IDEAS home Printed from https://ideas.repec.org/e/c/ptk1.html
   My authors  Follow this author

Greg Tkacz

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. John W. Galbraith & Greg Tkacz, 2011. "Analyzing Economic Effects of Extreme Events using Debit and Payments System Data," CIRANO Working Papers 2011s-70, CIRANO.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Policy responses > Macroeconomic

Working papers

  1. Galbraith, John W. & Tkacz, Greg, 2015. "Nowcasting GDP with electronic payments data," Statistics Paper Series 10, European Central Bank.

    Cited by:

    1. Pete Richardson, 2018. "Nowcasting and the Use of Big Data in Short-Term Macroeconomic Forecasting: A Critical Review," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 65-87.
    2. Kaustubh & Soumya Bhadury & Saurabh Ghosh, 2024. "Reinvigorating Gva Nowcasting In The Postpandemic Period: A Case Study For India," Bulletin of Monetary Economics and Banking, Bank Indonesia, vol. 27(Spesial I), pages 95-130, Februari.
    3. Ksenia Yakovleva, 2018. "Text Mining-based Economic Activity Estimation," Russian Journal of Money and Finance, Bank of Russia, vol. 77(4), pages 26-41, December.
    4. Ali B. Barlas & Seda Guler Mert & Berk Orkun Isa & Alvaro Ortiz & Tomasa Rodrigo & Baris Soybilgen & Ege Yazgan, 2021. "Big Data Information and Nowcasting: Consumption and Investment from Bank Transactions in Turkey," Papers 2107.03299, arXiv.org.
    5. Tut, Daniel, 2023. "FinTech and the COVID-19 pandemic: Evidence from electronic payment systems," Emerging Markets Review, Elsevier, vol. 54(C).
    6. Mantas Lukauskas & Vaida Pilinkienė & Jurgita Bruneckienė & Alina Stundžienė & Andrius Grybauskas & Tomas Ruzgas, 2022. "Economic Activity Forecasting Based on the Sentiment Analysis of News," Mathematics, MDPI, vol. 10(19), pages 1-22, September.
    7. Diego Bodas & Juan R. García López & Tomasa Rodrigo López & Pep Ruiz de Aguirre & Camilo A. Ulloa & Juan Murillo Arias & Juan de Dios Romero Palop & Heribert Valero Lapaz & Matías J. Pacce, 2019. "Measuring retail trade using card transactional data," Working Papers 1921, Banco de España.
    8. Irving Fisher Committee, 2023. "Data science in central banking: applications and tools," IFC Bulletins, Bank for International Settlements, number 59.
    9. Mushkudiani Nino, 2018. "Development of Electronic Payments in Georgia," Economics and Culture, Sciendo, vol. 15(2), pages 64-74, December.
    10. Kakuho Furukawa & Ryohei Hisano, 2022. "A Nowcasting Model of Exports Using Maritime Big Data," Bank of Japan Working Paper Series 22-E-19, Bank of Japan.

  2. John W. Galbraith & Greg Tkacz, 2013. "Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases," CIRANO Working Papers 2013s-25, CIRANO.

    Cited by:

    1. Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
    2. Juan de Dios Romero Palop & Juan Murillo Arias & Diego J. Bodas-Sagi & Heribert Valero Lapaz, 2019. "Determining the usual environment of cardholders as a key factor to measure the evolution of domestic tourism," Information Technology & Tourism, Springer, vol. 21(1), pages 23-43, March.
    3. Tony Chernis & Rodrigo Sekkel, 2017. "A dynamic factor model for nowcasting Canadian GDP growth," Empirical Economics, Springer, vol. 53(1), pages 217-234, August.
    4. George Kapetanios & Fotis Papailias, 2018. "Big Data & Macroeconomic Nowcasting: Methodological Review," Economic Statistics Centre of Excellence (ESCoE) Discussion Papers ESCoE DP-2018-12, Economic Statistics Centre of Excellence (ESCoE).

  3. Fuchun Li & Greg Tkacz, 2009. "A Consistent Test for Multivariate Conditional Distributions," Staff Working Papers 09-34, Bank of Canada.

    Cited by:

    1. Frank Schuhmacher & Hendrik Kohrs & Benjamin R. Auer, 2021. "Justifying Mean-Variance Portfolio Selection when Asset Returns Are Skewed," Management Science, INFORMS, vol. 67(12), pages 7812-7824, December.
    2. Kheifets, Igor L., 2018. "Multivariate specification tests based on a dynamic Rosenblatt transform," Computational Statistics & Data Analysis, Elsevier, vol. 124(C), pages 1-14.

  4. John W. Galbraith & Greg Tkacz, 2009. "A Note on Monitoring Daily Economic Activity Via Electronic Transaction Data," CIRANO Working Papers 2009s-23, CIRANO.

    Cited by:

    1. Raquel Nadal Cesar Gonçalves, 2022. "Nowcasting Brazilian GDP with Electronic Payments Data," Working Papers Series 564, Central Bank of Brazil, Research Department.
    2. Valentina Aprigliano & Guerino Ardizzi & Libero Monteforte, 2017. "Using the payment system data to forecast the Italian GDP," Temi di discussione (Economic working papers) 1098, Bank of Italy, Economic Research and International Relations Area.
    3. Tut, Daniel, 2023. "FinTech and the COVID-19 pandemic: Evidence from electronic payment systems," Emerging Markets Review, Elsevier, vol. 54(C).

  5. Miroslav Misina & Greg Tkacz, 2008. "Credit, Asset Prices, and Financial Stress in Canada," Staff Working Papers 08-10, Bank of Canada.

    Cited by:

    1. Matkovskyy, Roman, 2012. "The Index of the Financial Safety (IFS) of South Africa and Bayesian Estimates for IFS Vector-Autoregressive Model," MPRA Paper 42173, University Library of Munich, Germany.
    2. Matkovskyy, Roman, 2013. "To the Problem of Financial Safety Estimation: the Index of Financial Safety of Turkey," MPRA Paper 47673, University Library of Munich, Germany.
    3. Claudio Borio & Claudio Mathias Drehmann, 2009. "Towards an operational framework for financial stability: "fuzzy" measurement and its consequences," BIS Working Papers 284, Bank for International Settlements.
    4. Mansour-Ichrakieh, Layal, 2020. "The impact of Israeli Geopolitical Risks on the Lebanese Financial Market: A Destabilizer Multiplier," MPRA Paper 99376, University Library of Munich, Germany.
    5. Adam, Tomáš & Benecká, Soňa & Matějů, Jakub, 2018. "Financial stress and its non-linear impact on CEE exchange rates," Journal of Financial Stability, Elsevier, vol. 36(C), pages 346-360.
    6. George Apostolakis & Athanasios P. Papadopoulos, 2019. "Financial Stability, Monetary Stability and Growth: a PVAR Analysis," Open Economies Review, Springer, vol. 30(1), pages 157-178, February.
    7. Jahn, Nadya & Kick, Thomas, 2012. "Early warning indicators for the German banking system: A macroprudential analysis," Discussion Papers 27/2012, Deutsche Bundesbank.
    8. Mansour Ishrakieh, Layal & Dagher, Leila & El Hariri, Sadika, 2018. "The Institute of Financial Economics Financial Stress Index (IFEFSI) for Lebanon," MPRA Paper 116054, University Library of Munich, Germany.
    9. Apostolakis, George & Papadopoulos, Athanasios P., 2015. "Financial stress spillovers across the banking, securities and foreign exchange markets," Journal of Financial Stability, Elsevier, vol. 19(C), pages 1-21.
    10. Tihana Skrinjaric, 2022. "Macroeconomic effects of systemic stress: a rolling spillover index approach," Public Sector Economics, Institute of Public Finance, vol. 46(1), pages 109-140.
    11. Layal MansourIshrakieh & Leila Dagher & Sadika El Hariri, 2020. "A financial stress index for a highly dollarized developing country : The case of Lebanon," Central Bank Review, Research and Monetary Policy Department, Central Bank of the Republic of Turkey, vol. 20(2), pages 43-52.
    12. Tomas Adam & Sona Benecka & Jakub Mateju, 2014. "Risk Aversion, Financial Stress and Their Non-Linear Impact on Exchange Rates," Working Papers 2014/07, Czech National Bank.
    13. Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2011. "Systemic risk diagnostics: coincident indicators and early warning signals," Working Paper Series 1327, European Central Bank.
    14. Bernd Schwaab & Andre Lucas & Siem Jan Koopman, 2010. "Systemic Risk Diagnostics," Tinbergen Institute Discussion Papers 10-104/2/DSF 2, Tinbergen Institute, revised 29 Nov 2010.

