Zhongfang He

Author

Staff discussion papers

Evaluating the Effect of the Bank of Canada's Conditional Commitment Policy

Staff Discussion Paper 2010-11 Zhongfang He
The author evaluates the effect of the Bank of Canada's conditional commitment regarding the target overnight rate on longer-term market interest rates by taking into account the relationship between interest rates, inflation, and unemployment rates.
Content Type(s): Staff research, Staff discussion papers Research Topic(s): Interest rates, Monetary policy implementation, Monetary policy transmission JEL Code(s): E, E4, E5, E6

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Staff working papers

Understanding Systemic Risk: The Trade-Offs between Capital, Short-Term Funding and Liquid Asset Holdings

Staff Working Paper 2010-29 Céline Gauthier, Zhongfang He, Moez Souissi
We offer a multi-period systemic risk assessment framework with which to assess recent liquidity and capital regulatory requirement proposals in a holistic way.
Content Type(s): Staff research, Staff working papers Research Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C15, C8, C81, E, E4, E44, G, G0, G01, G2, G21

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 Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53

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