Staff working papers provide a forum for staff to publish work-in-progress research intended for journal publication.
1320
result(s)
The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates
Staff Working Paper 2016-28
Julien Champagne,
Guillaume Poulin-Bellisle,
Rodrigo Sekkel
We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Central bank research,
Econometric and statistical methods,
Potential output
JEL Code(s):
C,
C3,
C38,
E,
E1,
E17,
E3,
E32
Timing of Banks’ Loan Loss Provisioning During the Crisis
Staff Working Paper 2016-27
Leo de Haan,
Maarten van Oordt
We estimate a panel error correction model for loan loss provisions, using unique supervisory data on flow of funds into and out of the allowance for loan losses of 25 Dutch banks in the post-2008 crisis period. We find that these banks aim for an allowance of 49% of impaired loans.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial institutions,
Financial stability
JEL Code(s):
G,
G0,
G01,
G2,
G21,
G3,
G32
The Impact of Bankruptcy Reform on Insolvency Choice and Consumer Credit
Staff Working Paper 2016-26
Jason Allen,
Kiana Basiri
We examine the impact of the 2009 amendments to the Canadian Bankruptcy and Insolvency Act on insolvency decisions. Rule changes steered debtors out of division I proposals and into the more cost-effective division II proposals.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Credit and credit aggregates,
Financial institutions,
Financial system regulation and policies
JEL Code(s):
D,
D1,
D14,
G,
G2,
K,
K3,
K35
What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks
Staff Working Paper 2016-25
Laurent Ferrara,
Pierre Guérin
This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.
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,
E32,
E4,
E44
Housing and Tax-Deferred Retirement Accounts
Staff Working Paper 2016-24
Anson T. Y. Ho,
Jie Zhou
Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.
Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity
Staff Working Paper 2016-23
Serafin Grundl,
Yu Zhu
This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods
JEL Code(s):
C,
C1,
C14,
C5,
C57,
D,
D4,
D44,
L,
L0,
L00
Estimating Systematic Risk Under Extremely Adverse Market Conditions
Staff Working Paper 2016-22
Maarten van Oordt,
Chen Zhou
This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C1,
C14,
G,
G0,
G01
Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach
Staff Working Paper 2016-21
Fuchun Li,
Hongyu Xiao
We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Econometric and statistical methods,
Financial stability
JEL Code(s):
C,
C1,
C12,
C14,
G,
G0,
G01,
G1,
G17
Retail Order Flow Segmentation
Staff Working Paper 2016-20
Corey Garriott,
Adrian Walton
In August 2012, the New York Stock Exchange launched the Retail Liquidity Program (RLP), a trading facility that enables participating organizations to quote dark limit orders executable only by retail traders.
Content Type(s):
Staff research,
Staff working papers
Topic(s):
Financial markets,
Financial system regulation and policies,
Market structure and pricing
JEL Code(s):
G,
G1,
G14,
G2,
G20,
L,
L1,
L10