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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
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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
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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
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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
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Structural inflation models with real wage rigidities : the case of Canada
Dufour, Jean-Marie; Khalif, Lynda; Kichian, Maral - 2009
stickiness. Structural estimation and testing is carried out using Canadian data and identification-robust methods. Results based …
Persistent link: https://www.econbiz.de/10003933276
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On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk
Chabi-Yo, Fousseni; Ghysels, Eric; Renault, Eric - Bank of Canada - 2008
The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called...
Persistent link: https://www.econbiz.de/10005220952
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Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit
Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2009
-regression (VAR) based estimation and testing procedure that relies on inverting identification-robust multivariate statistics. The …
Persistent link: https://www.econbiz.de/10005256659
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Structural Inflation Models with Real Wage Rigidities: The Case of Canada
Dufour, Jean-Marie; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2009
stickiness. Structural estimation and testing is carried out using Canadian data and identification-robust methods. <br …
Persistent link: https://www.econbiz.de/10005039601
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Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2006
The authors address empirically the implications of structural breaks in the variance-covariance matrix of inflation and import prices for changes in pass-through. They define pass-through within a correlated vector autoregression (VAR) framework as the response of domestic inflation to an...
Persistent link: https://www.econbiz.de/10005808319
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Learning-by-Doing or Habit Formation?
Bouakez, Hafedh; Kano, Takashi - Bank of Canada - 2005
In a recent paper, Chang, Gomes, and Schorfheide (2002) extend the standard real business cycle (RBC) model to allow for a learning-by-doing (LBD) mechanism whereby current labour supply affects future productivity. They show that this feature magnifies the propagation of shocks and improves the...
Persistent link: https://www.econbiz.de/10005808331