How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables Staff Working Paper 2007-1 John Galbraith, Greg Tkacz For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in the unconditional mean. Meteorological forecasts, typically excepting only experimental or exploratory situations, are not reported beyond this horizon; by contrast, little generally accepted information about such maximum horizons is available for economic variables. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53
Canadian City Housing Prices and Urban Market Segmentation Staff Working Paper 2006-49 Jason Allen, Robert Amano, David Byrne, Allan Gregory The authors provide a detailed empirical analysis of Canadian city housing prices. They examine the long-run relationship between city house prices in Canada from 1981 to 2005 as well as idiosyncratic relations between city prices and city-specific variables. Content Type(s): Staff research, Staff working papers Topic(s): Regional economic developments JEL Code(s): C, C2, C22, C3, C32, R, R2
Modelling Term-Structure Dynamics for Risk Management: A Practitioner's Perspective Staff Working Paper 2006-48 David Bolder Modelling term-structure dynamics is an important component in measuring and managing the exposure of portfolios to adverse movements in interest rates. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets, Interest rates JEL Code(s): C, C0, C6, E, E4, G, G1
Stress Testing the Corporate Loans Portfolio of the Canadian Banking Sector Staff Working Paper 2006-47 Miroslav Misina, David Tessier, Shubhasis Dey Stress testing, at its most general level, is an investigation of the performance of an entity under abnormal operating conditions. Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33
Survey-Based Estimates of the Term Structure of Expected U.S. Inflation Staff Working Paper 2006-46 Sharon Kozicki, P. A. Tinsley Surveys provide direct information on expectations, but only short histories are available at quarterly frequencies or for long-horizon expectations. Content Type(s): Staff research, Staff working papers Topic(s): Inflation and prices, Inflation targets, Monetary policy and uncertainty JEL Code(s): E, E3, E5
The Role of Debt and Equity Finance over the Business Cycle Staff Working Paper 2006-45 Francisco Covas, Wouter den Haan The authors show that debt and equity issuance are procyclical for most listed U.S. firms. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Financial stability JEL Code(s): E, E3, G, G1, G3
The Long-Term Effects of Cross-Listing, Investor Recognition, and Ownership Structure on Valuation Staff Working Paper 2006-44 Michael R. King, Dan Segal The authors show that the widening of a foreign firm's U.S. investor base and the improved information environment associated with cross-listing on a U.S. exchange each have a separately identifiable effect on a firm's valuation. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, International topics JEL Code(s): G, G1, G12, G15
ToTEM: The Bank of Canada's New Quarterly Projection Model Technical Report No. 97 Stephen Murchison, Andrew Rennison The authors provide a detailed technical description of the Terms-of-Trade Economic Model (ToTEM), which replaced the Quarterly Projection Model (QPM) in December 2005 as the Bank's principal projection and policy-analysis model for the Canadian economy. Content Type(s): Staff research, Technical reports Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): E, E1, E17, E2, E20, E3, E30, E4, E40, E5, E50, F, F4, F41
Efficient Hedging and Pricing of Equity-Linked Life Insurance Contracts on Several Risky Assets Staff Working Paper 2006-43 Alexander Melnikov, Yuliya Romanyuk The authors use the efficient hedging methodology for optimal pricing and hedging of equity-linked life insurance contracts whose payoff depends on the performance of several risky assets. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets JEL Code(s): D, D8, D81, G, G1, G10, G12
Linking Real Activity and Financial Markets: The Bonds, Equity, and Money (BEAM) Model Staff Working Paper 2006-42 Céline Gauthier, Fuchun Li The authors estimate a small monthly macroeconometric model (BEAM, for bonds, equity, and money) of the Canadian economy built around three cointegrating relationships linking financial and real variables over the 1975–2002 period. Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Financial stability JEL Code(s): C, C5, E, E4