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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 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

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

Short changed? : the market's reaction to the short sale ban of 2008

Gagnon, Louis; Witmer, Jonathan - 2009

Do short sales restrictions have an impact on security prices? We address this question in the context of a natural experiment surrounding the short sale ban of 2008 using a comprehensive sample of Canadian stocks cross-listed in the U.S. Among financial stocks, which were singled out by the ban...

Persistent link: https://www.econbiz.de/10003933290

Real time detection of structural breaks in GARCH models

He, Zhongfang; Maheu, John M. - 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/10003933353

Why Do Emerging Markets Liberalize Capital Outflow Controls? Fiscal versus Net Capital Flow Concerns

Aizenman, Joshua; Pasricha, Gurnain - Bank of Canada - 2013

stability concerns and concerns about macroeconomic volatility. Emerging markets facing high volatility in net capital inflows … higher appreciation pressures in the exchange market, stock market appreciation, real exchange rate volatility, net capital …

Persistent link: https://www.econbiz.de/10010849944

The Propagation of Industrial Business Cycles

Camacho, Maximo; Leiva-Leon, Danilo - Bank of Canada - 2014

This paper examines the business cycle linkages that propagate industry-specific business cycle shocks throughout the economy in a way that (sometimes) generates aggregated cycles. The transmission of sectoral business cycles is modelled through a multivariate Markov-switching model, which is...

Persistent link: https://www.econbiz.de/10010960395

Money Market Rates and Retail Interest Regulation in China: The Disconnect between Interbank and Retail Credit Conditions

Porter, Nathan; Xu, TengTeng - Bank of Canada - 2013

determinants of market-determined interbank rates, in both levels and volatility. The announcement effects of reserve requirement …

Persistent link: https://www.econbiz.de/10010670841

Structural Change and Forecasting Long-Run Energy Prices

Bernard, Jean-Thomas; Khalaf, Lynda; Kichian, Maral - Bank of Canada - 2004

The authors test the statistical significance of Pindyck’s (1999) suggested class of econometric equations that model the behaviour of long-run real energy prices. The models postulate meanreverting prices with continuous and random changes in their level and trend, and are estimated using...

Persistent link: https://www.econbiz.de/10005808343