C - Mathematical and Quantitative Methods

• Market Expectations and Option Prices: Evidence for the Can$/US$ Exchange Rate

  Staff Discussion Paper 2010-2 Alejandro García, Andrei Prokopiw

  Security prices contain valuable information that can be used to make a wide variety of economic decisions. To extract this information, a model is required that relates market prices to the desired information, and that ideally can be implemented using timely and low-cost methods.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Exchange rates, Financial markets JEL Code(s): C, C0, C00, C02, G, G1, G13

• Introducing the Bank of Canada's Projection Model for the Global Economy

  Technical Report No. 99 Jeannine Bailliu, Patrick Blagrave, James Rossiter

  To complement its existing set of tools to analyze and forecast developments in the global economy, the Bank of Canada recently developed a version of the Global Projection Model (GPM) jointly with staff at the International Monetary Fund.

  Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models, International topics JEL Code(s): C, C6, C68, E, E2, E27, E3, E37, F, F0, F01

• Assembling a Real-Financial Micro-Dataset for Canadian Households

  Staff Working Paper 2010-6 Umar Faruqui

  The lack of consolidated Canadian micro data on household balance sheets and expenditures has been an important impediment to empirical research into real-financial linkages in the Canadian household sector. Our paper attempts to fill this data gap by merging household balance sheet data from the Canadian Financial Monitor survey with household expenditure data from the Survey of Household Spending.

  Content Type(s): Staff research, Staff working papers Topic(s): Sectoral balance sheet JEL Code(s): C, C8, C81, D, D1, D10

• Macroprudential Regulation and Systemic Capital Requirements

  Staff Working Paper 2010-4 Céline Gauthier, Alfred Lehar, Moez Souissi

  In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G2, G21

• Estimating DSGE-Model-Consistent Trends for Use in Forecasting

  Staff Working Paper 2009-35 Jean-Philippe Cayen, Marc-André Gosselin, Sharon Kozicki

  The workhorse DSGE model used for monetary policy evaluation is designed to capture business cycle fluctuations in an optimization-based format. It is commonplace to log-linearize models and express them with variables in deviation-from-steady-state format.

  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, E5, E52

• A Consistent Test for Multivariate Conditional Distributions

  Staff Working Paper 2009-34 Fuchun Li, Greg Tkacz

  We propose a new test for a multivariate parametric conditional distribution of a vector of variables y_t given a conditional vector x_t.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22

• Real Time Detection of Structural Breaks in GARCH Models

  Staff Working Paper 2009-31 Zhongfang He, John M. Maheu

  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.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53

• Structural Inflation Models with Real Wage Rigidities: The Case of Canada

  Staff Working Paper 2009-21 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

  Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Labour markets JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• Structural Multi-Equation Macroeconomic Models: Identification-Robust Estimation and Fit

  Staff Working Paper 2009-19 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

  Weak identification is likely to be prevalent in multi-equation macroeconomic models such as in dynamic stochastic general equilibrium setups. Identification difficulties cause the breakdown of standard asymptotic procedures, making inference unreliable.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C5, C52, C53, E, E3, E37

• 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