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Multivariate Realized Stock Market Volatility<br>

Bauer, Gregory H.; Vorkink, Keith - Bank of Canada - 2007

We present a new matrix-logarithm model of the realized covariance matrix of stock returns. The model uses latent factors which are functions of both lagged volatility and returns. The model has several advantages: it is parsimonious; it does not require imposing parameter restrictions; and, it...

Persistent link: https://www.econbiz.de/10005536896

Forecasting Canadian GDP: Region-Specific versus Countrywide Information

Demers, Frédérick; Dupuis, David - Bank of Canada - 2005

The authors investigate whether the aggregation of region-specific forecasts improves upon the direct forecasting of Canadian GDP growth. They follow Marcellino, Stock, and Watson (2003) and use disaggregate information to predict aggregate GDP growth. An array of multivariate forecasting models...

Persistent link: https://www.econbiz.de/10005162434

Estimation and Inference by the Method of Projection Minimum Distance

Jordà, Òscar; Kozicki, Sharon - Bank of Canada - 2007

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...

Persistent link: https://www.econbiz.de/10005162517

Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices

Dufour, Jean-Marie; Tessier, David - Bank of Canada - 2006

activity or inflation. This is of particular interest in the context of an inflation-targeting regime, where the monetary … policy stance is set according to inflation forecasts. While most empirical studies on causality have examined this issue … criteria. The causality pattern inferred by the authors' procedure is consistent with the Phillips curve (for the inflation …

Persistent link: https://www.econbiz.de/10005162529

Supply Shocks and Real Exchange Rate Dynamics: Canadian Evidence

Gauthier, Celine; Tessier, David - Bank of Canada - 2002

Persistent link: https://www.econbiz.de/10005226960

Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples

Godbout, Marie-Josée; Norden, Simon van - Bank of Canada - 1997

This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research. It also...

Persistent link: https://www.econbiz.de/10005162509

Understanding the Cash Demand Puzzle

Jiang, Janet Hua; Shao, Enchuan - Bank of Canada - 2014

We develop a model to explain a puzzling trend in cash demand in recent years: the value of bank notes in circulation as a percentage of GDP has remained stable despite decreasing cash usage at points of sale owing to competition from alternative means of payment such as credit cards. The main...

Persistent link: https://www.econbiz.de/10010779302

Financial Conditions and the Money-Output Relationship in Canada

Kichian, Maral - Bank of Canada - 2012

We propose a drifting-coefficient model to empirically study the effect of money on output growth in Canada and to examine the role of prevailing financial conditions for that relationship. We show that such a time-varying approach can be a useful way of modelling the impact of money on growth,...

Persistent link: https://www.econbiz.de/10010575967

Credit Constraints and Consumer Spending

Beaton, Kimberly - Bank of Canada - 2009

This paper examines the relationship between aggregate consumer spending and credit availability in the United States. The author finds that consumer spending falls (rises) in response to a reduction (increase) in credit availability. Moreover, she provides a formal assessment of the possibility...

Persistent link: https://www.econbiz.de/10005015331

A Financial Conditions Index for the United States

Beaton, Kimberly; Lalonde, René; Luu, Corinne - Bank of Canada - 2009

The financial crisis of 2007-09 has highlighted the importance of developments in financial conditions for real economic activity. The authors estimate the effect of current and past shocks to financial variables on U.S. GDP growth by constructing two growthbased financial conditions indexes...

Persistent link: https://www.econbiz.de/10005017308