2006
Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns
Antonio Diez de los Rios et René Garcia
Document de travail 2006-31
2006
The Turning Black Tide: Energy Prices and the Canadian Dollar
Ramzi Issa, Robert Lafrance et John Murray
Document de travail 2006-29
2006
Estimation of the Default Risk of Publicly Traded Canadian Companies
Georges Dionne, Sadok Laajimi, Sofiane Mejri et Madalina Petrescu
Document de travail 2006-28
2006
Can Affine Term Structure Models Help Us Predict Exchange Rates?
Antonio Diez de los Rios
Document de travail 2006-27
2006
Using Monthly Indicators to Predict Quarterly GDP
Isabel Yi Zheng et James Rossiter
Document de travail 2006-26
2006
Discrete-time Dynamic Term Structure Models
with Generalized Market Prices of Risk (PDF)
Kenneth Singleton
Acte d'un colloque
2006
Risk-Cost Frontier and Collateral Valuation in Securities Settlement Systems for Extreme Market Events
Alejandro García et Ramazan Gençay
Document de travail 2006-17
2006
Forecasting Commodity Prices: GARCH,
Jumps, and Mean Reversion
Jean-Thomas Bernard, Lynda Khalaf, Maral Kichian et Sebastien McMahon
Document de travail 2006-14
2006
The Federal Reserve's Dual Mandate: A Time-Varying Monetary Policy Priority Index for the United States
René Lalonde et Nicolas Parent
Document de travail 2006-11
2006
Monetary Policy in an Estimated DSGE
Model with a Financial Accelerator
Ian Christensen et Ali Dib
Document de travail 2006-9
2006
Forecasting Canadian Time Series with the New Keynesian Model
Ali Dib, Mohamed Gammoudi et Kevin Moran
Document de travail 2006-4
2006
Money and Credit Factors
Paul D. Gilbert et Erik Meijer
Document de travail 2006-3
2006
Structural Change in Covariance and Exchange Rate Pass-Through: The Case of Canada
Lynda Khalaf et Maral Kichian
Document de travail 2006-2
2006
The Institutional and Political Determinants of Fiscal Adjustment
Robert Lavigne
Document de travail 2006-1
2005
An Evaluation of MLE in a Model of the Nonlinear Continuous-Time Short-Term Interest Rate
Ingrid Lo
Document de travail 2005-45
2005
Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?
Frédérick Demers et Annie De Champlain
Document de travail 2005-44
2005
Modelling and Forecasting Housing
Investment: The Case of Canada
Frédérick Demers
Document de travail 2005-41
2005
An Empirical Analysis of Foreign Exchange Reserves in Emerging Asia
Marc-André Gosselin et Nicolas Parent
Document de travail 2005-38
2005
Testing the Parametric Specification of the
Diffusion Function in a Diffusion Process
Fuchun Li
Document de travail 2005-35
2005
Forecasting Canadian GDP: Region-Specific versus Countrywide Information
Frédérick Demers et David Dupuis
Document de travail 2005-31
2005
Intertemporal Substitution in Macroeconomics: Evidence from a Two-Dimensional Labour Supply Model with Money
Ali Dib et Louis Phaneuf
Document de travail 2005-30
2005
Inflation Dynamics and the New Keynesian Phillips Curve: An Identification-Robust Econometric Analysis
Jean-Marie Dufour, Lynda Khalaf et Maral Kichian
Document de travail 2005-27
2005
Endogenous Central Bank Credibility in a Small Forward-Looking Model of the U.S. Economy
René Lalonde
Document de travail 2005-16
2005
Learning-by-Doing or Habit Formation?
Hafedh Bouakez et Takashi Kano
Document de travail 2005-15
2005
Determinants of Borrowing Limits on Credit Cards
Shubhasis Dey et Gene Mumy
Document de travail 2005-7
Hiver 2004-2005
La dynamique de la courbe de rendement des obligations du gouvernement canadien de 1986 à 2003
Grahame Johnson
Article de la Revue de la Banque du Canada
2004
An Empirical Analysis of the Canadian Term Structure of Zero-Coupon Interest Rates
David J. Bolder, Grahame Johnson et Adam Metzler
Document de travail 2004-48
2004
Une approche éclectique d'estimation du PIB potentiel pour le Royaume-Uni
Charles St-Arnaud
Document de travail 2004-46
2004
Prévision et analyse de la production manufacturière au Canada : comparaison de modèles linéaires et non linéaires
Frédérick Demers
Document de travail 2004-40
2004
A Forecasting Model for Inventory Investments in Canada
Marwan Chacra et Maral Kichian
Document de travail 2004-39
2004
The U.S. New Keynesian Phillips Curve: An Empirical Assessment
Alain Guay et Florian Pelgrin
Document de travail 2004-35
2004
Estimating New Keynesian Phillips
Curves Using Exact Methods
Lynda Khalaf et Maral Kichian
Document de travail 2004-11
2004
Structural Change and Forecasting
Long-Run Energy Prices
Jean-Thomas Bernard, Lynda Khalaf et Maral Kichian
Document de travail 2004-5
2004
Modélisation « PAC » du secteur extérieur de l'économie américaine
Marc-André Gosselin et René Lalonde
Document de travail 2004-3
2004
Exact Tests of Equal Forecast Accuracy with an Application to the Term Structure of Interest Rates
Richard Luger
Document de travail 2004-2
2003
Common Trends and Common Cycles in Canadian Sectoral Output
Francisco Barillas et Christoph Schleicher
Document de travail 2003-44
2003
The Canadian Phillips Curve and Regime Shifting
Frédérick Demers
Document de travail 2003-32
2003
Forecasting and Analyzing World Commodity Prices
René Lalonde, Zhenhua Zhu et Frédérick Demers
Document de travail 2003-24
2003
Dynamic Factor Analysis for Measuring Money
