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Meh, Césaire Assah; Quadrini, Vincenzo - 2004

Persistent link: https://www.econbiz.de/10002185890

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

A Semiparametric Early Warning Model of Financial Stress Events

Christensen, Ian; Li, Fuchun - Bank of Canada - 2013

The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. They use a semiparametric panel data model with...

Persistent link: https://www.econbiz.de/10010658798

Bootstrap Tests of Mean-Variance Efficiency with Multiple Portfolio Groupings

Gungor, Sermin; Luger, Richard - Bank of Canada - 2014

. Simulation and empirical results illustrate the usefulness of the joint mean-variance efficiency tests. …

Persistent link: https://www.econbiz.de/10011071652

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 … nonetheless complicated by two challenges. First, performing optimization with traditional techniques in a simulation setting is … address a number of policy questions that could not be fully addressed with the current stochastic simulation engine. …

Persistent link: https://www.econbiz.de/10005673352

Real Time Detection of Structural Breaks in GARCH Models

He, Zhongfang; Maheu, John M. - Bank of Canada - 2009

A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. The method conveniently deals with the path dependence...

Persistent link: https://www.econbiz.de/10008558612

Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices

Dufour, Jean-Marie; Tessier, David - Bank of Canada - 2006

The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Their interest lies in the fact that the dynamics of asset prices can provide key insights--in terms of information--for the conduct of monetary policy, since asset prices...

Persistent link: https://www.econbiz.de/10005162529

Real time detection of structural breaks in GARCH models

He, Zhongfang; Maheu, John M. - 2009

Persistent link: https://www.econbiz.de/10003933353

Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods

Li, Fuchun; Tkacz, Greg - Bank of Canada - 2001

simulation study is performed to compare the performance of the different weighting schemes. The simulation results show that the …

Persistent link: https://www.econbiz.de/10005162494

Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector

Misina, Miroslav; Tessier, David; Dey, Shubhasis - Bank of Canada - 2006

Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. The authors focus on one set of entities--the Canadian banking sector--and investigate losses in the loans portfolio of this sector as a function of changing...

Persistent link: https://www.econbiz.de/10005808305