C - Mathematical and Quantitative Methods

• Futures Markets, Oil Prices and the Intertemporal Approach to the Current Account

  Staff Working Paper 2008-48 Elif Arbatli

  The intertemporal approach to the current account suggests modeling movements in the current account in a forward-looking, dynamic framework. In this framework, the current account reflects consumption smoothing of agents that lend and borrow from the rest of the world in the face of transitory shocks to income.

  Content Type(s): Staff research, Staff working papers Topic(s): Balance of payments and components JEL Code(s): C, C2, C22, F, F2, F21, F3, F32, G, G1, G13

• Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System

  Staff Working Paper 2008-42 Morten Bech, James Chapman, Rodney J. Garratt

  We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment processing speeds for the individual banks.

  Content Type(s): Staff research, Staff working papers Topic(s): Payment clearing and settlement systems JEL Code(s): C, C1, C11, E, E5, E50, G, G2, G20

• Are There Canada-U.S. Differences in SME Financing?

  Staff Working Paper 2008-41 Danny Leung, Césaire Meh, Yaz Terajima

  Previous surveys of Canadian and U.S. business owners suggest that access to financing in Canada may be more problematic than in the United States. Using the 2003 Survey of Small Business Financing in the United States and the 2004 Survey on Financing of Small and Medium Enterprises in Canada, this paper examines whether this perception can be better quantified.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial services JEL Code(s): C, C2, C21, G, G2, G21

• Combining Canadian Interest-Rate Forecasts

  Staff Working Paper 2008-34 David Bolder, Yuliya Romanyuk

  Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C11, E, E4, E43, E47

• Non-Linearities, Model Uncertainty, and Macro Stress Testing

  Staff Working Paper 2008-30 Miroslav Misina, David Tessier

  A distinguishing feature of macro stress testing exercises is the use of macroeconomic models in scenario design and implementation. It is widely agreed that scenarios should be based on "rare but plausible" events that have either resulted in vulnerabilities in the past or could do so in the future.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability JEL Code(s): C, C1, C15, G, G2, G21, G3, G33

• A Structural VAR Approach to Core Inflation in Canada

  Staff Discussion Paper 2008-10 Sylvain Martel

  The author constructs a measure of core inflation using a structural vector autoregression containing oil-price growth, output growth, and inflation. This "macro-founded" measure of inflation forecasts total inflation at least as well as other, atheoretical measures.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Inflation and prices JEL Code(s): C, C5, C53, E, E3, E31

• Empirical Likelihood Block Bootstrapping

  Staff Working Paper 2008-18 Jason Allen, Allan Gregory, Katsumi Shimotsu

  Monte Carlo evidence has made it clear that asymptotic tests based on generalized method of moments (GMM) estimation have disappointing size. The problem is exacerbated when the moment conditions are serially correlated.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C2, C22

• On Portfolio Separation Theorems with Heterogeneous Beliefs and Attitudes towards Risk

  Staff Working Paper 2008-16 Fousseni Chabi-Yo, Eric Ghysels, Eric Renault

  The early work of Tobin (1958) showed that portfolio allocation decisions can be reduced to a two stage process: first decide the relative allocation of assets across the risky assets, and second decide how to divide total wealth between the risky assets and the safe asset. This so called twofund separation relies on special assumptions on either returns or preferences.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial markets, Market structure and pricing JEL Code(s): C, C5, C52, D, D5, D58, G, G1, G11, G12

• Inflation Targeting and Price-Level-Path Targeting in the GEM: Some Open Economy Considerations

  Staff Working Paper 2008-6 Donald Coletti, René Lalonde, Dirk Muir

  This paper compares the performance of simple inflation targeting (IT) and price-level path targeting (PLPT) rules to stabilize the macroeconomy, in response to a series of shocks, similar to those seen in Canada and the United States over the 1983 to 2004 period.

  Content Type(s): Staff research, Staff working papers Topic(s): Economic models, Inflation and prices, Inflation: costs and benefits, Monetary policy framework JEL Code(s): C, C5, C51, C52, E, E1, E17, E3, E31, E5, E52

• What Affects MFP in the Long-Run? Evidence from Canadian Industries

  Staff Working Paper 2008-4 Danny Leung, Yi Zheng

  In this paper we explore variables that may have an impact on multifactor productivity (MFP) in the long-run using the KLEMS database for Canada. We estimate a dynamic heterogeneous panel error-correction model of twelve 2-digit level industries.

  Content Type(s): Staff research, Staff working papers Topic(s): Productivity JEL Code(s): C, C2, C23, D, D2, D24, O, O3, O30