Paul D. Gilbert et Lise Pichette
Document de travail 2003-21
2003
Un modèle « PAC » d'analyse et de prévision des dépenses des ménages américains
Marc-André Gosselin et René Lalonde
Document de travail 2003-13
2003
A Stochastic Simulation Framework for the Government of Canada's Debt Strategy
David Jamieson Bolder
Document de travail 2003-10
2003
Comparing Alternative Output-Gap Estimators: A Monte Carlo Approach
Andrew Rennison
Document de travail 2003-8
2003
Testing the Stability of the Canadian Phillips Curve Using Exact Methods
Lynda Khalaf et Maral Kichian
Document de travail 2003-7
2003
Shift Contagion in Asset Markets
Toni Gravelle, Maral Kichian et James Morley
Document de travail 2003-5
2003
Modélisation et prévision du taux de change réel effectif américain
René Lalonde et Patrick Sabourin
Document de travail 2003-3
2002
The New Phillips Curve in Canada (en anglais seulement, PDF)
Alain Guay, Richard Luger et Zhenhua Zhu
Acte d'un colloque
2002
Oil-Price Shocks and
Retail Energy Prices in Canada
Marwan Chacra
Document de travail 2002-38
2002
Une approche éclectique d'estimation du PIB potentiel américain
Marc-André Gosselin et René Lalonde
Document de travail 2002-36
2002
Exponentials, Polynomials, and Fourier Series: More Yield Curve Modelling at the Bank of Canada
David Jamieson Bolder et Scott Gusba
Document de travail 2002-29
2002
Filtering for Current Analysis
Simon van Norden
Document de travail 2002-28
2002
Towards a More Complete
Debt Strategy Simulation Framework
David Jamieson Bolder
Document de travail 2002-13
2002
Risk, Entropy, and the Transformation of Distributions
R. Mark Reesor et Don L. McLeish
Document de travail 2002-11
2002
An Introduction to Wavelets for Economists
Christoph Schleicher
Document de travail 2002-3
2001
Modelling Mortgage Rate Changes with a Smooth Transition Error-Correction Model
Ying Liu
Document de travail 2001-23
2001
On Inflation and the Persistence of
Shocks to Output
Maral Kichian et Richard Luger
Document de travail 2001-22
2001
A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data
Fuchun Li et Greg Tkacz
Document de travail 2001-21
2001
Evaluating Factor Models: An Application to Forecasting Inflation in Canada
Marc-André Gosselin et Greg Tkacz
Document de travail 2001-18
2001
Affine Term-Structure Models: Theory and Implementation
David Jamieson Bolder
Document de travail 2001-15
2001
Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods
Fuchun Li and Greg Tkacz
Document de travail 2001-12
2001
Testing for a Structural Break in the Volatility of Real GDP Growth in Canada
Alexandre Debs
Document de travail 2001-9
2001
On the Nature and the Stability
of the Canadian Phillips Curve
Maral Kichian
Document de travail 2001-4
2001
Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity
Richard Luger
Document de travail 2001-2
2000
Fractional Cointegration and the Demand for M1
Greg Tkacz
Document de travail 2000-13
2000
Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry
L. Khalaf et M. Kichian
Document de travail 2000-8
2000
Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator
G. Tkacz
Document de travail 2000-5
2000
GAUSS Programs for the Estimation of State-Space Models with ARCH Errors: A User's Guide
M. Kichian
Document de travail 2000-2
1999
Pricing Interest Rate Derivatives in a Non-Parametric Two-Factor Term-Structure Model
J. Knight, F. Li, et M. Yuan
Document de travail 99-19
1999
Forecasting GDP Growth Using Artificial Neural Networks
G. Tkacz et S. Hu
Document de travail 99-3
1998
A Discussion of the Reliability of Results Obtained with Long-Run Identifying Restrictions
P. St-Amant et D. Tessier
Document de travail 98-4
1997
Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples
M.-J. Godbout et S. van Norden
Document de travail 97-1
1997
A Comparison of Alternative Methodologies for Estimating Potential Output and the Output Gap
C. Dupasquier, A. Guay et P. St-Amant
Document de travail 97-5
1996
Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?
S. van Norden et R. Vigfusson
Document de travail 96-11
1996
Unit-Root Tests and Excess Returns
M.-J. Godbout et S. van Norden
Document de travail 96-10
1996
Regime-Switching Models: A Guide to the Bank of Canada Gauss Procedures
S. van Norden et R. Vigfusson
Document de travail 96-3
1996
Do Mechanical Filters Provide a Good Approximation of Business Cycles
A. Guay et P. St-Amant
Rapport technique n° 78
1995
Selection of the Truncation Lag in Structural VARs (or VECMS) with Long-Run Restrictions
A. DeSerres et A. Guay
Document de travail 95-9
1995
Analytical Derivatives for Markov-Switching Models
J. Gable, S. van Norden et R. Vigfusson
Document de travail 95-7
1993
Regime Switching as a Test for Exchange Rate Bubbles
S. van Norden
Copie papier disponible
Document de travail 93-5
1993
State Space and ARMA Models: An Overview of the Equivalence
P. D. Gilbert
Copie papier disponible
Document de travail 93-4
1993
The Implications of Nonstationarity for the Stock-Adjustment Model
R. A. Amano et T. S. Wirjanto
Copie papier disponible
Document de travail 93-1
1992
Unit Root Tests and the Burden of Proof
R. A. Amano et S. van Norden
Copie papier disponible
Document de travail 92-7
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