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2333
result(s)
Which Parametric Model for Conditional Skewness?
Staff Working Paper 2013-32
Bruno Feunou,
Mohammad R. Jahan-Parvar,
Roméo Tedongap
This paper addresses an existing gap in the developing literature on conditional skewness. We develop a simple procedure to evaluate parametric conditional skewness models. This procedure is based on regressing the realized skewness measures on model-implied conditional skewness values.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C2,
C22,
C5,
C51,
G,
G1,
G12,
G15
The ‘Celtic Crisis’: Guarantees, Transparency and Systemic Liquidity Risk
Staff Working Paper 2013-31
Philipp König,
Kartik Anand,
Frank Heinemann
Bank liability guarantee schemes have traditionally been viewed as costless measures to shore up investor confidence and prevent bank runs. However, as the experiences of some European countries, most notably Ireland, have demonstrated, the credibility and effectiveness of these guarantees are crucially intertwined with the sovereign’s funding risks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial stability,
Financial system regulation and policies
JEL Code(s):
D,
D8,
D89,
G,
G0,
G01,
G2,
G28
Endogenous Trade Participation with Incomplete Exchange Rate Pass-Through
Staff Working Paper 2013-30
Yuko Imura
This paper investigates the implications of endogenous trade participation for international business cycles, trade flow dynamics and exchange rate pass-through when price adjustments are staggered across firms.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Exchange rates,
International topics
JEL Code(s):
F,
F1,
F12,
F4,
F44
Volatility and Liquidity Costs
Staff Working Paper 2013-29
Selma Chaker
Observed high-frequency prices are contaminated with liquidity costs or market microstructure noise. Using such data, we derive a new asset return variance estimator inspired by the market microstructure literature to explicitly model the noise and remove it from observed returns before estimating their variance.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets,
Market structure and pricing
JEL Code(s):
C,
C1,
C14,
C5,
C51,
C58,
G,
G2,
G20
Forecasting the Real Price of Oil in a Changing World: A Forecast Combination Approach
Staff Working Paper 2013-28
Christiane Baumeister,
Lutz Kilian
The U.S. Energy Information Administration regularly publishes short-term forecasts of the price of crude oil.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
Q,
Q4,
Q43
Analyzing Fiscal Sustainability
Staff Working Paper 2013-27
Huixin Bi,
Eric M. Leeper
The authors study the implications of fiscal policy behaviour for sovereign risk in a framework that determines a country’s fiscal limit, the point at which, for economic or political reasons, taxes and spending can no longer adjust to stabilize debt.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy
JEL Code(s):
E,
E6,
E62,
E65,
H,
H6,
H63
Uncertain Fiscal Consolidations
Staff Working Paper 2013-26
Huixin Bi,
Eric M. Leeper,
Campbell Leith
The paper explores the macroeconomic consequences of fiscal consolidations whose timing and composition - either tax- or spending-based - are uncertain.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Economic models,
Fiscal policy,
Monetary policy and uncertainty
JEL Code(s):
E,
E6,
E62,
E63,
H,
H3,
H30,
H6,
H60
Are Product Spreads Useful for Forecasting? An Empirical Evaluation of the Verleger Hypothesis
Staff Working Paper 2013-25
Christiane Baumeister,
Lutz Kilian,
Xiaoqing Zhou
Notwithstanding a resurgence in research on out-of-sample forecasts of the price of oil in recent years, there is one important approach to forecasting the real price of oil which has not been studied systematically to date.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
C,
C5,
C53,
G,
G1,
G15,
Q,
Q4,
Q43
August 15, 2013
CSI: A Model for Tracking Short-Term Growth in Canadian Real GDP
Canada’s Short-Term Indicator (CSI) is a new model that exploits the information content of 32 indicators to produce daily updates to forecasts of quarterly real GDP growth. The model is a data-intensive, judgment-free approach to short-term forecasting. While CSI’s forecasts at the start of the quarter are not very accurate, the model’s accuracy increases appreciably as more information becomes available. CSI is the latest addition to a wide range of models and information sources that the Bank of Canada uses, combined with expert judgment, to produce its short-term forecasts.
Content Type(s):
Publications,
Bank of Canada Review articles
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
E,
E1,
E17,
E3,
E37