Narrow search
Showing 1 - 10 of 91
Cover Image
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach
Gravelle, Toni; Li, Fuchun - Bank of Canada - 2011
In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Based...
Persistent link: https://www.econbiz.de/10009326653
Cover Image
Funding Advantage and Market Discipline in the Canadian Banking Sector
Beyhaghi, Mehdi; D'Souza, Chris; Roberts, Gordon S. - Bank of Canada - 2013
We employ a comprehensive data set and a variety of methods to provide evidence on the magnitude of large banks’ funding advantage in Canada, and on the extent to which market discipline exists across different securities issued by the Canadian banks. The banking sector in Canada provides a...
Persistent link: https://www.econbiz.de/10010723573
Cover Image
Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate
Garcia, Alejandro; Prokopiw, Andrei - Bank of Canada - 2010
Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods. The authors...
Persistent link: https://www.econbiz.de/10008631205
Cover Image
Volatility and Liquidity Costs
Chaker, Selma - Bank of Canada - 2013
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...
Persistent link: https://www.econbiz.de/10010686953
Cover Image
Volatility Forecasting when the Noise Variance Is Time-Varying
Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013
This paper explores the volatility forecasting implications of a model in which the friction in high-frequency prices is related to the true underlying volatility. The contribution of this paper is to propose a framework under which the realized variance may improve volatility forecasting if the...
Persistent link: https://www.econbiz.de/10010723571
Cover Image
A Distributional Approach to Realized Volatility
Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013
This paper proposes new measures of the integrated variance, measures which use high-frequency bid-ask spreads and quoted depths. The traditional approach assumes that the mid-quote is a good measure of frictionless price. However, the recent high-frequency econometric literature takes the...
Persistent link: https://www.econbiz.de/10010723572
Cover Image
Structural Change and Forecasting Long-Run Energy Prices
Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2004
The authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using...
Persistent link: https://www.econbiz.de/10005808343
Cover Image
Mixed Frequency Forecasts for Chinese GDP
Maier, Philipp - Bank of Canada - 2011
We evaluate different approaches for using monthly indicators to predict Chinese GDP for the current and the next quarter (‘nowcasts’ and ‘forecasts’, respectively). We use three types of mixed-frequency models, one based on an economic activity indicator (Liu et al., 2007), one based on...
Persistent link: https://www.econbiz.de/10008925848
Cover Image
Forecasting the Price of Oil
Alquist, Ron; Kilian, Lutz; Vigfusson, Robert J. - Bank of Canada - 2011
We address some of the key questions that arise in forecasting the price of crude oil. What do applied forecasters need to know about the choice of sample period and about the tradeoffs between alternative oil price series and model specifications? Are real or nominal oil prices predictable...
Persistent link: https://www.econbiz.de/10009326651
Cover Image
Real-Time Forecasts of the Real Price of Oil
Baumeister, Christiane; Kilian, Lutz - Bank of Canada - 2011
striking contrast to related results in the literature for asset prices. In particular, recursive vector autoregressive (VAR … prices, forecasts based on AR and ARMA models, and the no-change forecast. In addition, these VAR models have consistently … higher directional accuracy. We demonstrate how with additional identifying assumptions such VAR models may be used not only …
Persistent link: https://www.econbiz.de/10009326652