  6. Greg Tkacz, 2007. "Gold Prices and Inflation," Staff Working Papers 07-35, Bank of Canada.

    Cited by:

    1. Lucey, Brian M. & Sharma, Susan Sunila & Vigne, Samuel A., 2017. "Gold and inflation(s) – A time-varying relationship," Economic Modelling, Elsevier, vol. 67(C), pages 88-101.
    2. Siregar, Reza Yamora & Nguyen, Thi Kim Cuc, 2013. "Inflationary Implication of Gold Price in Vietnam," MPRA Paper 46157, University Library of Munich, Germany.
    3. Bampinas, Georgios & Panagiotidis, Theodore, 2015. "Are gold and silver a hedge against inflation? A two century perspective," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 267-276.
    4. Sadaf Zafar & Attiya Yasmin Javid, 2015. "Evaluation of Gold Investment as an Inflationary Hedge in Case of Pakistan," PIDE-Working Papers 2015:118, Pakistan Institute of Development Economics.
    5. Patrick Richard, 2009. "Improving the accuracy of the analytical indirect inference estimator for MA models," Economics Bulletin, AccessEcon, vol. 29(4), pages 2795-2802.
    6. Calista Cheung, 2009. "Are Commodity Prices Useful Leading Indicators of Inflation?," Discussion Papers 09-5, Bank of Canada.
    7. Shahbaz, Muhammad & Tahir, Mohammad Iqbal & Ali, Imran & Rehman, Ijaz Ur, 2014. "Is gold investment a hedge against inflation in Pakistan? A co-integration and causality analysis in the presence of structural breaks," The North American Journal of Economics and Finance, Elsevier, vol. 28(C), pages 190-205.
    8. Ku-Hsieh Chen & Joe-Ming Lee & Cheng-Huan You, 2014. "Who upholds the surging gold price? The role of the central bank worldwide," Applied Economics, Taylor & Francis Journals, vol. 46(22), pages 2557-2575, August.
    9. Yingying Xu & Chi-Wei Su & Jaime Ortiz, 2021. "Is gold a useful hedge against inflation across multiple time horizons?," Empirical Economics, Springer, vol. 60(3), pages 1175-1189, March.
    10. Beckmann, Joscha & Czudaj, Robert, 2012. "Gold as an Infl ation Hedge in a Time-Varying Coefficient Framework," Ruhr Economic Papers 362, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    11. Goodness C. Aye & Tsangyao Chang & Rangan Gupta, 2015. "Is Gold an Inflation-Hedge? Evidence from an Interrupted Markov-Switching Cointegration Model," Working Papers 201559, University of Pretoria, Department of Economics.
    12. Zhu, Yanhui & Fan, Jingwen & Tucker, Jon, 2018. "The impact of monetary policy on gold price dynamics," Research in International Business and Finance, Elsevier, vol. 44(C), pages 319-331.
    13. Sumit Kumar Maji & Arindam Laha & Debasish Sur, 2020. "Dynamic Nexuses between Macroeconomic Variables and Sectoral Stock Indices: Reflection from Indian Manufacturing Industry," Management and Labour Studies, XLRI Jamshedpur, School of Business Management & Human Resources, vol. 45(3), pages 239-269, August.
    14. Sharma, Susan Sunila, 2016. "Can consumer price index predict gold price returns?," Economic Modelling, Elsevier, vol. 55(C), pages 269-278.
    15. Blose, Laurence E., 2010. "Gold prices, cost of carry, and expected inflation," Journal of Economics and Business, Elsevier, vol. 62(1), pages 35-47, January.
    16. Thomas Conlon & Brian M. Lucey & Gazi Salah Uddin, 2018. "Is gold a hedge against inflation? A wavelet time-scale perspective," Review of Quantitative Finance and Accounting, Springer, vol. 51(2), pages 317-345, August.
    17. Nguyen Thi Thanh Binh, 2023. "How to Hedge against Inflation Risk in Vietnam," Economies, MDPI, vol. 11(3), pages 1-12, March.
    18. Remzi Gök & Aviral Kumar Tiwari, 2022. "Analysis of the Frequency-Based Relationship between Inflation Expectations and Gold Returns in Turkey," Istanbul Business Research, Istanbul University Business School, vol. 51(2), pages 535-561, November.
    19. Saira Tufail & Sadia Batool, 2013. "An Analysis of the Relationship between Inflation and Gold Prices: Evidence from Pakistan," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 18(2), pages 1-35, July-Dec.
    20. Zhong, Wanxing & Kong, Rui & Chen, Guang, 2019. "Gold prices fluctuation of co-movement forecast between China and Russia," Resources Policy, Elsevier, vol. 62(C), pages 218-230.

  7. John W. Galbraith & Greg Tkacz, 2007. "Forecast Content And Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2007-01, McGill University, Department of Economics.

    Cited by:

    1. Breitung, Jörg & Knüppel, Malte, 2018. "How far can we forecast? Statistical tests of the predictive content," Discussion Papers 07/2018, Deutsche Bundesbank.
    2. Galbraith, John W. & Tkacz, Greg, 2018. "Nowcasting with payments system data," International Journal of Forecasting, Elsevier, vol. 34(2), pages 366-376.
    3. Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2018. "A Large Canadian Database for Macroeconomic Analysis," CIRANO Working Papers 2018s-25, CIRANO.
    4. Lahiri, Kajal & Sheng, Xuguang, 2010. "Learning and heterogeneity in GDP and inflation forecasts," International Journal of Forecasting, Elsevier, vol. 26(2), pages 265-292, April.
    5. Daniel Borup & Bent Jesper Christensen & Nicolaj N. Mühlbach & Mikkel S. Nielsen, 2020. "Targeting predictors in random forest regression," CREATES Research Papers 2020-03, Department of Economics and Business Economics, Aarhus University.
    6. John W. Galbraith & Simon van Norden, 2009. "Calibration and Resolution Diagnostics for Bank of England Density Forecasts," CIRANO Working Papers 2009s-36, CIRANO.
    7. John Galbraith & Simon van Norden, 2008. "The Calibration Of Probabilistic Economic Forecasts," Departmental Working Papers 2008-05, McGill University, Department of Economics.
    8. François-Éric Racicota & David Tessierc, 2023. "On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note," Working Papers 2023-001, Department of Research, Ipag Business School.
    9. Marc-Oliver Pohle, 2020. "The Murphy Decomposition and the Calibration-Resolution Principle: A New Perspective on Forecast Evaluation," Papers 2005.01835, arXiv.org.
    10. Siddhartha S. Bora & Ani L. Katchova & Todd H. Kuethe, 2023. "The accuracy and informativeness of agricultural baselines," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(4), pages 1116-1148, August.
    11. de Bruijn, L.P. & Franses, Ph.H.B.F., 2011. "Evaluating the Rationality of Managers' Sales Forecasts," Econometric Institute Research Papers EI 2011-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    12. Galbraith, John W. & van Norden, Simon, 2011. "Kernel-based calibration diagnostics for recession and inflation probability forecasts," International Journal of Forecasting, Elsevier, vol. 27(4), pages 1041-1057, October.
    13. Galbraith, John W. & Tkacz, Greg, 2015. "Nowcasting GDP with electronic payments data," Statistics Paper Series 10, European Central Bank.
    14. Baggio, Rodolfo, 2015. "Looking into the future of complex dynamic systems," MPRA Paper 65549, University Library of Munich, Germany.

  8. John Galbraith & Greg Tkacz, 2007. "Electronic Transactions as High-Frequency Indicators of Economic Activity," Staff Working Papers 07-58, Bank of Canada.

    Cited by:

    1. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
    2. Raquel Nadal Cesar Gonçalves, 2022. "Nowcasting Brazilian GDP with Electronic Payments Data," Working Papers Series 564, Central Bank of Brazil, Research Department.
    3. Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
    4. Valentina Aprigliano & Guerino Ardizzi & Libero Monteforte, 2017. "Using the payment system data to forecast the Italian GDP," Temi di discussione (Economic working papers) 1098, Bank of Italy, Economic Research and International Relations Area.
    5. James T. E. Chapman & Ajit Desai, 2023. "Macroeconomic Predictions Using Payments Data and Machine Learning," Forecasting, MDPI, vol. 5(4), pages 1-32, November.
    6. Tut, Daniel, 2023. "FinTech and the COVID-19 pandemic: Evidence from electronic payment systems," Emerging Markets Review, Elsevier, vol. 54(C).
    7. James Chapman & Ajit Desai, 2021. "Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19," Staff Working Papers 21-2, Bank of Canada.
    8. S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions, Second Version," PIER Working Paper Archive 08-011, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania, revised 04 Apr 2008.
    9. Gurgul, Henryk & Suder, Marcin, 2013. "Modeling of Withdrawals from Selected ATMs of the “Euronet” Network," MPRA Paper 68598, University Library of Munich, Germany, revised 2013.

  9. John Galbraith & Greg Tkacz, 2007. "How Far Can Forecasting Models Forecast? Forecast Content Horizons for Some Important Macroeconomic Variables," Staff Working Papers 07-1, Bank of Canada.

    Cited by:

    1. Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2018. "A Large Canadian Database for Macroeconomic Analysis," CIRANO Working Papers 2018s-25, CIRANO.

  10. John G. Galbraith & Greg Tkacz, 2006. "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2006-13, McGill University, Department of Economics.

