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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 … this paper, the authors examine two models recently developed for this purpose: a reduced-form model applied to credit …
Persistent link: https://www.econbiz.de/10003933233
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Institutional mortgage lending in Canada : 1954-1968 ; an econometric analysis
Smith, Lawrence B. - 1973
Persistent link: https://www.econbiz.de/10000668601
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Regulatory changes and financial structure : the case of Canada
Calmès, Christian - 2004
Persistent link: https://www.econbiz.de/10002175247
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Cash Management and Payment Choices: A Simulation Model with International Comparisons
Arango, Carlos; Bouhdaoui, Yassine; Bounie, David; … - Bank of Canada - 2013
Despite various payment innovations, today, cash is still heavily used to pay for low-value purchases. This paper develops a simulation model to test whether standard implications of the theory on cash management and payment choices can explain the use of payment instruments by transaction size....
Persistent link: https://www.econbiz.de/10010849960
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The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments
Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - Bank of Canada - 2005
The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. The authors characterize this lower bound for any...
Persistent link: https://www.econbiz.de/10005162473
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Conditioning Information and Variance Bounds on Pricing Kernels with Higher-Order Moments: Theory and Evidence
Chabi-Yo, Fousseni - Bank of Canada - 2006
The author develops a strategy for utilizing higher moments and conditioning information efficiently, and hence improves on the variance bounds computed by Hansen and Jagannathan (1991, the HJ bound) and Gallant, Hansen, and Tauchen (1990, the GHT bound). The author's bound incorporates variance...
Persistent link: https://www.econbiz.de/10005162488
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Optimization in a Simulation Setting: Use of Function Approximation in Debt Strategy Analysis
Bolder, David Jamieson; Rubin, Tiago - Bank of Canada - 2007
The stochastic simulation model suggested by Bolder (2003) for the analysis of the federal government's debt-management strategy provides a wide variety of useful information. It does not, however, assist in determining an optimal debt-management strategy for the government in its current form....
Persistent link: https://www.econbiz.de/10005673352
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Regime-Switching Models, A guide to the Bank of Canada Gauss Procedures.
Van Norden, S.; Vigfusson, R. - Bank of Canada - 1996
This paper is a user' guide to a set of Guss procedures developed at the Bank of Canada for estimating regime-switching models. The procedure can estimate relatively quickly a wide variety of switching models and so should prove useful to the applied researchers. Sample program listings are...
Persistent link: https://www.econbiz.de/10005673371
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Business Cycle Effects of Credit Shocks in a DSGE Model with Firm Defaults
Pesaran, M. Hashem; Xu, TengTeng - Bank of Canada - 2013
This paper proposes a theoretical framework to analyze the relationship between credit shocks, firm defaults and … volatility, and to study the impact of credit shocks on business cycle dynamics. Firms are identical ex ante but differ ex post … economy. A positive credit shock, defined as a rise in the loan-to-deposit ratio, increases output, consumption, hours and …
Persistent link: https://www.econbiz.de/10010849962
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Canadian Bank Balance-Sheet Management: Breakdown by Types of Canadian Financial Institutions
Chen, David Xiao; Damar, H. Evren; Soubra, Hani; … - Bank of Canada - 2012
The authors document leverage, capital and liquidity ratios of banks in Canada. These ratios are important indicators of different types of risk with respect to a bank’s balance-sheet management. Particular attention is given to the observations by different types of banks, including small...
Persistent link: https://www.econbiz.de/10010849976