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2373
result(s)
Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data
Staff Working Paper 2015-24
Pierre Guérin,
Danilo Leiva-Leon
This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Econometric and statistical methods
JEL Code(s):
C,
C5,
C53,
E,
E3,
E32,
E37
Revisiting the Macroeconomic Impact of Oil Shocks in Asian Economies
Staff Working Paper 2015-23
Juncal Cunado,
Soojin Jo,
Fernando Perez de Gracia
This paper analyzes the macroeconomic impact of oil shocks in four of the largest oil-consuming Asian economies, using a structural vector autoregressive model. We identify three different types of oil shocks via sign restrictions: an oil supply shock, an oil demand shock driven by global economic activity and an oil-specific demand shock.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
International topics
JEL Code(s):
E,
E3,
E32,
O,
O5,
O53,
Q,
Q4,
Q43
Sheltered Income: Estimating Income Under-Reporting in Canada, 1998 and 2004
Staff Working Paper 2015-22
Geoffrey R. Dunbar,
Chunling Fu
We use data from the Survey of Financial Security and the Survey of Household Spending to estimate the incidence and extent of income under-reporting in Canada in 1998 and 2004. We estimate that the proportion of households under-reporting income is roughly 35 to 50 per cent in both years.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Domestic demand and components
JEL Code(s):
H,
H2,
H26,
I,
I3,
I32,
K,
K4,
K42
Large-Scale Asset Purchases: Impact on Commodity Prices and International Spillover Effects
Staff Working Paper 2015-21
Sharon Kozicki,
Lena Suchanek,
Eric Santor
Prices of commodities, including metals, energy and agricultural products, rose markedly over the 2009–2010 period. Some observers have attributed a significant part of this increase in commodity prices to the U.S. Federal Reserve’s large-scale asset purchase (LSAP) programs.
Changes in Payment Timing in Canada’s Large Value Transfer System
Staff Working Paper 2015-20
Nellie Zhang
This paper uncovers trends in payment timing in Canada’s Large Value Transfer System (LVTS) from 2003 to 2011. Descriptive analysis shows that LVTS payment activity has not been peaking in the late afternoon since 2008, and the improvement was most significant in 2009.
Content Type(s):
Staff working papers
Topic(s):
Payment clearing and settlement systems
JEL Code(s):
E,
E5,
E50,
G,
G2,
G20
Productive Misallocation and International Transmission of Credit Shocks
Staff Working Paper 2015-19
Yuko Imura,
Julia Thomas
We develop an asymmetric, two-country equilibrium business cycle model to study the role of international trade in transmitting and propagating the real effects of global financial shocks. Our model predicts that a recession in a large economy considerably alters a recession in its smaller trade partner, with distinct investment dynamics driving the transmission.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Business fluctuations and cycles,
Economic models,
Financial markets,
Financial stability,
International topics
JEL Code(s):
E,
E2,
E22,
E3,
E32,
E4,
E44,
F,
F4,
F41,
F44
Government and Private E-Money-Like Systems: Federal Reserve Notes and National Bank Notes
Staff Working Paper 2015-18
Warren E. Weber
The period from 1914 to 1935 in the United States is unique in that it was the only time that both privately-issued bank notes (national bank notes) and central bank-issued bank notes (Federal Reserve notes) were simultaneously in circulation.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Bank notes,
Digital currencies and fintech,
Financial services
JEL Code(s):
E,
E4,
E41,
E42,
E5,
E58
June 11, 2015
Assessing Vulnerabilities in the Canadian Financial System
The authors present the four common cyclical vulnerabilities that appear in financial systems, providing examples of qualitative and quantitative indicators used to monitor these vulnerabilities across different sectors. They also discuss other inputs to the vulnerability assessment and to the internal process used at the Bank of Canada for identifying, evaluating and communicating vulnerabilities and risks, and highlight some of the key challenges in assessing financial system vulnerabilities and risks.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial stability
JEL Code(s):
G,
G0,
G01,
G1,
G10,
G2,
G20
June 11, 2015
Canadian Open-End Mutual Funds: An Assessment of Potential Vulnerabilities
The authors examine the liquidity and leverage characteristics of Canadian long-term, open-end mutual funds in terms of their potential systemic effects on the Canadian mutual fund sector and on the Canadian financial system more broadly. In their overall assessment of this sector, they consider the regulation, market size and ownership structure of mutual funds in Canada and provide observations about the industry globally.
Content Type(s):
Publications,
Financial System Review articles
Topic(s):
Financial institutions,
Financial markets
JEL Code(s):
G,
G2,
G23,
G28