E47 - Forecasting and Simulation: Models and Applications

• Estimation and Inference by the Method of Projection Minimum Distance

  Staff Working Paper 2007-56 Òscar Jordà, Sharon Kozicki

  A covariance-stationary vector of variables has a Wold representation whose coefficients can be semi-parametrically estimated by local projections (Jordà, 2005). Substituting the Wold representations for variables in model expressions generates restrictions that can be used by the method of minimum distance to estimate model parameters.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C3, C32, C5, C53, E, E4, E47

• Unanticipated Defaults and Losses in Canada's Large-Value Payments System, Revisited

  Staff Discussion Paper 2007-5 Devin Ball, Walter Engert

  Recent work at the Bank of Canada studied the impact of default in Canada’s large-value payments system, and concluded that participants could readily manage their potential losses (McVanel 2005). In an extension of that work, the authors use a much larger set of daily payments data – with three times as many observations – to […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): E, E4, E44, E47, G, G2, G21

• The Zero Bound on Nominal Interest Rates: Implications for the Optimal Monetary Policy in Canada

  Staff Discussion Paper 2007-1 Claude Lavoie, Hope Pioro

  The authors assess the performance of the Canadian economy under a variety of interest rate rules when the zero bound on nominal interest rates can bind. Their assessment is based on numerical simulations of a dynamic stochastic general-equilibrium model in a stochastic environment. Consistent with the literature, the authors find that the probability and consequences […]

  Content Type(s): Staff research, Staff discussion papers Topic(s): Inflation: costs and benefits, Interest rates, Monetary policy framework JEL Code(s): E, E4, E43, E47, E5, E52