    Cited by:

    1. Michael K. Andersson & Sune Karlsson, 2008. "Bayesian forecast combination for VAR models," Advances in Econometrics, in: Bayesian Econometrics, pages 501-524, Emerald Group Publishing Limited.
    2. Andersson, Michael K. & Karlsson, Gustav & Svensson, Josef, 2007. "The Riksbank’s Forecasting Performance," Working Paper Series 218, Sveriges Riksbank (Central Bank of Sweden).

  11. Greg Tkacz & Carolyn A. Wilkins, 2006. "Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices," Staff Working Papers 06-25, Bank of Canada.

    Cited by:

    1. Jason Allen & Robert Amano & David P. Byrne & Allan W. Gregory, 2009. "Canadian city housing prices and urban market segmentation," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 42(3), pages 1132-1149, August.
    2. Weida Kuang & Peng Liu, 2015. "Inflation and House Prices: Theory and Evidence from 35 Major Cities in China," International Real Estate Review, Global Social Science Institute, vol. 18(2), pages 217-240.

  12. Pierre St-Amant & Greg Tkacz & Annie Guérard-Langlois & Louis Morel, 2005. "Quantity, Quality, and Relevance: Central Bank Research, 1990-2003," Staff Working Papers 05-37, Bank of Canada.

    Cited by:

    1. Kevin Greenidge & Lisa Drakes, 2010. "Tax Policy and Macroeconomic Activity in Barbados," Money Affairs, CEMLA, vol. 0(2), pages 182-210, July-Dece.
    2. Miguel sarmiento, 2009. "Central Bank Economic Research: Output, Demand, Productivity, and Relevance," Borradores de Economia 5935, Banco de la Republica.
    3. Jorge Ponce, 2010. "A Normative Analysis of Banking Supervision: Independence, Legal Protection and Accountability," Money Affairs, CEMLA, vol. 0(2), pages 141-181, July-Dece.
    4. Esteban Colla de Robertis, 2010. "Monetary Policy Committees and the Decision to Publish Voting Records," Money Affairs, CEMLA, vol. 0(2), pages 97-139, July-Dece.
    5. Freddy H. Castro & Ingrid Monroy, 2011. "Demanda laboral en la Banca Central: análisis de tendencias 2000-2009," Borradores de Economia 8842, Banco de la Republica.
    6. Singleton,John, 2010. "Central Banking in the Twentieth Century," Cambridge Books, Cambridge University Press, number 9780521899093, January.

  13. Jean-Paul Lam, 2004. "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General-Equilibrium Framework," Staff Working Papers 04-9, Bank of Canada.

    Cited by:

    1. Ilyas Siklar & Umit Yildiz & Sinan Cakan, 2016. "The Time - Varying Natural Rate of Interest and Its Fundamental Determinants: Time Series Evidence from Turkey," Business and Economic Research, Macrothink Institute, vol. 6(2), pages 390-400, December.
    2. Philip Arestis & Georgios E Chortareas, 2008. "Atheoretical and Theory-Based Approaches to the Natural Equilibrium Real Interest Rate," Eastern Economic Journal, Palgrave Macmillan;Eastern Economic Association, vol. 34(3), pages 390-405.
    3. Ian Christensen & Paul Corrigan & Caterina Mendicino & Shin-Ichi Nishiyama, 2016. "Consumption, housing collateral and the Canadian business cycle," Canadian Journal of Economics, Canadian Economics Association, vol. 49(1), pages 207-236, February.
    4. Enrico S. Levrero, 2019. "Estimates of the Natural Rate of Interest and the Stance of Monetary Policies: A Critical Assessment," Working Papers Series 88, Institute for New Economic Thinking.
    5. Cour-Thimann, Philippine & Pilegaard, Rasmus & Stracca, Livio, 2006. "The output gap and the real interest rate gap in the euro area, 1960-2003," Journal of Policy Modeling, Elsevier, vol. 28(7), pages 775-790, October.
    6. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango & Juana Téllez Corredor & Juan Carlos Parra Álvarez, 2008. "La tasa de interés natural en Colombia," Investigación Conjunta-Joint Research, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 7, pages 164-201, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    7. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "Measuring the Natural Interest Rate for the Peruvian Economy," Working Papers 2006-003, Banco Central de Reserva del Perú.
    8. Axel A. Weber & Wolfgang Lemke & Andreas Worms, 2008. "How useful is the concept of the natural real rate of interest for monetary policy?," Cambridge Journal of Economics, Cambridge Political Economy Society, vol. 32(1), pages 49-63, January.
    9. Rafael Cavalcanti De Araújo & Cleomar Gomes Da Silva, 2014. "The Neutral Interest Rate And The Stance Of Monetary Policy In Brazil," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 051, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    10. Tino Berger & Bernd Kempa, 2014. "Time-varying equilibrium rates in small open economies: Evidence for Canada," CQE Working Papers 3414, Center for Quantitative Economics (CQE), University of Muenster.
    11. Alex Ilek & Guy Segal, 2022. "A Simple Theory-Based Estimate of the Real Natural Rate of Interest in Open Economies," Bank of Israel Working Papers 2022.06, Bank of Israel.
    12. Philip Arestis & Georgios Chortareas, 2007. "Natural equilibrium real interest rate estimates and monetary policy design," Journal of Post Keynesian Economics, Taylor & Francis Journals, vol. 29(4), pages 621-643.
    13. Horváth, Roman, 2009. "The time-varying policy neutral rate in real-time: A predictor for future inflation?," Economic Modelling, Elsevier, vol. 26(1), pages 71-81, January.
    14. Rodrigo Fuentes S & Fabián Gredig U., 2008. "The Neutral Interest Rate: Estimates for Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 11(2), pages 47-58, August.
    15. Mirta Noemi Sataka Bugarin & Marcelo Kfoury Muinhos & Jose Ricardo da Costa e Silva & Maria da Glória D. Silva Araújo, 2005. "The Effect of Adverse Oil Price Shocks on Monetary Policy and Output Using a Dynamic Small Open Economy General Equilibrium Model With Staggered Price for Brazil," Working Papers Central Bank of Chile 348, Central Bank of Chile.
    16. Mr. Nicolas E Magud & Ms. Evridiki Tsounta, 2012. "To Cut or Not to Cut? That is the (Central Bank’s) Question In Search of the Neutral Interest Rate in Latin America," IMF Working Papers 2012/243, International Monetary Fund.

  14. Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Staff Working Papers 02-40, Bank of Canada.

    Cited by:

    1. Ege, Yazgan & Huseyin, Kaya, 2010. "Has inflation targeting increased predictive power of term structure about future inflation: evidence from an emerging market ?," MPRA Paper 24810, University Library of Munich, Germany.
    2. Siregar, Reza Yamora & Nguyen, Thi Kim Cuc, 2013. "Inflationary Implication of Gold Price in Vietnam," MPRA Paper 46157, University Library of Munich, Germany.
    3. Saar, Dan & Yagil, Yossi, 2015. "Forecasting sectorial profitability and credit spreads using bond yields," International Review of Economics & Finance, Elsevier, vol. 38(C), pages 29-43.
    4. Yingying Xu & Chi-Wei Su & Jaime Ortiz, 2021. "Is gold a useful hedge against inflation across multiple time horizons?," Empirical Economics, Springer, vol. 60(3), pages 1175-1189, March.
    5. A. J. Khadaroo, 2005. "A threshold in inflation dynamics: evidence from emerging countries," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 719-723.
    6. Arif Dar & Amaresh Samantaraya & Firdous Shah, 2014. "The predictive power of yield spread: evidence from wavelet analysis," Empirical Economics, Springer, vol. 46(3), pages 887-901, May.
    7. Modena, Matteo, 2008. "The term structure and the expectations hypothesis: a threshold model," MPRA Paper 9611, University Library of Munich, Germany.
    8. Huseyin Kaya & M. Ege Yazgan, 2011. "Has 'inflation targeting' increased the predictive power of term structure about future inflation: evidence from Turkish experience?," Applied Financial Economics, Taylor & Francis Journals, vol. 21(20), pages 1539-1547.
    9. Firdous Ahmad Shah & Lokenath Debnath, 2017. "Wavelet Neural Network Model for Yield Spread Forecasting," Mathematics, MDPI, vol. 5(4), pages 1-15, November.
    10. Greg Tkacz & Carolyn Wilkins, 2008. "Linear and threshold forecasts of output and inflation using stock and housing prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 131-151.
    11. Greg Tkacz, 2007. "Gold Prices and Inflation," Staff Working Papers 07-35, Bank of Canada.

  15. Fuchun Li & Greg Tkacz, 2001. "Evaluating Linear and Non-Linear Time-Varying Forecast-Combination Methods," Staff Working Papers 01-12, Bank of Canada.

    Cited by:

    1. Frédérick Demers & Annie De Champlain, 2005. "Forecasting Core Inflation in Canada: Should We Forecast the Aggregate or the Components?," Staff Working Papers 05-44, Bank of Canada.
    2. Kevin Moran & Veronika Dolar, 2002. "Estimated DGE Models and Forecasting Accuracy: A Preliminary Investigation with Canadian Data," Staff Working Papers 02-18, Bank of Canada.
    3. Shamiri, Ahmed & Shaari, Abu Hassan & Isa, Zaidi, 2008. "Comparing the accuracy of density forecasts from competing GARCH models," MPRA Paper 13662, University Library of Munich, Germany.

