Measuring financial stress in a developed country: An application to Canada
M Illing, Y Liu - Journal of Financial stability, 2006 - Elsevier
This paper develops an index of financial stress for the Canadian financial system. It is a
continuous variable with a spectrum of values, where extreme values are called financial …
continuous variable with a spectrum of values, where extreme values are called financial …
[PDF][PDF] An index of financial stress for Canada
M Illing, Y Liu - 2003 - core.ac.uk
The authors develop an index of financial stress for the Canadian financial system. Stress is
defined as the force exerted on economic agents by uncertainty and changing expectations …
defined as the force exerted on economic agents by uncertainty and changing expectations …
How successful are dynamic factor models at forecasting output and inflation? A meta‐analytic approach
S Eickmeier, C Ziegler - Journal of Forecasting, 2008 - Wiley Online Library
This paper uses a meta‐analysis to survey existing factor forecast applications for output
and inflation and assesses what causes large factor models to perform better or more poorly …
and inflation and assesses what causes large factor models to perform better or more poorly …
[PDF][PDF] Financial conditions indexes for Canada
C Gauthier, C Graham, Y Liu - 2004 - bankofcanada.ca
Financial Conditions Indexes for Canada Page 1 Bank of Canada Banque du Canada Working
Paper 2004-22 / Document de travail 2004-22 Financial Conditions Indexes for Canada by …
Paper 2004-22 / Document de travail 2004-22 Financial Conditions Indexes for Canada by …
Factor Models and Time‐Varying Parameter Framework for Forecasting Exchange Rates and Inflation: A Survey
L Kavtaradze, M Mokhtari - Journal of Economic Surveys, 2018 - Wiley Online Library
A survey of models used for forecasting exchange rates and inflation reveals that the factor‐
based and time‐varying parameter or state space models generate superior forecasts …
based and time‐varying parameter or state space models generate superior forecasts …
Forecasting austrian inflation
G Moser, F Rumler, J Scharler - Economic Modelling, 2007 - Elsevier
In this paper we apply factor models proposed by Stock and Watson [Stock, JH, Watson,
MW, 1999. Forecasting inflation. Journal of Monetary Economics 44 (2), 293–335.] as well …
MW, 1999. Forecasting inflation. Journal of Monetary Economics 44 (2), 293–335.] as well …
Forecasting the US real house price index: Structural and non-structural models with and without fundamentals
We employ a 10-variable dynamic structural general equilibrium model to forecast the US
real house price index as well as its downturn in 2006: Q2. We also examine various …
real house price index as well as its downturn in 2006: Q2. We also examine various …
A large canadian database for macroeconomic analysis
O Fortin‐Gagnon, M Leroux… - Canadian Journal of …, 2022 - Wiley Online Library
This paper provides a large‐scale Canadian macroeconomic database and shows its
usefulness for empirical macroeconomic analysis. The data set contains hundreds of …
usefulness for empirical macroeconomic analysis. The data set contains hundreds of …
A large factor model for forecasting macroeconomic variables in South Africa
This paper uses large Factor Models (FMs), which accommodate a large cross-section of
macroeconomic time series for forecasting the per capita growth rate, inflation, and the …
macroeconomic time series for forecasting the per capita growth rate, inflation, and the …
Forecasting national activity using lots of international predictors: An application to New Zealand
S Eickmeier, T Ng - International Journal of Forecasting, 2011 - Elsevier
We assess the marginal predictive content of a large international dataset for forecasting
GDP in New Zealand, an archetypal small open economy. We apply “data-rich” factor and …
GDP in New Zealand, an archetypal small open economy. We apply “data-rich” factor and …