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 Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44
May 23, 2004 Bank of Canada Review - Spring 2004 Cover page The Millennial Celebrations in Ancient Rome The coins pictured on the cover range from approximately 20 to 35 mm in diameter and form part of the National Currency Collection, Bank of Canada. Photography by Gord Carter, Ottawa Content Type(s): Publications, Bank of Canada Review
How do Canadians perceive access to cash? Staff Analytical Note 2024-24 Heng Chen, Daneal O’Habib, Hongyu Xiao This paper introduces a subjective measure of cash accessibility in Canada, complementing existing distance-based metrics developed by Chen, O’Habib and Xiao (2023). Analyzing data from the 2023 Methods-of-Payment Survey, this study explores how Canadians perceive their ease of accessing cash from automated banking machines (ABMs) and financial institution branches. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Bank notes, Financial services, Regional economic developments JEL Code(s): J, J1, J15, O, O1, R, R5, R51
The Stochastic Discount Factor: Extending the Volatility Bound and a New Approach to Portfolio Selection with Higher-Order Moments Staff Working Paper 2005-2 Fousseni Chabi-Yo, René Garcia, Eric Renault The authors extend the well-known Hansen and Jagannathan (HJ) volatility bound. HJ characterize the lower bound on the volatility of any admissible stochastic discount factor (SDF) that prices correctly a set of primitive asset returns. Content Type(s): Staff research, Staff working papers Research Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C6, C61, G, G1, G11, G12
August 21, 2002 Monetary Policy and Uncertainty Bank of Canada Review - Summer 2002 Paul Jenkins, David Longworth Central banks must cope with considerable uncertainty about what will happen in the economy when formulating monetary policy. This article describes the different types of uncertainty that arise and looks at examples of uncertainty that the Bank has recently encountered. It then reviews the strategies employed by the Bank to deal with this problem. The other articles in this special issue focus on three of these major strategies. Content Type(s): Publications, Bank of Canada Review articles Research Topic(s): Monetary policy and uncertainty, Monetary policy framework
Measuring Systemic Importance of Financial Institutions: An Extreme Value Theory Approach Staff Working Paper 2011-19 Toni Gravelle, Fuchun Li In this paper, we define a financial institution’s contribution to financial systemic risk as the increase in financial systemic risk conditional on the crash of the financial institution. The higher the contribution is, the more systemically important is the institution for the system. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): C, C1, C14, C5, C58, G, G2, G21, G3, G32
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 Research Topic(s): Econometric and statistical methods, International topics JEL Code(s): E, E3, E32, O, O5, O53, Q, Q4, Q43
December 27, 2005 An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia Financial System Review - December 2005 Marc-André Gosselin, Nicolas Parent Content Type(s): Publications, Financial System Review articles
Forecasting Canadian Time Series with the New Keynesian Model Staff Working Paper 2006-4 Ali Dib, Mohamed Gammoudi, Kevin Moran The authors document the out-of-sample forecasting accuracy of the New Keynesian model for Canada. Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C1, C12, E, E3, E32, E37