  16. Marc-André Gosselin & Greg Tkacz, 2001. "Evaluating Factor Models: An Application to Forecasting Inflation in Canada," Staff Working Papers 01-18, Bank of Canada.

    Cited by:

    1. Sandra Eickmeier & Tim Ng, 2009. "Forecasting national activity using lots of international predictors: an application to New Zealand," Reserve Bank of New Zealand Discussion Paper Series DP2009/04, Reserve Bank of New Zealand.
    2. Johannes Tang Kristensen, 2012. "Factor-Based Forecasting in the Presence of Outliers: Are Factors Better Selected and Estimated by the Median than by The Mean?," CREATES Research Papers 2012-28, Department of Economics and Business Economics, Aarhus University.
    3. Hanan Naser, 2015. "Estimating and forecasting Bahrain quarterly GDP growth using simple regression and factor-based methods," Empirical Economics, Springer, vol. 49(2), pages 449-479, September.
    4. Kitov, Ivan, 2007. "Exact prediction of inflation and unemployment in Canada," MPRA Paper 5015, University Library of Munich, Germany.
    5. Alain Kabundi & Rangan Gupta, 2009. "A Large Factor Model for Forecasting Macroeconomic Variables in South Africa," Working Papers 137, Economic Research Southern Africa.
    6. Eliana González & . Luis F. Melo & Viviana Monroy & Brayan Rojas, 2009. "A Dynamic Factor Model for the Colombian Inflation," Borradores de Economia 549, Banco de la Republica de Colombia.
    7. Tran Thanh Hoa, 2017. "Forecasting Inflation in Vietnam with Univariate and Vector Autoregressive Models," IHEID Working Papers 05-2017, Economics Section, The Graduate Institute of International Studies.
    8. Olivier Fortin-Gagnon & Maxime Leroux & Dalibor Stevanovic & Stéphane Surprenant, 2018. "A Large Canadian Database for Macroeconomic Analysis," CIRANO Working Papers 2018s-25, CIRANO.
    9. Álvaro Aguirre R. & Luis Felipe Céspedes C., 2004. "Uso de Análisis Factorial Dinámico para Proyecciones Macroeconómicas," Working Papers Central Bank of Chile 274, Central Bank of Chile.
    10. Sonia de Lucas Santos & M. Jesús Delgado Rodríguez & Inmaculada Álvarez Ayuso & José Luis Cendejas Bueno, 2011. "Los ciclos económicos internacionales: antecedentes y revisión de la literatura," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, vol. 34(95), pages 73-84, Agosto.
    11. Lasha Kavtaradze & Manouchehr Mokhtari, 2018. "Factor Models And Time†Varying Parameter Framework For Forecasting Exchange Rates And Inflation: A Survey," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 302-334, April.
    12. Lombardi, Marco J. & Maier, Philipp, 2011. "Forecasting economic growth in the euro area during the Great Moderation and the Great Recession," Working Paper Series 1379, European Central Bank.
    13. Calista Cheung & Frédérick Demers, 2007. "Evaluating Forecasts from Factor Models for Canadian GDP Growth and Core Inflation," Staff Working Papers 07-8, Bank of Canada.
    14. Gupta, Rangan & Kabundi, Alain & Miller, Stephen M., 2011. "Forecasting the US real house price index: Structural and non-structural models with and without fundamentals," Economic Modelling, Elsevier, vol. 28(4), pages 2013-2021, July.
    15. Sandra Eickmeier & Christina Ziegler, 2008. "How successful are dynamic factor models at forecasting output and inflation? A meta-analytic approach," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(3), pages 237-265.
    16. Illing, Mark & Liu, Ying, 2006. "Measuring financial stress in a developed country: An application to Canada," Journal of Financial Stability, Elsevier, vol. 2(3), pages 243-265, October.
    17. Santos, Sonia de Lucas & Rodríguez, María Jesús Delgado & Ayuso, Inmaculada Álvarez, 2011. "Application of factor models for the identification of countries sharing international reference-cycles," Economic Modelling, Elsevier, vol. 28(6), pages 2424-2431.
    18. Moser, Gabriel & Rumler, Fabio & Scharler, Johann, 2007. "Forecasting Austrian inflation," Economic Modelling, Elsevier, vol. 24(3), pages 470-480, May.
    19. Marc-André Gosselin & René Lalonde, 2003. "Un modèle « PAC » d'analyse et de prévision des dépense des ménages américains," Staff Working Papers 03-13, Bank of Canada.
    20. Marc-André Gosselin & Temel Taskin, 2023. "What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?," Discussion Papers 2023-13, Bank of Canada.
    21. Marlene Amstad & Andreas M. Fischer, 2009. "Are Weekly Inflation Forecasts Informative?," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(2), pages 237-252, April.
    22. Hyun Hak Kim, 2013. "Forecasting Macroeconomic Variables Using Data Dimension Reduction Methods: The Case of Korea," Working Papers 2013-26, Economic Research Institute, Bank of Korea.
    23. Christian Gillitzer & Jonathan Kearns, 2007. "Forecasting with Factors: The Accuracy of Timeliness," RBA Research Discussion Papers rdp2007-03, Reserve Bank of Australia.
    24. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Staff Working Papers 03-14, Bank of Canada.

  17. Fuchun Li & Greg Tkacz, 2001. "A Consistent Bootstrap Test for Conditional Density Functions with Time-Dependent Data," Staff Working Papers 01-21, Bank of Canada.

    Cited by:

    1. Giorgio Valente & Lucio Sarno, 2004. "Comparing the accuracy of density forecasts from competing models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(8), pages 541-557.
    2. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    3. E. Fe-Rodríguez & C. Orme, 2006. "On the sensitivity of Kernel-based Conditional Moment Tests to Unconsidered Local Alternatives," Economics Discussion Paper Series 0606, Economics, The University of Manchester.
    4. James Mitchell & Stephen G. Hall, 2005. "Evaluating, Comparing and Combining Density Forecasts Using the KLIC with an Application to the Bank of England and NIESR ‘Fan’ Charts of Inflation," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 67(s1), pages 995-1033, December.
    5. Polanski, Arnold & Stoja, Evarist, 2012. "Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management," International Journal of Forecasting, Elsevier, vol. 28(2), pages 343-352.
    6. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
    7. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.

  18. Greg Tkacz, 2000. "Fractional Cointegration and the Demand for M1," Staff Working Papers 00-12, Bank of Canada.

    Cited by:

    1. Carlos Barros & Guglielmo Maria Caporale & Luis Gil-Alana, 2014. "Long Memory in Angolan Macroeconomic Series: Mean Reversion versus Explosive Behaviour," African Development Review, African Development Bank, vol. 26(1), pages 59-73.
    2. Margherita Gerolimetto & Isabella Procidano, 2008. "A test for fractional cointegration using the sieve bootstrap," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 17(3), pages 373-391, July.

  19. Greg Tkacz, 2000. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Staff Working Papers 00-5, Bank of Canada.

    Cited by:

