F4 - Macroeconomic Aspects of International Trade and Finance

• The Impact of the Global Business Cycle on Small Open Economies: A FAVAR Approach for Canada

  Staff Working Paper 2011-2 Garima Vasishtha, Philipp Maier

  Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260 series for 20 OECD countries to analyze how global developments affect the Canadian economy.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, International topics JEL Code(s): C, C3, C32, F, F4, F41

• Financial Spillovers Across Countries: The Case of Canada and the United States

  Staff Discussion Paper 2011-1 Kimberly Beaton, Brigitte Desroches

  The authors investigate financial spillovers across countries with an emphasis on the effect of shocks to financial conditions in the United States on financial conditions and economic activity in Canada. These questions are addressed within a global vector autoregression model.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Economic models, Financial stability, International topics JEL Code(s): E, E2, E27, E3, E32, F, F3, F36, F4, F40