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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

Volatility and Liquidity Costs

Chaker, Selma - Bank of Canada - 2013

the original noise. Therefore, any volatility estimator that is robust to noise relies on weaker noise assumptions if it …

Persistent link: https://www.econbiz.de/10010686953

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 noise variance is related to the true return volatility. The …

Persistent link: https://www.econbiz.de/10010723571

A Distributional Approach to Realized Volatility

Chaker, Selma; Meddahi, Nour - Bank of Canada - 2013

term, and demonstrates how the quoted depth may be used in the construction of refined realized volatility measures under …

Persistent link: https://www.econbiz.de/10010723572

Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis

Khan, Hashmat - Bank of Canada - 2000

The sticky-price model of aggregate fluctuations implies that countries with high trend inflation rates should exhibit less-persistent output fluctuations than countries with low trend inflation. I conduct a cross-country analysis of output persistence and inflation that takes into account the...

Persistent link: https://www.econbiz.de/10005808297

Semi-Structural Models for Inflation Forecasting

Kichian, Maral; Rumler, Fabio; Corrigan, Paul - Bank of Canada - 2010

We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also...

Persistent link: https://www.econbiz.de/10008764538

Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

Djoudad, Ramdane; Bordeleau, Étienne - Bank of Canada - 2013

Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms. Knowledge of such data is required to assess the impact of shocks on the balance sheets of financial...

Persistent link: https://www.econbiz.de/10010617510

A New Linear Estimator for Gaussian Dynamic Term Structure Models

Rios, Antonio Diez de los - Bank of Canada - 2013

This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization. This new estimator is an asymptotic least squares estimator defined by the no-arbitrage conditions upon which these models are built. We discuss...

Persistent link: https://www.econbiz.de/10010640466

Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation

Chen, Heng - Bank of Canada - 2014

Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model. The intuition of quantile coupling is to divide the original observations...

Persistent link: https://www.econbiz.de/10010783637

Filling in the Blanks: Network Structure and Interbank Contagion

Anand, Kartik; Craig, Ben; Peter, Goetz von - Bank of Canada - 2014

The network pattern of financial linkages is important in many areas of banking and finance. Yet bilateral linkages are often unobserved, and maximum entropy serves as the leading method for estimating counterparty exposures. This paper proposes an efficient alternative that combines...

Persistent link: https://www.econbiz.de/10010783639