    1. Maggie E. C. Jones & Morten Ørregaard Nielsen & Michael Ksawery Popiel, 2014. "A fractionally cointegrated VAR analysis of economic voting and political support," CREATES Research Papers 2014-23, Department of Economics and Business Economics, Aarhus University.
    2. In, Francis & Kim, Sangbae, 2006. "Multiscale hedge ratio between the Australian stock and futures markets: Evidence from wavelet analysis," Journal of Multinational Financial Management, Elsevier, vol. 16(4), pages 411-423, October.
    3. Beran, Jan & Ocker, Dirk, 2002. "Pricing of cap-interest rates based on renewal processes," CoFE Discussion Papers 02/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Aaron Smallwood & Stefan C. Norrbin, 2008. "An Encompassing Test of Real Interest Rate Equalization," Review of International Economics, Wiley Blackwell, vol. 16(1), pages 114-126, February.
    5. Alexander Boca Saravia & Gabriel Rodríguez, 2022. "Presidential approval in Peru: an empirical analysis using a fractionally cointegrated VAR," Economic Change and Restructuring, Springer, vol. 55(3), pages 1973-2010, August.
    6. Coleman, Simeon & Sirichand, Kavita, 2012. "Fractional integration and the volatility of UK interest rates," Economics Letters, Elsevier, vol. 116(3), pages 381-384.
    7. Paolo Zagaglia, 2009. "Fractional integration of inflation rates: a note," Applied Economics Letters, Taylor & Francis Journals, vol. 16(11), pages 1103-1105.
    8. Guglielmo Maria Caporale & Hector Carcel & Luis A. Gil-Alana, 2017. "Central Bank Policy Rates: Are they Cointegrated?," CESifo Working Paper Series 6389, CESifo.
    9. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
    10. Guglielmo Caporale & Luis Gil-Alana, 2016. "Persistence and cyclical dependence in the monthly euribor rate," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 40(1), pages 157-171, January.
    11. Ozun, Alper & Cifter, Atilla, 2007. "Modeling Long-Term Memory Effect in Stock Prices: A Comparative Analysis with GPH Test and Daubechies Wavelets," MPRA Paper 2481, University Library of Munich, Germany.
    12. Patrick M. Crowley, 2007. "A Guide To Wavelets For Economists," Journal of Economic Surveys, Wiley Blackwell, vol. 21(2), pages 207-267, April.
    13. Jin, Hyun J. & Elder, John & Koo, Won W., 2006. "A reexamination of fractional integrating dynamics in foreign currency markets," International Review of Economics & Finance, Elsevier, vol. 15(1), pages 120-135.
    14. Fredrik N. G. Andersson & Yushu Li, 2020. "Are Central Bankers Inflation Nutters? An MCMC Estimator of the Long-Memory Parameter in a State Space Model," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 529-549, February.
    15. Høg, Espen P. & Frederiksen, Per H., 2006. "The Fractional Ornstein-Uhlenbeck Process: Term Structure Theory and Application," Finance Research Group Working Papers F-2006-01, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    16. John W. Galbraith & Greg Tkacz, 2007. "Forecast Content And Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2007-01, McGill University, Department of Economics.
    17. Alagidede, Paul & Coleman, Simeon & Cuestas, Juan Carlos, 2010. "Persistence of Inflationary shocks: Implications for West African Monetary Union Membership," Stirling Economics Discussion Papers 2010-11, University of Stirling, Division of Economics.
    18. Cifter, Atilla & Yilmazer, Sait & Cifter, Elif, 2009. "Analysis of sectoral credit default cycle dependency with wavelet networks: Evidence from Turkey," Economic Modelling, Elsevier, vol. 26(6), pages 1382-1388, November.
    19. Alagidede, Paul & Coleman, Simeon & Cuestas, Juan Carlos, 2012. "Inflationary shocks and common economic trends: Implications for West African monetary union membership," Journal of Policy Modeling, Elsevier, vol. 34(3), pages 460-475.
    20. Patrick Crowley, 2005. "An intuitive guide to wavelets for economists," Econometrics 0503017, University Library of Munich, Germany.
    21. Shapour Mohammadi & Ahmad Pouyanfar, 2011. "Behaviour of stock markets' memories," Applied Financial Economics, Taylor & Francis Journals, vol. 21(3), pages 183-194.
    22. Matthew Greenwood-Nimmo & Youngcheol Shin, 2011. "Shifting Preferences at the Fed: Evidence from Rolling Dynamic Multipliers and Impulse Response Analysis," Working Papers 2011-057, Madras School of Economics,Chennai,India.
    23. Daniel Agyapong & Anokye M. Adam, 2012. "Exchange Rate Behaviour: Implication for West African Monetary Zone," International Journal of Academic Research in Accounting, Finance and Management Sciences, Human Resource Management Academic Research Society, International Journal of Academic Research in Accounting, Finance and Management Sciences, vol. 2(4), pages 215-228, October.
    24. Simeon Coleman Author name: Vitor Leone, 2012. "Time-series characteristics of UK commercial property returns: Testing for multiple changes in persistence," NBS Discussion Papers in Economics 2012/03, Economics, Nottingham Business School, Nottingham Trent University.
    25. Francis In & Sangbae Kim, 2012. "An Introduction to Wavelet Theory in Finance:A Wavelet Multiscale Approach," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8431, December.
    26. Avishek Bhandari, 2020. "A wavelet analysis of inter-dependence, contagion and long memory among global equity markets," Papers 2003.14110, arXiv.org.
    27. Nuruddeen Usman & Martins Apinran, 2024. "Policy rates in ECOWAS: are they fractionally cointegrated?," SN Business & Economics, Springer, vol. 4(11), pages 1-15, November.
    28. Bozoklu, Seref & Yilanci, Veli & Gorus, Muhammed Sehid, 2020. "Persistence in per capita energy consumption: A fractional integration approach with a Fourier function," Energy Economics, Elsevier, vol. 91(C).
    29. Høg, Esben & Frederiksen, Per & Schiemert, Daniel, 2008. "On the Generalized Brownian Motion and its Applications in Finance," Finance Research Group Working Papers F-2008-07, University of Aarhus, Aarhus School of Business, Department of Business Studies.
    30. Yousefi, Shahriar & Weinreich, Ilona & Reinarz, Dominik, 2005. "Wavelet-based prediction of oil prices," Chaos, Solitons & Fractals, Elsevier, vol. 25(2), pages 265-275.
    31. Bravo Caro, José Manuel & Golpe, Antonio A. & Iglesias, Jesús & Vides, José Carlos, 2020. "A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends," Energy Economics, Elsevier, vol. 85(C).
    32. Chiara Perricone, 2018. "Wavelet analysis for temporal disaggregation," CEIS Research Paper 444, Tor Vergata University, CEIS, revised 29 Oct 2018.
    33. Andersson, Fredrik N. G. & Li, Yushu, 2014. "Are Central Bankers Inflation Nutters? - A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Discussion Papers 2014/38, Norwegian School of Economics, Department of Business and Management Science.
    34. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    35. Coleman, Simeon, 2012. "Where Does the Axe Fall? Inflation Dynamics and Poverty Rates: Regional and Sectoral Evidence for Ghana," World Development, Elsevier, vol. 40(12), pages 2454-2467.
    36. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2021. "The impact of the term spread in US monetary policy from 1870 to 2013," Journal of Policy Modeling, Elsevier, vol. 43(1), pages 230-251.
    37. Esben Hoeg & Per Frederiksen, 2006. "The Fractional OU Process: Term Structure Theory and Application," Computing in Economics and Finance 2006 194, Society for Computational Economics.
    38. Quinton Morris & Gary Van Vuuren & Paul Styger, 2009. "Further Evidence Of Long Memory In The South African Stock Market," South African Journal of Economics, Economic Society of South Africa, vol. 77(1), pages 81-101, March.
    39. Gil-Alana, Luis A., 2004. "Modelling the U.S. interest rate in terms of I(d) statistical models," The Quarterly Review of Economics and Finance, Elsevier, vol. 44(4), pages 475-486, September.
    40. Andersson, Fredrik N.G. & Li, Yushu, 2013. "How Flexible are the Inflation Targets? A Bayesian MCMC Estimator of the Long Memory Parameter in a State Space Model," Working Papers 2013:38, Lund University, Department of Economics.
    41. Hashmat Khan, 2000. "Price Stickiness, Inflation, and Output Dynamics: A Cross-Country Analysis," Staff Working Papers 00-13, Bank of Canada.
    42. Luis Gil-Alana, 2003. "Strong dependence in the real interest rates," Applied Economics, Taylor & Francis Journals, vol. 35(2), pages 119-124.
    43. Meinl Thomas & Sun Edward W., 2012. "A Nonlinear Filtering Algorithm based on Wavelet Transforms for High-Frequency Financial Data Analysis," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 16(3), pages 1-24, September.
    44. Vides, José Carlos & Golpe, Antonio A. & Iglesias, Jesús, 2020. "The EHTS and the persistence in the spread reconsidered. A fractional cointegration approach," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 124-137.
    45. Jayawardena, Nirodha I. & Todorova, Neda & Li, Bin & Su, Jen-Je & Gau, Yin-Feng, 2022. "Risk-return trade-off in the Australian Securities Exchange: Accounting for overnight effects, realized higher moments, long-run relations, and fractional cointegration," International Review of Economics & Finance, Elsevier, vol. 80(C), pages 384-401.

  20. Greg Tkacz, 2000. "Non-Parametric and Neural Network Models of Inflation Changes," Staff Working Papers 00-7, Bank of Canada.

    Cited by:

    1. Peter Sephton, 2005. "Forecasting inflation using the term structure and MARS," Applied Economics Letters, Taylor & Francis Journals, vol. 12(4), pages 199-202.
    2. Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Staff Working Papers 02-40, Bank of Canada.
    3. Martha Misas Arango & Enrique López Enciso & Pablo Querubín Borrero, 2002. "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 3029, Banco de la Republica.

  21. John W. Galbraith & Greg Tkacz, 1999. "Testing For Asymmetry In The Link Between The Yield Spread And Output In The G-7 Countries," Departmental Working Papers 1999-02, McGill University, Department of Economics.

