C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• 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

• Estimation and Inference by the Method of Projection Minimum Distance

  Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki

  A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47

• Tracking Canadian Trend Productivity: A Dynamic Factor Model with Markov Switching

  Staff Discussion Paper 2007-12 Michael Dolega

  The author attempts to track Canadian labour productivity over the past four decades using a multivariate dynamic factor model that, in addition to the labour productivity series, includes aggregate compensation and consumption information. Productivity is assumed to switch between two regimes (the high-growth state and the low-growth state) with different trend growth rates according to […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Productivity JEL Code(s): C, C3, C32, O, O4, O5, O51

• The Canadian Business Cycle: A Comparison of Models

  Staff Working Paper 2007-38 Frédérick Demers, Ryan Macdonald

  This paper examines the ability of linear and nonlinear models to replicate features of real Canadian GDP. We evaluate the models using various business-cycle metrics.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37

• Multivariate Realized Stock Market Volatility

  Staff Working Paper 2007-20 Gregory Bauer, Keith Vorkink

  We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C3, C32, C5, C53, G, G1, G14

• Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation

  Staff Working Paper 2007-8 Frédérick Demers, Calista Cheung

  This paper evaluates the performance of static and dynamic factor models for forecasting Canadian real output growth and core inflation on a quarterly basis. We extract the common component from a large number of macroeconomic indicators, and use the estimates to compute out-of-sample forecasts under a recursive and a rolling scheme with different window sizes.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E37

• Canadian City Housing Prices and Urban Market Segmentation

  Staff Working Paper 2006-49 Jason Allen, Robert Amano, David Byrne, Allan Gregory

  The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to 2005 as well as idiosyncratic relations between city prices and city-specific variables.

  Content Type(s): Staff research, Staff working papers Topic(s): Regional economic developments JEL Code(s): C, C2, C22, C3, C32, R, R2

• 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

• Are Canadian Banks Efficient? A Canada–U.S. Comparison

  Staff Working Paper 2006-33 Jason Allen, Walter Engert, Ying Liu

  The authors compare the efficiency of Canada's largest banks with U.S. commercial banks over the past 20 years. Efficiency is measured in three ways.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions JEL Code(s): C, C3, C33, D, D2, D24, G, G2, G21

• A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

  Staff Working Paper 2006-8 Ingrid Lo, Stephen Sapp

  Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial markets JEL Code(s): C, C3, D, D8, F, F3, F31