Similar Search Results

Electronic transactions as high-frequency indicators of economic activity

Galbraith, John W. (contributor); Tkacz, Greg (contributor) - 2007

or quarterly data supplied by central statistical agencies for macroeconomic modelling and forecasting. However …

Persistent link: https://www.econbiz.de/10003641311

A wave of protectionism? : an analysis of economic and political considerations

Maier, Philipp (contributor) - 2008

In light of the U.S. current account deficit, pressure is high on Asian countries to revalue their currencies. The calls from some U.S. policymakers for tariffs on imports from China has sparked fears that this could trigger a world-wide surge in protectionism. This study evaluates the risk of...

Persistent link: https://www.econbiz.de/10003641330

Inflation targeting and price-level-path targeting in the GEM : some open economy considerations

Coletti, Donald (contributor); Lalonde, René (contributor); … - 2008

This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period. The analysis is conducted in a...

Persistent link: https://www.econbiz.de/10003711669

The real-time properties of the Bank of Canada's staff output gap estimates

Champagne, Julien; Poulin-Bellisle, Guillaume; Sekkel, … - 2016

same drop in magnitude. We then examine the usefulness of real-time gap estimates for forecasting inflation and find no …

Persistent link: https://www.econbiz.de/10011490884

Evaluating the Bank of Canada staff economic projections using a new database of real-time data and forecasts

Champagne, Julien; Bellisle, Guillaume-Poulin; Sekkel, … - 2018

We present a novel database of real-time data and forecasts from the Bank of Canada's staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with...

Persistent link: https://www.econbiz.de/10011921940

CANVAS: a Canadian behavioral agent-based model

Hommes, Cars H.; He, Mario; Poledna, Sebastian; … - 2022 - Last updated: December 19, 2022

forecasting and policy analysis. CANVAS represents a next-generation modelling effort, as it improves upon the previous generation … examine macroeconomic dynamics under significant uncertainty. We assess the out-of-sample forecasting performance of CANVAS … allows for forecasting of the medium-run macroeconomic effects of the economy at the sector level. For instance, this …

Persistent link: https://www.econbiz.de/10013482451

Testing for financial contagion with applications to the Canadian banking system

Li, Fuchun - 2009

The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the...

Persistent link: https://www.econbiz.de/10003852845

Short changed? : the market's reaction to the short sale ban of 2008

Gagnon, Louis; Witmer, Jonathan - 2009

Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

Persistent link: https://www.econbiz.de/10003933290

Financial stress, monetary policy, and economic activity

Li, Fuchun; St-Amant, Pierre - 2010

This paper examines empirically the impact of financial stress on the transmission of monetary policy shocks in Canada. The model used is a threshold vector autoregression in which a regime change occurs if financial stress conditions cross a critical threshold. Using the financial stress index...

Persistent link: https://www.econbiz.de/10003981316

Analyzing default risk and liquidity demand during a financial crisis : the case of Canada

Allen, Jason; Hortaçsu, Ali; Kastl, Jakub - 2011

This paper explores the reliability of using prices of credit default swap contracts (CDS) as indicators of default probabilities during the 2007/2008 financial crisis. We use data from the Canadian financial system to show that these publicly available risk measures, while indicative of initial...

Persistent link: https://www.econbiz.de/10009260883