    Cited by:

    1. David Longworth, 2003. "Money in the Bank (of Canada)," Technical Reports 93, Bank of Canada.
    2. Galvão, Ana Beatriz, 2013. "Changes in predictive ability with mixed frequency data," International Journal of Forecasting, Elsevier, vol. 29(3), pages 395-410.
    3. Marina Tkalec, 2013. "The Dynamics of Deposit Euroization in European Post-Transition Countries: Evidence from Threshold VAR," Focus on European Economic Integration, Oesterreichische Nationalbank (Austrian Central Bank), issue 1, pages 66-83.
    4. Ekaterini Panopoulou, 2006. "The predictive content of financial variables: Evidence from the euro area," The Institute for International Integration Studies Discussion Paper Series iiisdp178, IIIS.
    5. Chris Birchenhall & Denise Osborn & Marianne Sensier, 2001. "Predicting UK Business Cycle Regimes," Scottish Journal of Political Economy, Scottish Economic Society, vol. 48(2), pages 179-195, May.
    6. Hogrefe, Jens, 2007. "The yield spread and GDP growth - Time Varying Leading Properties and the Role of Monetary Policy," Economics Working Papers 2007-12, Christian-Albrechts-University of Kiel, Department of Economics.
    7. Greg Tkacz, 2002. "Inflation Changes, Yield Spreads, and Threshold Effects," Staff Working Papers 02-40, Bank of Canada.
    8. Panopoulou, Ekaterini, 2009. "Financial variables and euro area growth: A non-parametric causality analysis," Economic Modelling, Elsevier, vol. 26(6), pages 1414-1419, November.
    9. Schrimpf, Andreas & Wang, Qingwei, 2010. "A reappraisal of the leading indicator properties of the yield curve under structural instability," International Journal of Forecasting, Elsevier, vol. 26(4), pages 836-857, October.
    10. Heather M. Anderson & George Athanasopoulos & Farshid Vahid, 2006. "Nonlinear autoregressive leading indicator models of output in G-7 countries," CAMA Working Papers 2006-14, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    11. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
    12. Markku Lanne & Henri Nyberg, 2014. "Generalized Forecast Error Variance Decomposition for Linear and Nonlinear Multivariate Models," CREATES Research Papers 2014-17, Department of Economics and Business Economics, Aarhus University.
    13. Gebka, Bartosz & Wohar, Mark E., 2018. "The predictive power of the yield spread for future economic expansions: Evidence from a new approach," Economic Modelling, Elsevier, vol. 75(C), pages 181-195.
    14. Kuosmanen, Petri & Vataja, Juuso, 2019. "Time-varying predictive content of financial variables in forecasting GDP growth in the G-7 countries," The Quarterly Review of Economics and Finance, Elsevier, vol. 71(C), pages 211-222.
    15. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69.
    16. Nakaota, Hiroshi & Fukuta, Yuichi, 2013. "The leading indicator property of the term spread and the monetary policy factors in Japan," Japan and the World Economy, Elsevier, vol. 28(C), pages 85-98.
    17. Lazzarini, S. G. & Madalozzo, R. C & Artes, R. & Siqueira, J. O., 2004. "Measuring trust: An experiment in Brazil," Insper Working Papers wpe_42, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    18. Novella Maugeri, 2014. "Some Pitfalls in Smooth Transition Models Estimation: A Monte Carlo Study," Computational Economics, Springer;Society for Computational Economics, vol. 44(3), pages 339-378, October.
    19. Nakaota, Hiroshi, 2005. "The term structure of interest rates in Japan: the predictability of economic activity," Japan and the World Economy, Elsevier, vol. 17(3), pages 311-326, August.
    20. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09-Rev, Osaka University, Graduate School of Economics.
    21. Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
    22. Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
    23. Shigeyuki Hamori & Naoko Hamori, 2009. "Introduction of the Euro and the Monetary Policy of the European Central Bank," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7169, December.
    24. M Sensier & M Artis & C R Birchenhall & D R Osborn, 2002. "Domestic and International Influences on Business Cycle Regimes in Europe," Centre for Growth and Business Cycle Research Discussion Paper Series 11, Economics, The University of Manchester.
    25. Paulo M.M. Rodrigues & Gabriel Zsurkis, 2020. "The expected time to cross a threshold and its determinants: A simple and flexible framework," Working Papers w202006, Banco de Portugal, Economics and Research Department.
    26. Marcellino, Massimiliano, 2011. "Markov-switching MIDAS models," CEPR Discussion Papers 8234, C.E.P.R. Discussion Papers.
    27. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
    28. Paya, Ivan & Matthews, Kent & Peel, David, 2005. "The term spread and real economic activity in the US inter-war period," Journal of Macroeconomics, Elsevier, vol. 27(2), pages 331-343, June.
    29. Knut Lehre Seip & Dan Zhang, 2021. "The Yield Curve as a Leading Indicator: Accuracy and Timing of a Parsimonious Forecasting Model," Forecasting, MDPI, vol. 3(2), pages 1-16, May.
    30. Huseyin Kaya, 2013. "On the Predictive Power of Yield Spread for Future Growth and Recession: The Turkish Case," Working Papers 010, Bahcesehir University, Betam, revised Mar 2013.
    31. Ivan Paya & Kent Matthews, 2004. "Term spread and real economic activity in Korea: was the crisis predictable?," Applied Economics Letters, Taylor & Francis Journals, vol. 11(13), pages 797-801.
    32. Ronald Lange, 2008. "A decomposition of the predictive content of the term structure for output growth in Canada," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1537-1545.
    33. Mark J. Holmes & Maghrebi Nabil, 2002. "Non-Linearities, Regime Switching and the Relationship Between Asian Equity and Foreign Exchange Markets," International Economic Journal, Taylor & Francis Journals, vol. 16(4), pages 121-139.
    34. Evgenidis, Anastasios & Papadamou, Stephanos & Siriopoulos, Costas, 2020. "The yield spread's ability to forecast economic activity: What have we learned after 30 years of studies?," Journal of Business Research, Elsevier, vol. 106(C), pages 221-232.
    35. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
    36. Drechsel, Katja & Scheufele, Rolf, 2011. "The Financial Crisis from a Forecaster’s Perspective," IWH Discussion Papers 5/2011, Halle Institute for Economic Research (IWH).
    37. Masashi Hasegawa & Yuichi Fukuta, 2011. "An empirical analysis of information in the yield spread on future recessions in Japan," Applied Economics, Taylor & Francis Journals, vol. 43(15), pages 1865-1881.
    38. Greg Tkacz & Carolyn Wilkins, 2008. "Linear and threshold forecasts of output and inflation using stock and housing prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 131-151.
    39. Galvão, Ana Beatriz C., 2003. "Multivariate Threshold Models: TVARs and TVECMs," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 23(1), May.
    40. Ana Beatriz C. Galvão, 2006. "Structural break threshold VARs for predicting US recessions using the spread," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(4), pages 463-487, May.
    41. Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012. "What is the linkage between real growth in the Euro area and global financial market conditions?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2464-2480.
    42. Ivan Paya & David A. Peel & Ioannis A. Venetis, 2004. "Asymmetry In The Link Between The Yield Spread And Industrial Production. Threshold Effects And Forecasting," Working Papers. Serie AD 2004-41, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    43. Killins, Robert N. & Egly, Peter V. & Batabyal, Sourav, 2021. "The impact of the yield curve on bank equity returns: Evidence from Canada," The Quarterly Review of Economics and Finance, Elsevier, vol. 81(C), pages 319-329.
    44. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
    45. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
    46. Atanasova Christina, 2003. "Credit Market Imperfections and Business Cycle Dynamics: A Nonlinear Approach," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 7(4), pages 1-22, December.
    47. Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
    48. Greg Tkacz & Carolyn A. Wilkins, 2006. "Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices," Staff Working Papers 06-25, Bank of Canada.
    49. Kaul, Aditya & Mehrotra, Vikas, 2007. "The role of trades in price convergence: A study of dual-listed Canadian stocks," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 196-219, March.
    50. Lange, Ronald H., 2015. "International long-term yields and monetary policy in a small open economy: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 292-310.
    51. Hiroshi Nakaota & Yuichi Fukuta, 2013. "The Leading Indicator Property of the Term Spread and the Monetary Policy Factors in Japan," Discussion Papers in Economics and Business 13-09, Osaka University, Graduate School of Economics, revised Jul 2013.
    52. Omay, Tolga, 2008. "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper 28572, University Library of Munich, Germany.

  22. Greg Tkacz & Sarah Hu, 1999. "Forecasting GDP Growth Using Artificial Neural Networks," Staff Working Papers 99-3, Bank of Canada.

    Cited by:

