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Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances
Gungor, Sermin; Luger, Richard - Bank of Canada - 2013
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. In so doing, we provide an exact distribution-free method to test uniform linear restrictions in multivariate linear...
Persistent link: https://www.econbiz.de/10010667177
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Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach
Gungor, Sermin; Luger, Richard - Bank of Canada - 2010
We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of...
Persistent link: https://www.econbiz.de/10008765828
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Measures of aggregate credit conditions and their potential use by central banks
García, Alejandro; Prokopiw, Andrei - 2009
Understanding the nature of credit risk has important implications for financial stability. Since authorities notably … difficulty lies in finding reliable measures of aggregate credit risk in the economy, as opposed to firmlevel credit risk. In … the type of risk priced in corporate bonds (i.e., credit or liquidity risk). However, although the two models provide …
Persistent link: https://www.econbiz.de/10003933233
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Financial system review
Bank of Canada - Ottawa - 2002,Dez. - 2016,Juni
Persistent link: https://www.econbiz.de/10001727899
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Durées d’utilisation des facteurs et fonction de production : une estimation par la méthode des moments généralisés en système
Heyer, Eric; Pelgrin, Florian; Sylvain, Arnaud - Bank of Canada - 2004
, and they choose the system-generalized method of moments as the reference estimation method. Their estimates yield …
Persistent link: https://www.econbiz.de/10005808313
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Efficiency and Economies of Scale of Large Canadian Banks
Allen, Jason; Liu, Ying - Bank of Canada - 2005
The authors measure the economies of scale of Canada's six largest banks and their cost-efficiency over time. Using a unique panel data set from 1983 to 2003, they estimate pooled translog cost functions and derive measures of relative efficiency and economies of scale. The disaggregation of the...
Persistent link: https://www.econbiz.de/10005808369
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The Employment Costs of Downward Nominal-Wage Rigidity
Farès, J.; Hogan, S. - Bank of Canada - 2000
-wage rigidity, and whether that rigidity is associated with a reduction in employment. We describe an estimation bias that can …
Persistent link: https://www.econbiz.de/10005808403
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Are Canadian Banks Efficient? A Canada--U.S. Comparison
Allen, Jason; Engert, Walter; Liu, Ying - Bank of Canada - 2006
The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways. First, the authors study key performance ratios, and find that Canadian banks are as productive as U.S. banks. Second, they investigate whether...
Persistent link: https://www.econbiz.de/10005162395
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Translog ou Cobb-Douglas? Le rôle des durées d'utilisation des facteurs
Heyer, Eric; Pelgrin, Florian; Sylvain, Arnaud - Bank of Canada - 2004
choose the system-generalized method of moments as the reference estimation method. The authors show that duration of capital …
Persistent link: https://www.econbiz.de/10005536880
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The Effect of the Federal Reserve’s Tapering Announcements on Emerging Markets
Rai1, Vikram; Suchanek, Lena - Bank of Canada - 2014
The Federal Reserve’s quantitative easing (QE) program has been accompanied by a flow of funds into emerging-market economies (EMEs) in search of higher returns. When Federal Reserve officials first mentioned an eventual slowdown and end of purchases under the central bank’s QE program in...
Persistent link: https://www.econbiz.de/10011071651