C - Mathematical and Quantitative Methods

• Credit Risk and Collateral Demand in a Retail Payment System

  Staff Discussion Paper 2016-16 Héctor Pérez Saiz, Gabriel Xerri

  The recent financial crisis has led to the development of new regulations to control risk in designated payment systems, and the implementation of new credit risk management standards is one of the key issues. In this paper, we study various credit risk management schemes for the Canadian retail payment system (ACSS) that are designed to cover the exposure of a defaulting member.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23

• The Real-Time Properties of the Bank of Canada’s Staff Output Gap Estimates

  Staff Working Paper 2016-28 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel

  We study the revision properties of the Bank of Canada’s staff output gap estimates since the mid-1980s. Our results suggest that the average staff output gap revision has decreased significantly over the past 15 years, in line with recent evidence for the U.S.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Central bank research, Econometric and statistical methods, Potential output JEL Code(s): C, C3, C38, E, E1, E17, E3, E32

• What Are the Macroeconomic Effects of High-Frequency Uncertainty Shocks

  Staff Working Paper 2016-25 Laurent Ferrara, Pierre Guérin

  This paper evaluates the effects of high-frequency uncertainty shocks on a set of low-frequency macroeconomic variables that are representative of the U.S. economy. Rather than estimating models at the same common low-frequency, we use recently developed econometric models, which allows us to deal with data of different sampling frequencies.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, E4, E44

• Housing and Tax-Deferred Retirement Accounts

  Staff Working Paper 2016-24 Anson T. Y. Ho, Jie Zhou

  Assets in tax-deferred retirement accounts (TDA) and housing are two major components of household portfolios. In this paper, we develop a life-cycle model to examine the interaction between households’ use of TDA and their housing decisions.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Housing JEL Code(s): C, C6, C61, D, D1, D14, D9, D91, E, E2, E21, H, H2, H24, R, R2, R21

• Identification and Estimation of Risk Aversion in First-Price Auctions with Unobserved Auction Heterogeneity

  Staff Working Paper 2016-23 Serafin Grundl, Yu Zhu

  This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of entry models.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C14, C5, C57, D, D4, D44, L, L0, L00

• Estimating Systematic Risk Under Extremely Adverse Market Conditions

  Staff Working Paper 2016-22 Maarten van Oordt, Chen Zhou

  This paper considers the problem of estimating a linear model between two heavy-tailed variables if the explanatory variable has an extremely low (or high) value. We propose an estimator for the model coefficient by exploiting the tail dependence between the two variables and prove its asymptotic properties.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C14, G, G0, G01

• Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach

  Staff Working Paper 2016-21 Fuchun Li, Hongyu Xiao

  We propose an early warning model for predicting the likelihood of a financial stress event for a given future time, and examine whether credit plays an important role in the model as a non-linear propagator of shocks.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial stability JEL Code(s): C, C1, C12, C14, G, G0, G01, G1, G17

• A General Approach to Recovering Market Expectations from Futures Prices with an Application to Crude Oil

  Staff Working Paper 2016-18 Christiane Baumeister, Lutz Kilian

  Futures markets are a potentially valuable source of information about price expectations. Exploiting this information has proved difficult in practice, because time-varying risk premia often render the futures price a poor measure of the market expectation of the price of the underlying asset.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C5, C53, D, D8, D84, G, G1, G14, Q, Q4, Q43

• Dating Systemic Financial Stress Episodes in the EU Countries

  Staff Working Paper 2016-11 Thibaut Duprey, Benjamin Klaus, Tuomas Peltonen

  This paper introduces a new methodology to date systemic financial stress events in a transparent, objective and reproducible way. The financial cycle is captured by a monthly country-specific financial stress index.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods, Economic models, Financial markets, Financial stability, Financial system regulation and policies, Monetary and financial indicators JEL Code(s): C, C5, C54, G, G0, G01, G1, G15

• Measuring Systemic Risk Across Financial Market Infrastructures

  Staff Working Paper 2016-10 Fuchun Li, Héctor Pérez Saiz

  We measure systemic risk in the network of financial market infrastructures (FMIs) as the probability that two or more FMIs have a large credit risk exposure to the same FMI participant.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial stability, Payment clearing and settlement systems JEL Code(s): C, C5, C58, G, G2, G21, G23