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A financial conditions index for the United States
Beaton, Kimberly; Lalonde, René; Luu, Corinne - 2009
The financial crisis of 200709 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes...
Persistent link: https://www.econbiz.de/10003933229
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A Financial Conditions Index for the United States
Beaton, Kimberly; Lalonde, René; Luu, Corinne - Bank of Canada - 2009
The financial crisis of 2007-09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes...
Persistent link: https://www.econbiz.de/10005017308
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Consumption, housing collateral, and the Canadian business cycle
Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - 2009
the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in … model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive … correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large …
Persistent link: https://www.econbiz.de/10003933334
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Consumption, Housing Collateral, and the Canadian Business Cycle
Christensen, Ian; Corrigan, Paul; Mendicino, Caterina; … - Bank of Canada - 2009
the value of their housing stock. The purpose of this paper is to quantify the role of collateralized household debt in … model in terms of overall goodness of fit. In particular, the presence of housing collateral generates a positive … correlation between consumption and house prices. Finally we find that housing collateral induced spillovers account for a large …
Persistent link: https://www.econbiz.de/10008566348
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International House Price Cycles, Monetary Policy and Risk Premiums
Bauer, Gregory - Bank of Canada - 2014
case study based on the Canadian housing market is presented. …
Persistent link: https://www.econbiz.de/10011096540
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The Impact of Unanticipated Defaults in Canada's Large Value Transfer System
McVanel, Darcey - Bank of Canada - 2005
Canada's Large Value Transfer System (LVTS) is designed to meet international risk-proofing standards at a minimum cost to participants in terms of collateral requirements. It does so, in part, through collateralized risk-sharing arrangements whereby participants may incur losses if another...
Persistent link: https://www.econbiz.de/10005808389
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Estimating the Policy Rule from Money Market Rates when Target Rate Changes Are Lumpy
Fontaine, Jean-Sébastien - Bank of Canada - 2012
Most central banks effect changes to their target or policy rate in discrete increments (e.g., multiples of 0.25%) following public announcements on scheduled dates. Still, for most applications, researchers rely on the assumption that the policy rate changes linearly with economic conditions...
Persistent link: https://www.econbiz.de/10010598589
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Unanticipated Defaults and Losses in Canada's Large-Value Payments System, Revisited
Ball, Devin; Engert, Walter - Bank of Canada - 2007
Recent work at the Bank of Canada studied the impact of default in Canada's large-value payments system, and concluded that participants could readily manage their potential losses (McVanel 2005). In an extension of that work, the authors use a much larger set of daily payments data - with three...
Persistent link: https://www.econbiz.de/10005673251
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Speculative Behaviour, Regime-Switching and Stock Market Crashes.
Van Norden, S.; Schaller, H. - Bank of Canada - 1996
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability to two very different economic explanations to account for historical crashes.
Persistent link: https://www.econbiz.de/10005673272
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The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach
Garcia, René; Luger, Richard - Bank of Canada - 2005
The authors develop and estimate an equilibrium-based model of the Canadian term structure of interest rates. The proposed model incorporates a vector-autoregression description of key macroeconomic dynamics and links them to those of the term structure, where identifying restrictions are based...
Persistent link: https://www.econbiz.de/10005673296