanuary 1996CC6C63