Econometric and statistical methods

• Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

  Staff Working Paper 2013-16 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12

• What Central Bankers Need to Know about Forecasting Oil Prices

  Staff Working Paper 2013-15 Christiane Baumeister, Lutz Kilian

  Forecasts of the quarterly real price of oil are routinely used by international organizations and central banks worldwide in assessing the global and domestic economic outlook, yet little is known about how best to generate such forecasts. Our analysis breaks new ground in several dimensions.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, E, E3, E32, Q, Q4, Q43
• May 16, 2013

  Explaining Canada’s Regional Migration Patterns

  Bank of Canada Review - Spring 2013 David Amirault, Daniel de Munnik, Sarah Miller

  Understanding the factors that determine the migration of labour between regions is crucial for assessing the economy’s response to macroeconomic shocks and identifying policies that will encourage an efficient reallocation of labour. By examining the determinants of migration within Canada from 1991 to 2006, this article provides evidence that regional differences in employment rates and household incomes tend to increase labour migration, and that provincial borders and language differences are barriers to migration.

  Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Econometric and statistical methods, Labour markets, Regional economic developments JEL Code(s): J, J6, J61, R, R2, R23

• A Semiparametric Early Warning Model of Financial Stress Events

  Staff Working Paper 2013-13 Ian Christensen, Fuchun Li

  The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17

• Forecasting with Many Models: Model Confidence Sets and Forecast Combination

  Staff Working Paper 2013-11 Jon D. Samuels, Rodrigo Sekkel

  A longstanding finding in the forecasting literature is that averaging forecasts from different models often improves upon forecasts based on a single model, with equal weight averaging working particularly well. This paper analyzes the effects of trimming the set of models prior to averaging.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C53

• A New Linear Estimator for Gaussian Dynamic Term Structure Models

  Staff Working Paper 2013-10 Antonio Diez de los Rios

  This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

• Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

  Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau

  Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33

• The Effects of Oil Price Uncertainty on the Macroeconomy

  Staff Working Paper 2012-40 Soojin Jo

  This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, Q, Q4, Q43
• November 15, 2012

  The Changing Landscape for Retail Payments in Canada and the Implications for the Demand for Cash

  Bank of Canada Review - Autumn 2012 Carlos Arango, Kim Huynh, Ben Fung, Gerald Stuber

  Over the past 20 years, there has been a major shift away from the use of paper-based retail payment instruments, such as cash and cheques, toward electronic means of payment, such as debit cards and credit cards. Recent Bank of Canada research on consumers’ choice of payment instruments indicates that cash is frequently used for transactions with low values because of its speed, ease of use and wide acceptance, while debit and credit cards are more commonly used for transactions with higher values because of perceived attributes such as safety and record keeping. While innovations in retail payments currently being introduced into the Canadian marketplace could lead to a further reduction in the use of cash over the longer term, the implications for the use of cash of some of the structural and regulatory developments under way are less clear.

  Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Bank notes, Econometric and statistical methods, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C8, C83, E, E4, E42, G, G2, G28

• Forecasting Inflation and the Inflation Risk Premiums Using Nominal Yields

  Staff Working Paper 2012-37 Bruno Feunou, Jean-Sébastien Fontaine

  We provide a decomposition of nominal yields into real yields, expectations of future inflation and inflation risk premiums when real bonds or inflation swaps are unavailable or unreliable due to their relative illiquidity.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Inflation and prices, Interest rates JEL Code(s): E, E4, E43, E47, G, G1, G12