C11 - Bayesian Analysis: General

• Monetary Policy Transmission during Financial Crises: An Empirical Analysis

  Staff Working Paper 2014-21 Tatjana Dahlhaus

  This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial markets, Transmission of monetary policy JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, E4, E44, G, G0, G01

• Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound

  Staff Working Paper 2012-21 Christiane Baumeister, Luca Benati

  We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Interest rates, Monetary policy framework, Transmission of monetary policy JEL Code(s): C, C1, C11, C3, C32, E, E5, E52, E58

• On Fiscal Multipliers: Estimates from a Medium Scale DSGE Model

  Staff Working Paper 2010-30 Sarah Zubairy

  This paper contributes to the debate on fiscal multipliers, in the context of a structural model. I estimate a micro-founded dynamic stochastic general equilibrium model, that features a rich fiscal policy block and a transmission mechanism for government spending shocks, using Bayesian techniques for US data.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Economic models, Fiscal Policy JEL Code(s): C, C1, C11, E, E3, E32, E6, E62, H, H3, H30

• Estimating the Structure of the Payment Network in the LVTS: An Application of Estimating Communities in Network Data

  Staff Working Paper 2010-13 James Chapman, Nellie Zhang

  In the Canadian large value payment system an important goal is to understand how liquidity is transferred through the system and hence how efficient the system is in settling payments. Understanding the structure of the underlying network of relationships between participants in the payment system is a crucial step in achieving the goal.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial stability, Payment clearing and settlement systems JEL Code(s): C, C1, C11, D, D8, D85, G, G2, G20

• Real Time Detection of Structural Breaks in GARCH Models

  Staff Working Paper 2009-31 Zhongfang He, John M. Maheu

  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.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C11, C15, C2, C22, C5, C53

• Which Bank is the "Central" Bank? An Application of Markov Theory to the Canadian Large Value Transfer System

  Staff Working Paper 2008-42 Morten Bech, James Chapman, Rod Garratt

  We use a method similar to Google's PageRank procedure to rank banks in the Canadian Large Value Transfer System (LVTS). Along the way we obtain estimates of the payment processing speeds for the individual banks.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Payment clearing and settlement systems JEL Code(s): C, C1, C11, E, E5, E50, G, G2, G20

• Combining Canadian Interest-Rate Forecasts

  Staff Working Paper 2008-34 David Bolder, Yuliya Romanyuk

  Model risk is a constant danger for financial economists using interest-rate forecasts for the purposes of monetary policy analysis, portfolio allocations, or risk-management decisions. Use of multiple models does not necessarily solve the problem as it greatly increases the work required and still leaves the question "which model forecast should one use?"

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C11, E, E4, E43, E47

• Multilateral Adjustment and Exchange Rate Dynamics: The Case of Three Commodity Currencies

  Staff Working Paper 2007-41 Jeannine Bailliu, Ali Dib, Takashi Kano, Lawrence Schembri

  In this paper, we empirically investigate whether multilateral adjustment to large U.S. external imbalances can help explain movements in the bilateral exchange rates of three commodity currencies – the Australian, Canadian and New Zealand (ACNZ) dollars.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Exchange rates JEL Code(s): C, C1, C11, C2, C22, F, F3, F31, F32