    1. José Luis Torres, 2006. "Modelos Para La Inflación Básica de Bienes Transables y No Transables en Colombia," Borradores de Economia 365, Banco de la Republica de Colombia.
    2. Christian A. Johnson, 2005. "Modelos de alerta temprana para pronosticar crisis bancarias: desde la extracción de señales a las redes neuronales," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 20(1), pages 95-121, June.
    3. Christian A. Johnson & Rodrigo Vergara, 2005. "The implementation of monetary policy in an emerging economy: the case of Chile," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, vol. 20(1), pages 45-62, June.
    4. Koffi Dumor & Li Yao, 2019. "Estimating China’s Trade with Its Partner Countries within the Belt and Road Initiative Using Neural Network Analysis," Sustainability, MDPI, vol. 11(5), pages 1-22, March.
    5. Carlos León & Fabio Ortega, 2018. "Nowcasting economic activity with electronic payments data: A predictive modeling approach," Borradores de Economia 1037, Banco de la Republica de Colombia.
    6. José Mauricio Salazar Sáenz, 2009. "Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia," Borradores de Economia 575, Banco de la Republica de Colombia.
    7. José Mauricio Salazar Sáenz, 2009. "Evaluación de pronóstico de una red neuronal sobre el PIB en Colombia," Borradores de Economia 5934, Banco de la Republica.
    8. Haider, Adnan & Hanif, Muhammad Nadeem, 2007. "Inflation Forecasting in Pakistan using Artificial Neural Networks," MPRA Paper 14645, University Library of Munich, Germany.
    9. Martha Misas Arango & Enrique López Enciso & Pablo Querubín Borrero, 2002. "La Inflación en Colombia: Una Aproximación desde las Redes Neuronales," Borradores de Economia 3029, Banco de la Republica.
    10. Koffi Dumor & Komlan Gbongli, 2021. "Trade impacts of the New Silk Road in Africa: Insight from Neural Networks Analysis," Theory Methodology Practice (TMP), Faculty of Economics, University of Miskolc, vol. 17(02), pages 13-26.
    11. Andres, Antonio Rodriguez & Otero, Abraham & Amavilah, Voxi Heinrich, 2021. "Using Deep Learning Neural Networks to Predict the Knowledge Economy Index for Developing and Emerging Economies," MPRA Paper 109137, University Library of Munich, Germany.
    12. Rafael R. S. Guimaraes, 2022. "Deep Learning Macroeconomics," Papers 2201.13380, arXiv.org.
    13. Guillaume Belly & Lukas Boeckelmann & Carlos Mateo Caicedo Graciano & Alberto Di Iorio & Klodiana Istrefi & Vasileios Siakoulis & Arthur Stalla-Bourdillon, 2023. "Forecasting sovereign risk in the Euro area via machine learning," Post-Print hal-04459577, HAL.
    14. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," PSE-Ecole d'économie de Paris (Postprint) halshs-00511979, HAL.
    15. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Post-Print halshs-00423871, HAL.
    16. Ahmet DEMIR & AtabekSHADMANOV & CumhurAYDINLI & Okan ERAY, 2015. "DESIGNING A FORECAST MODEL FOR ECONOMIC GROWTH OF JAPAN USING COMPETITIVE (HYBRID ANN VS MULTIPLE REGRESSION) MODELS Abstract : Artificial neural network models have been already used on many differen," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 4(2), pages 1-21, july.
    17. Rodríguez-Vargas, Adolfo, 2020. "Forecasting Costa Rican inflation with machine learning methods," Latin American Journal of Central Banking (previously Monetaria), Elsevier, vol. 1(1).
    18. Basihos, Seda, 2016. "Nightlights as a Development Indicator: The Estimation of Gross Provincial Product (GPP) in Turkey," MPRA Paper 75553, University Library of Munich, Germany, revised 09 Sep 2016.
    19. María Clara Aristizábal Restrepo, 2006. "Evaluación asimétrica de una red neuronal artificial:Aplicación al caso de la inflación en Colombia," Borradores de Economia 377, Banco de la Republica de Colombia.
    20. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00511979, HAL.
    21. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Post-Print halshs-00505165, HAL.
    22. Koffi Dumor & Li Yao & Jean-Paul Ainam & Edem Koffi Amouzou & Williams Ayivi, 2021. "Quantitative Dynamics Effects of Belt and Road Economies Trade Using Structural Gravity and Neural Networks," SAGE Open, , vol. 11(3), pages 21582440211, July.

  23. Joseph Atta-Mensah & Greg Tkacz, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Staff Working Papers 98-5, Bank of Canada.

    Cited by:

    1. Esther Fernández Galar & Javier Gómez Biscarri, 2003. "Revisiting the Ability of Interest Rate Spreads to Predict Recessions: Evidence for a," Faculty Working Papers 04/03, School of Economics and Business Administration, University of Navarra.
    2. Switzer, Lorne N., 2010. "The behaviour of small cap vs. large cap stocks in recessions and recoveries: Empirical evidence for the United States and Canada," The North American Journal of Economics and Finance, Elsevier, vol. 21(3), pages 332-346, December.
    3. Hamilton, James Douglas & Kim, Dong Heon, 2000. "A Re-examination of the Predictability of Economic Activity Using the Yield Spread," University of California at San Diego, Economics Working Paper Series qt69v8p1m9, Department of Economics, UC San Diego.
    4. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
    5. Milda Maria Burzala, 2012. "The Probability of Recession in Poland Based on the Hamilton Switching Model and the Logit Model," Dynamic Econometric Models, Uniwersytet Mikolaja Kopernika, vol. 12, pages 73-88.
    6. Peter Sephton, 2001. "Forecasting recessions: can we do better on MARS?," Review, Federal Reserve Bank of St. Louis, vol. 83(Mar), pages 39-49.
    7. Döpke, Jörg, 1999. "Predicting Germany's recessions with leading indicators: Evidence from probit models," Kiel Working Papers 944, Kiel Institute for the World Economy (IfW Kiel).
    8. Mili, Mehdi & Sahut, Jean-Michel & Teulon, Frédéric, 2012. "Non linear and asymmetric linkages between real growth in the Euro area and global financial market conditions: New evidence," Economic Modelling, Elsevier, vol. 29(3), pages 734-741.
    9. Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
    10. Viktor Kotlan, 2002. "Monetary Policy and the Term Spread in a Macro Model of a Small Open Economy," Working Papers 2002/01, Czech National Bank.
    11. Sylvain Martel, 2005. "Y a-t-il eu surinvestissement au Canada durant la seconde moitié des années 1990?," Staff Working Papers 05-5, Bank of Canada.
    12. Javier Gómez, 2007. "Changes in the Informational Content of the Spread: Is Monetary Policy Becoming Less Effective?," Faculty Working Papers 05/07, School of Economics and Business Administration, University of Navarra.
    13. Antoine Poulin-Moore & Kerem Tuzcuoglu, 2024. "Forecasting Recessions in Canada: An Autoregressive Probit Model Approach," Staff Working Papers 24-10, Bank of Canada.
    14. Souki, Kaouthar, 2008. "Assessing the effects of U.S. shocks on the Canadian economy using alternative identification methods," The North American Journal of Economics and Finance, Elsevier, vol. 19(2), pages 193-213, August.
    15. Melvin Muzi Khomo & Meshach Jesse Aziakpono, 2007. "Forecasting Recession In South Africa: A Comparison Of The Yield Curve And Other Economic Indicators," South African Journal of Economics, Economic Society of South Africa, vol. 75(2), pages 194-212, June.
    16. Jean-michel Sahut & Medhi Mili & Frédéric Teulon, 2012. "What is the linkage between real growth in the Euro area and global financial market conditions?," Economics Bulletin, AccessEcon, vol. 32(3), pages 2464-2480.
    17. Viktor Kotlán, 2000. "The Term Structure of Interest Rates and Future Inflation," Macroeconomics 0004014, University Library of Munich, Germany.
    18. Lili Hao & Eric C.Y. Ng, 2011. "Predicting Canadian recessions using dynamic probit modelling approaches," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 44(4), pages 1297-1330, November.
    19. Patrick De lamirande & Jason Stevens, 2016. "Predicting events with an unidentified time horizon," Economics Bulletin, AccessEcon, vol. 36(2), pages 729-735.

  24. Barry Cozier & Greg Tkacz, "undated". "The Term Structure and Real Activity in Canada," Staff Working Papers 94-3, Bank of Canada.

    Cited by:

