A Semiparametric Early Warning Model of Financial Stress Events Staff Working Paper 2013-13 Ian Christensen, Fuchun Li The authors use the Financial Stress Index created by the International Monetary Fund to predict the likelihood of financial stress events for five developed countries: Canada, France, Germany, the United Kingdom and the United States. 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
Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach Staff Working Paper 2010-36 Sermin Gungor, Richard Luger We develop a finite-sample procedure to test the beta-pricing representation of linear factor pricing models that is applicable even if the number of test assets is greater than the length of the time series. Our distribution-free framework leaves open the possibility of unknown forms of non-normalities, heteroskedasticity, time-varying correlations, and even outliers in the asset returns. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C14, C3, C33, G, G1, G11, G12
A Consistent Test for Multivariate Conditional Distributions Staff Working Paper 2009-34 Fuchun Li, Greg Tkacz We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22
Testing for Financial Contagion with Applications to the Canadian Banking System Staff Working Paper 2009-14 Fuchun Li The author proposes a new test for financial contagion based on a non-parametric measure of the cross-market correlation. The test does not depend on the assumption that the data are drawn from a given probability distribution; therefore, it allows for maximal flexibility in fitting into the data. Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, G, G0, G01, G1, G15
Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices Staff Working Paper 2006-39 Jean-Marie Dufour, David Tessier The authors examine simultaneously the causal links connecting monetary policy variables, real activity, and stock returns. Content Type(s): Staff research, Staff working papers Topic(s): Monetary and financial indicators JEL Code(s): C, C1, C12, C15, C3, C32, C5, C51, C53, E, E5, E52
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 Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Economic models JEL Code(s): C, C1, C12, E, E3, E32, E37
Testing the Parametric Specification of the Diffusion Function in a Diffusion Process Staff Working Paper 2005-35 Fuchun Li A new consistent test is proposed for the parametric specification of the diffusion function in a diffusion process without any restrictions on the functional form of the drift function. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C12, C14
Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates Staff Working Paper 2004-2 Richard Luger The author proposes a class of exact tests of the null hypothesis of exchangeable forecast errors and, hence, of the hypothesis of no difference in the unconditional accuracy of two competing forecasts. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C2, C22, C5, C52, C53
A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data Staff Working Paper 2001-21 Fuchun Li, Greg Tkacz This paper describes a new test for evaluating conditional density functions that remains valid when the data are time-dependent and that is therefore applicable to forecasting problems. We show that the test statistic is asymptotically distributed standard normal under the null hypothesis, and diverges to infinity when the null hypothesis is false. Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C15, E, E3, E37
Testing for a Structural Break in the Volatility of Real GDP Growth in Canada Staff Working Paper 2001-9 Alexandre Debs This study tests for a structural break in the volatility of real GDP growth in Canada following the methodology of McConnell and Quiros (1998). A break is found in the first quarter of 1991. Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E3, E32