ElasticSearch Score: 6.2049837
The authors examine how the use of extreme value theory yields collateral requirements that are robust to extreme fluctuations in the market price of the asset used as collateral.
ElasticSearch Score: 6.1746163
This equilibrium model explains the trend in long-term yields and business-cycle movements in short-term yields and yield spreads. The less-frequent inverted yield curves (and less-frequent recessions) after the 1990s are due to recent secular stagnation and procyclical inflation expectations.
ElasticSearch Score: 6.173794
Modeling and estimating persistent discrete data can be challenging. In this paper, we use an autoregressive panel probit model where the autocorrelation in the discrete variable is driven by the autocorrelation in the latent variable. In such a non-linear model, the autocorrelation in an unobserved variable results in an intractable likelihood containing high-dimensional integrals.
ElasticSearch Score: 6.0977697
Using the quantum Monte Carlo algorithm, we study whether quantum computing can improve the run time of economic applications and challenges in doing so. We apply the algorithm to two models: a stress testing bank model and a DSGE model solved with deep learning. We also present innovations in the algorithm and benchmark it to classical Monte Carlo.
ElasticSearch Score: 6.032005
Our study aims to gain insight on financial stability and climate transition risk. We develop a methodological framework that captures the direct effects of a stressful climate transition shock as well as the indirect—or systemic—implications of these direct effects. We apply this framework using data from the Canadian financial system.
ElasticSearch Score: 5.829751
May 13, 1998
Canada’s inflation-control targets establish a specific medium-term objective for monetary policy.
ElasticSearch Score: 5.8188434
In the aftermath of the financial crisis, there is interest in reforming bank regulation such that capital requirements are more closely linked to a bank's contribution to the overall risk of the financial system. In our paper we compare alternative mechanisms for allocating the overall risk of a banking system to its member banks.
ElasticSearch Score: 5.7608714
October 19, 2006
The Canadian economy continues to operate just above its full production capacity, and the near-term outlook for core inflation has moved slightly higher.
ElasticSearch Score: 5.7409744
This paper studies the implications of model uncertainty for wealth distribution in a tractable general equilibrium model with a borrowing constraint and robustness à la Hansen and Sargent (2008). Households confront model uncertainty about the process driving the return of the risky asset, and they choose robust policies.
ElasticSearch Score: 5.6104054
October 23, 2002
Over the past year, Canada’s economy has outperformed the economies of virtually all the other major industrial countries.