Staff Research
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Optimal Monetary Policy during Endogenous Housing-Market Boom-Bust Cycles
This paper uses a small-open economy model for the Canadian economy to examine the optimal Taylor-type monetary policy rule that stabilizes output and inflation in an environment where endogenous boom-bust cycles in house prices can occur. -
Real Time Detection of Structural Breaks in GARCH Models
A sequential Monte Carlo method for estimating GARCH models subject to an unknown number of structural breaks is proposed. Particle filtering techniques allow for fast and efficient updates of posterior quantities and forecasts in real time. -
Measures of Aggregate Credit Conditions and Their Potential Use by Central Banks
Understanding the nature of credit risk has important implications for financial stability. Since authorities – notably, central banks – focus on risks that have systemic implications, it is crucial to develop ways to measure these risks.