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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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Predicting Financial Stress Events: A Signal Extraction Approach
Christensen, Ian; Li, Fuchun - Bank of Canada - 2014
The objective of this paper is to propose an early warning system that can predict the likelihood of the occurrence of financial stress events within a given period of time. To achieve this goal, the signal extraction approach proposed by Kaminsky, Lizondo and Reinhart (1998) is used to monitor...
Persistent link: https://www.econbiz.de/10010960397
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Forecasting Canadian Time Series with the New Keynesian Model
Dib, Ali; Gammoudi, Mohamed; Moran, Kevin - Bank of Canada - 2006
The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. They estimate their variant of the model on a series of rolling subsamples, computing out-of-sample forecasts one to eight quarters ahead at each step. They compare these forecasts with those...
Persistent link: https://www.econbiz.de/10005808339
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Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data
Moran, Kevin; Dolar, Veronika - Bank of Canada - 2002
Persistent link: https://www.econbiz.de/10005808368
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The U.S. Capacity Utilization Rate: A New Estimation Approach
René, Lalonde - Bank of Canada - 1999
The recent strengh of the U.S. economy and historically low rates of inflation have sparked considerable debate among economists and Federal Reserve officials. In order to better explain the recent behaviour of inflation, some observers have raised the concept of a non-accelerating inflation...
Persistent link: https://www.econbiz.de/10005808377
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Canada's Pioneering Experience with a Flexible Exchange Rate in the 1950s: (Hard) Lessons Learned for Monetary Policy in a Small Open Economy
Bordo, Michael; Dib, Ali; Schembri, Lawrence - Bank of Canada - 2007
This paper revisits Canada's pioneering experience with floating exchange rate over the period 1950–1962. It examines whether the floating rate was the best option for Canada in the 1950s by developing and estimating a New Keynesian small open economy model of the Canadian economy. The model...
Persistent link: https://www.econbiz.de/10005673297
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Monetary Policy in an Estimated DSGE Model with a Financial Accelerator
Christensen, Ian; Dib, Ali - Bank of Canada - 2006
The authors estimate a sticky-price dynamic stochastic general-equilibrium model with a financial accelerator, à la Bernanke, Gertler, and Gilchrist (1999), to assess the importance of financial frictions in the amplification and propagation of the effects of transitory shocks. Structural...
Persistent link: https://www.econbiz.de/10005673338
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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 … good power to detect financial contagion, and that Forbes and Rigobon's test (2002) is conservative, suggesting that their … test tends not to find evidence of contagion when it does exist. The author’s new test is applied to investigate contagion …
Persistent link: https://www.econbiz.de/10003852845
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Monetary Policy Transmission during Financial Crises: An Empirical Analysis
Dahlhaus, Tatjana - Bank of Canada - 2014
This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a...
Persistent link: https://www.econbiz.de/10010849951
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Credit Market Frictions and Sudden Stops
Imura, Yuko - Bank of Canada - 2014
Financial crises in emerging economies in the 1980s and 1990s often entailed abrupt declines in foreign capital inflows, improvements in trade balance, and large declines in output and total factor productivity (TFP). This paper develops a two-sector small open economy model wherein...
Persistent link: https://www.econbiz.de/10010960399