Ramdane Djoudad - Latest

• Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

  Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau

  Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33

• A Framework to Assess Vulnerabilities Arising from Household Indebtedness Using Microdata

  Staff Discussion Paper 2012-3 Ramdane Djoudad

  Rising levels of household indebtedness have created concerns about the vulnerabilities of households to adverse economic shocks and the impact on financial stability. To assess these risks, the author presents a formal stress-testing framework that uses microdata to simulate how various economic shocks affect the distribution of the debt-service ratio (DSR) for the household sector.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C15, C3, C31, D, D1, D14, E, E5, E51
• June 20, 2010

  The Bank of Canada’s Analytic Framework for Assessing the Vulnerability of the Household Sector

  Financial System Review - June 2010 Ramdane Djoudad

  Content Type(s): Publications, Financial System Review articles

• Simulations du ratio du service de la dette des consommateurs en utilisant des données micro

  Staff Working Paper 2009-18 Ramdane Djoudad

  The author constructs a formal analytic framework to simulate the impact of various economic shocks on the household debt-service ratio, using data from the Canadian Financial Monitor (CFM) survey.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C15, C3, C31, D, D1, D14, E, E5, E51
• June 17, 2008

  A Tool for Assessing Financial Vulnerabilities in the Household Sector

  Bank of Canada Review - Summer 2008 Shubhasis Dey, Ramdane Djoudad, Yaz Terajima

  In this article, the authors build on the framework used in the Bank of Canada's Financial System Review to assess the evolution of household indebtedness and financial vulnerabilities in response to changing economic conditions. To achieve this, they first compare two microdata sets generated by Ipsos Reid's Canadian Financial Monitor and Statistics Canada's Survey of Financial Security. They find that the surveys are broadly comparable, despite methodological differences. This enables them to use the combined information content for the identification of the threshold value of the debt-service ratio (DSR). The article then presents an innovative framework that uses household-level microdata to simulate changes in the distribution of the DSR under various stress scenarios. The authors show how this framework can be used by analyzing the effects of two different scenarios on the distribution of the debt-service ratio and the impact on vulnerable households. This tool will enable researchers to refine their analyses of current risks to the financial health of Canadian households. The article concludes with comments on future directions for refining the Bank's analyses of household sector risk.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Econometric and statistical methods, Economic models, Financial stability

• Regime Shifts in the Indicator Properties of Narrow Money in Canada

  Staff Working Paper 2006-6 Tracy Chan, Ramdane Djoudad, Jackson Loi

  Financial innovations and the removal of the reserve requirements in the early 1990s have made the distinction between demand and notice deposits arbitrary.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary aggregates JEL Code(s): E, E4, E40, E42, E5, E50

• Does Financial Structure Matter for the Information Content of Financial Indicators?

  Staff Working Paper 2005-33 Ramdane Djoudad, Jack Selody, Carolyn A. Wilkins

  Of particular concern to monetary policy-makers is the considerable unreliability of financial variables for predicting GDP growth and inflation.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Inflation and prices, Interest rates, Monetary aggregates JEL Code(s): E, E3, E31, E32
• June 25, 2005

  Changes in the Indicator Properties of Narrow Monetary Aggregates

  Bank of Canada Review - Summer 2005 Tracy Chan, Ramdane Djoudad, Jackson Loi

  Although many countries have abandoned monetary targeting in recent decades, monetary aggregates are still useful indicators of future economic activity. Past research has shown that, compared with other monetary aggregates and expressed in real terms, net M1 and gross M1 have traditionally provided superior leading information for output growth.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Monetary aggregates, Monetary and financial indicators

• A Small Dynamic Hybrid Model for the Euro Area

  Staff Working Paper 2003-19 Ramdane Djoudad, Céline Gauthier

  The authors estimate and solve a small structural model for the euro area over the 1983–2000 period. Given the assumption of rational expectations, the model implies a set of orthogonality conditions that provide the basis for estimating the model's parameter by generalized method of moments.

  Content Type(s): Staff research, Staff working papers Topic(s): Monetary policy transmission JEL Code(s): E, E3, E31

• Quelques résultats empiriques relatifs à l'évolution du taux de change Canada/États-Unis

  Staff Working Paper 2000-4 Ramdane Djoudad, David Tessier

  This paper explores the extent to which factors other than commodity and energy prices may have contributed to the Canadian dollar's depreciation since the early 1970s. The variables considered include among others budgetary conditions and productivity.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates JEL Code(s): F, F3, F31