C - Mathematical and Quantitative Methods
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Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence
In this paper, we study the impact of supply shocks on the Canadian real exchange rate. We specify a structural vector-error-correction model that links the real exchange rate to different fundamentals. -
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
This paper continues the work started by Bolder and Stréliski (1999) and considers two alternative classes of models for extracting zero-coupon and forward rates from a set of observed Government of Canada bond and treasury-bill prices. -
Filtering for Current Analysis
This paper shows how existing band-pass filtering techniques and their extension can be applied to the common current-analysis problem of estimating current trends or cycles. -
Evaluating the Quarterly Projection Model: A Preliminary Investigation
This paper summarizes the results of recent research evaluating the Bank of Canada's Quarterly Projection Model (QPM). -
Towards a More Complete Debt Strategy Simulation Framework
An effective technique governments use to evaluate the desirability of different financing strategies involves stochastic simulation. This approach requires the postulation of the future dynamics of key macroeconomic variables and the use of those variables in the construction of a debt charge distribution for each individual financing strategy. -
Risk, Entropy, and the Transformation of Distributions
The exponential family, relative entropy, and distortion are methods of transforming probability distributions. We establish a link between those methods, focusing on the relation between relative entropy and distortion. -
An Introduction to Wavelets for Economists
Wavelets are mathematical expansions that transform data from the time domain into different layers of frequency levels. Compared to standard Fourier analysis, they have the advantage of being localized both in time and in the frequency domain, and enable the researcher to observe and analyze data at different scales. -
Asset Allocation Using Extreme Value Theory
This paper examines asset allocation strategies in an extreme value at risk (VaR) framework in which the risk measure is the p-quantile from the extreme value distribution. The main focus is on the allocation problem faced by an extremely risk-averse institution, such as a central bank. -
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
This paper uses a smooth transition error-correction model (STECM) to model the one-year and five-year mortgage rate changes. The model allows for a non-linear adjustment process of mortgage rates towards their long-run equilibrium.