C1 - Econometric and Statistical Methods and Methodology: General

• Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector

  Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey

  Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33

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

  Staff Working Paper 2006-39 Jean-Marie Dufour, David Tessier

  The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators JEL Code(s): C, C1, C12, C15, C3, C32, C5, C51, C53, E, E5, E52

• Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns

  Staff Working Paper 2006-31 Antonio Diez de los Rios, René Garcia

  Several studies have put forward the non-linear structure and option-like features of returns associated with hedge fund strategies.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial institutions JEL Code(s): C, C1, C5, G, G1

• Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events

  Staff Working Paper 2006-17 Alejandro García, Ramazan Gençay

  The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, G, G0, G1

• Forecasting Canadian Time Series with the New Keynesian Model

  Staff Working Paper 2006-4 Ali Dib, Mohamed Gammoudi, Kevin Moran

  The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C1, C12, E, E3, E32, E37