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2976 Results

Real Time Detection of Structural Breaks in GARCH Models

Staff Working Paper 2009-31 Zhongfang He, John M. Maheu
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time.
Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53

On the Nexus of Monetary Policy and Financial Stability: Is the Financial System More Resilient?

Staff Discussion Paper 2016-12 Patricia Palhau Mora, Michael Januska
Monetary policy and financial stability are closely intertwined, and the resilience of the financial system carries weight in this relationship. This paper explores whether the financial system is more resilient as a result of the G20’s post-crisis agenda for financial regulatory reform.

Computing Optimal Policy in a Timeless-Perspective: An Application to a Small-Open Economy

Staff Working Paper 2007-32 Michel Juillard, Florian Pelgrin
Since the contribution of Kydland and Prescott (1977), it is well known that the optimal Ramsey policy is time inconsistent. In a series of recent contributions, Woodford (2003) proposes a new methodology to circumvent this problem, namely the timeless perspective solution.
Content Type(s): Staff research, Staff working papers Research Topic(s): Monetary policy framework JEL Code(s): C, C6, E, E5, E6
March 22, 2018

Financial Stability: Taking Care of Unfinished Business

Remarks Carolyn A. Wilkins Rotman School of Management conference Toronto, Ontario
Senior Deputy Governor Carolyn A. Wilkins discusses three areas in which work remains to be done to improve financial stability.
November 15, 2012

Access, Competition and Risk in Centrally Cleared Markets

Central counterparties can make over-the-counter markets more resilient and reduce systemic risk by mitigating and managing counterparty credit risk. These benefits are maximized when access to central counterparties is available to a wide range of market participants. In an over-the-counter market, there is an important trade-off between risk and competition. A model of an over-the-counter market shows how risk and competition could be influenced by the incentives of market participants as they move to central clearing. In a centrally cleared market, there may be less risk when participation is high. This helps to explain why regulators have put in place requirements for fair, open and risk-based access criteria.

COVID-19 and Financial Stability: Practice Ahead of Theory

Staff Discussion Paper 2022-18 Jing Yang, Hélène Desgagnés, Grzegorz Halaj, Yaz Terajima
The COVID-19 pandemic uncovered policy challenges related to the economic measures that were taken to support the economy. Two years later, we attempt to identify the broader impact of these measures and research that needs to follow.

Perceived Inflation Persistence

Staff Working Paper 2013-43 Monica Jain
The Survey of Professional Forecasters (SPF) has had vast influence on research related to better understanding expectation formation and the behaviour of macroeconomic agents. Inflation expectations, in particular, have received a great deal of attention, since they play a crucial role in determining real interest rates, the expectations-augmented Phillips curve and monetary policy.
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