C13 - Estimation: General

• Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

  Staff Analytical Note 2018-34 Andrew Lee-Poy

  In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18

• Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data

  Staff Working Paper 2018-28 Valéry Dongmo Jiongo, Pierre Nguimkeu

  This paper proposes a new bootstrap procedure for mean squared errors of robust small-area estimators. We formally prove the asymptotic validity of the proposed bootstrap method and examine its finite sample performance through Monte Carlo simulations.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C1, C13, C15, C8, C83, E, E4, E41

• New Housing Registrations as a Leading Indicator of the BC Economy

  Staff Discussion Paper 2016-3 Calista Cheung, Dmitry Granovsky

  Housing starts and building permits data are commonly used as leading indicators of economic activity. In British Columbia, all new homes must be registered with the Homeowner Protection Office, a branch of BC Housing, before the issuance of building permits and the start of construction.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Business fluctuations and cycles, Housing, Regional economic developments JEL Code(s): C, C1, C13, C5, C53, E, E3, E32, E37

• Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption

  Staff Working Paper 2015-47 Bruno Albuquerque, Georgi Krustev

  Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007, in the aftermath of the housing bubble.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Credit and credit aggregates, Econometric and statistical methods, International topics JEL Code(s): C, C1, C13, C2, C23, C5, C52, D, D1, D12, H, H3, H31

• Sheep in Wolf’s Clothing: Using the Least Squares Criterion for Quantile Estimation

  Staff Working Paper 2014-24 Heng Chen

  Estimation of the quantile model, especially with a large data set, can be computationally burdensome. This paper proposes using the Gaussian approximation, also known as quantile coupling, to estimate a quantile model.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C13, C14, C2, C21

• A New Linear Estimator for Gaussian Dynamic Term Structure Models

  Staff Working Paper 2013-10 Antonio Diez de los Rios

  This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Asset Pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

• Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

  Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau

  Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Econometric and statistical methods, Financial Institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33

• Semi-Structural Models for Inflation Forecasting

  Staff Working Paper 2010-34 Maral Kichian, Rumler Fabio, Paul Corrigan

  We propose alternative single-equation semi-structural models for forecasting inflation in Canada, whereby structural New Keynesian models are combined with time-series features in the data. Several marginal cost measures are used, including one that in addition to unit labour cost also integrates relative price shocks known to play an important role in open-economies.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C53, E, E3, E31

• Structural Inflation Models with Real Wage Rigidities: The Case of Canada

  Staff Working Paper 2009-21 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

  Real wage rigidities have recently been proposed as a way of building intrinsic persistence in inflation within the context of New Keynesian Phillips Curves. Using two recent illustrative structural models, we evaluate empirically the importance of real wage rigidities in the data and the extent to which such models provide useful information regarding price stickiness.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Inflation and prices, Labour markets JEL Code(s): C, C1, C13, C5, C52, E, E3, E31

• Assessing Indexation-Based Calvo Inflation Models

  Staff Working Paper 2009-7 Jean-Marie Dufour, Lynda Khalaf, Maral Kichian

  Using identification-robust methods, the authors estimate and evaluate for Canada and the United States various classes of inflation equations based on generalized structural Calvo-type models. The models allow for different forms of frictions and vary in their assumptions regarding the type of price indexation adopted by firms.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C5, C52, E, E3, E31