    1. Maral Kichian, 2012. "Financial Conditions and the Money-Output Relationship in Canada," Staff Working Papers 12-33, Bank of Canada.
    2. John W. Galbraith & Greg Tkacz, 1999. "Testing For Asymmetry In The Link Between The Yield Spread And Output In The G-7 Countries," Departmental Working Papers 1999-02, McGill University, Department of Economics.
    3. Reinhart, Carmen & Reinhart, Vincent, 1996. "Forecasting turning points in Canada," MPRA Paper 13884, University Library of Munich, Germany.
    4. Ronald Lange, 2005. "Determinants of the long-term yield in Canada: an open economy VAR approach," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 681-693.
    5. Lange, Ronald H., 2014. "The small open macroeconomy and the yield curve: A state-space representation," The North American Journal of Economics and Finance, Elsevier, vol. 29(C), pages 1-21.
    6. David Longworth & Brian O’Reilly, 2000. "The Monetary Policy Transmission Mechanism and Policy Rules in Canada," Working Papers Central Bank of Chile 72, Central Bank of Chile.
    7. Viktor Kotlán, 2001. "Monetary policy and the term structure of interest rates in a small open economy - a model framework approach," Macroeconomics 0110003, University Library of Munich, Germany.
    8. Khurshid Kiani, 2011. "Fluctuations in Economic and Activity and Stabilization Policies in the CIS," Computational Economics, Springer;Society for Computational Economics, vol. 37(2), pages 193-220, February.
    9. Kevin Clinton, 2006. "Wicksell At The Bank Of Canada," Working Paper 1087, Economics Department, Queen's University.
    10. Jim Day & Ron Lange, 1997. "The Structure of Interest Rates in Canada: Information Content about Medium-Term Inflation," Staff Working Papers 97-10, Bank of Canada.
    11. Chay Fisher & Bruce Felmingham, 1998. "The Australian yield curve as a leading indicator of consumption growth," Applied Financial Economics, Taylor & Francis Journals, vol. 8(6), pages 627-635.
    12. Lange, Ronald Henry, 2018. "The predictive content of the term premium for GDP growth in Canada: Evidence from linear, Markov-switching and probit estimations," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 80-91.
    13. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69.
    14. Angélica Arosemena, 2002. "Lecturas Alternativas de la Estructura a Plazo: Una Breve Revisión de literatura," Borradores de Economia 223, Banco de la Republica de Colombia.
    15. Stephanos Papadamou, 2009. "Yield spreads and real economic activity in East European transition economies," Applied Economics Letters, Taylor & Francis Journals, vol. 16(5), pages 531-537.
    16. Phil Bodman, "undated". "Are the Effects of Monetary Policy Asymmetric in Australia?," MRG Discussion Paper Series 0406, School of Economics, University of Queensland, Australia.
    17. Christis Hassapis, 2003. "Financial variables and real activity in Canada," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 36(2), pages 421-442, May.
    18. Viktor Kotlan, 2002. "Monetary Policy and the Term Spread in a Macro Model of a Small Open Economy," Working Papers 2002/01, Czech National Bank.
    19. Jean-François Fillion, "undated". "L'endettement du secteur prive au Canada: un examen macroeconomique," Staff Working Papers 94-7, Bank of Canada.
    20. Jean-Francois Fillion, 1995. "L'endettement du secteur prive au Canada: un examen macroeconomique," Macroeconomics 9502006, University Library of Munich, Germany.
    21. Tomáš Holub & Jaromír Hurník, 2008. "Ten Years of Czech Inflation Targeting: Missed Targets and Anchored Expectations," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 44(6), pages 67-86, November.
    22. Fernando Lefort G. & Eduardo Walker H., 2000. "The Structure of Real Interest Rates in Chile," Journal Economía Chilena (The Chilean Economy), Central Bank of Chile, vol. 3(2), pages 31-52, August.
    23. Joseph Atta-Mensah & Greg Tkacz, 1998. "Predicting Canadian Recessions Using Financial Variables: A Probit Approach," Staff Working Papers 98-5, Bank of Canada.
    24. Ronald Lange, 2008. "A decomposition of the predictive content of the term structure for output growth in Canada," Applied Economics, Taylor & Francis Journals, vol. 40(12), pages 1537-1545.
    25. David McMillan, 2002. "Interest rate spread and real activity: evidence for the UK," Applied Economics Letters, Taylor & Francis Journals, vol. 9(3), pages 191-194.
    26. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
    27. Lange, Ronald H., 2013. "The Canadian macroeconomy and the yield curve: A dynamic latent factor approach," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 261-274.
    28. Tracy Chan & Ramdane Djoudad & Jackson Loi, 2006. "Regime Shifts in the Indicator Properties of Narrow Money in Canada," Staff Working Papers 06-6, Bank of Canada.
    29. Denise Côté & Marianne Johnson, 1998. "Consumer Attitudes, Uncertainty, and Consumer Spending," Staff Working Papers 98-16, Bank of Canada.
    30. Georgopoulos, George & Hejazi, Walid, 2009. "Financial structure and the heterogeneous impact of monetary policy across industries," Journal of Economics and Business, Elsevier, vol. 61(1), pages 1-33.
    31. Duguay, Pierre & Longworth, David, 1998. "Macroeconomic models and policy making at the bank of canada," Economic Modelling, Elsevier, vol. 15(3), pages 357-375, July.
    32. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
    33. K.W. Chau & Bryan D. MacGregor & Gregory M. Schwann, 2001. "Price discovery in the Hong Kong real estate market," Journal of Property Research, Taylor & Francis Journals, vol. 18(3), pages 187-216.
    34. Lange, Ronald Henry, 2018. "The term structure of liquidity premia and the macroeconomy in Canada: A dynamic latent-factor approach," International Review of Economics & Finance, Elsevier, vol. 57(C), pages 164-182.
    35. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany.
    36. Tiff Macklem & Alain Paquet & Louis Phaneuf, 1996. "Asymmetric Effects of Monetary Policy: Evidence from the Yield Curve," Cahiers de recherche CREFE / CREFE Working Papers 42, CREFE, Université du Québec à Montréal.
    37. Viktor Kotlán, 2000. "The Term Structure of Interest Rates and Future Inflation," Macroeconomics 0004014, University Library of Munich, Germany.
    38. Céline Gauthier & Christopher Graham & Ying Liu, 2004. "Financial Conditions Indexes for Canada," Staff Working Papers 04-22, Bank of Canada.
    39. Lange, Ronald H., 2015. "International long-term yields and monetary policy in a small open economy: The case of Canada," The North American Journal of Economics and Finance, Elsevier, vol. 31(C), pages 292-310.

Articles

  1. Galbraith, John W. & Tkacz, Greg, 2018. "Nowcasting with payments system data," International Journal of Forecasting, Elsevier, vol. 34(2), pages 366-376.

    Cited by:

    1. Andrii Babii & Eric Ghysels & Jonas Striaukas, 2022. "Machine Learning Time Series Regressions With an Application to Nowcasting," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 40(3), pages 1094-1106, June.
    2. Raquel Nadal Cesar Gonçalves, 2022. "Nowcasting Brazilian GDP with Electronic Payments Data," Working Papers Series 564, Central Bank of Brazil, Research Department.
    3. Ashton de Silva & Maria Yanotti & Sarah Sinclair & Sveta Angelopoulos, 2023. "Place‐Based Policies and Nowcasting," Australian Economic Review, The University of Melbourne, Melbourne Institute of Applied Economic and Social Research, vol. 56(3), pages 363-370, September.
    4. Knut Are Aastveit & Tuva Marie Fastbø & Eleonora Granziera & Kenneth Sæterhagen Paulsen & Kjersti Næss Torstensen, 2020. "Nowcasting Norwegian household consumption with debit card transaction data," Working Paper 2020/17, Norges Bank.
    5. Daniel Aaronson & Scott A. Brave & Michael Fogarty & Ezra Karger & Spencer D. Krane, 2021. "Tracking U.S. Consumers in Real Time with a New Weekly Index of Retail Trade," Working Paper Series WP-2021-05, Federal Reserve Bank of Chicago, revised 18 Jun 2021.
    6. Aditya Aladangady & Shifrah Aron-Dine & Wendy Dunn & Laura Feiveson & Paul Lengermann & Claudia Sahm, 2021. "From Transaction Data to Economic Statistics: Constructing Real-Time, High-Frequency, Geographic Measures of Consumer Spending," NBER Chapters, in: Big Data for Twenty-First-Century Economic Statistics, pages 115-145, National Bureau of Economic Research, Inc.
    7. Tatjana Dahlhaus & Angelika Welte, 2021. "Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data," Staff Working Papers 21-43, Bank of Canada.
    8. Tingguo Zheng & Xinyue Fan & Wei Jin & Kuangnan Fang, 2024. "Forecasting CPI with multisource data: The value of media and internet information," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 43(3), pages 702-753, April.
    9. Christiane Baumeister & Danilo Leiva-León & Eric R. Sims, 2021. "Tracking Weekly State-Level Economic Conditions," CESifo Working Paper Series 9165, CESifo.
    10. Marta Crispino & Vincenzo Mariani, 2023. "A tool to nowcast tourist overnight stays with payment data and complementary indicators," Questioni di Economia e Finanza (Occasional Papers) 746, Bank of Italy, Economic Research and International Relations Area.
    11. Tony Chernis & Calista Cheung & Gabriella Velasco, 2017. "A Three-Frequency Dynamic Factor Model for Nowcasting Canadian Provincial GDP Growth," Discussion Papers 17-8, Bank of Canada.
    12. James T. E. Chapman & Ajit Desai, 2023. "Macroeconomic Predictions Using Payments Data and Machine Learning," Forecasting, MDPI, vol. 5(4), pages 1-32, November.
    13. Guerino Ardizzi & Simone Emiliozzi & Juri Marcucci & Libero Monteforte, 2019. "News and consumer card payments," Temi di discussione (Economic working papers) 1233, Bank of Italy, Economic Research and International Relations Area.
    14. Guillermo Carlomagno & Nicolas Eterovic & L. G. Hernández-Román, 2023. "Disentangling Demand and Supply Inflation Shocks from Chilean Electronic Payment Data," Working Papers Central Bank of Chile 986, Central Bank of Chile.
    15. David Bounie & Youssouf Camara & John W. Galbraith, 2021. "Consumer Mobility, Online and On-site Commerce and the Geographic Concentration of Economic Activity: Evidence from 20 Billion Transactions," CIRANO Working Papers 2021s-17, CIRANO.
    16. Lourenço, Nuno & Rua, António, 2021. "The Daily Economic Indicator: tracking economic activity daily during the lockdown," Economic Modelling, Elsevier, vol. 100(C).
    17. García, Juan R. & Pacce, Matías & Rodrigo, Tomasa & Ruiz de Aguirre, Pep & Ulloa, Camilo A., 2021. "Measuring and forecasting retail trade in real time using card transactional data," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1235-1246.
    18. Tomas Adam & Jan Belka & Martin Hluze & Jakub Mateju & Hana Prause & Jiri Schwarz, 2023. "Ace in Hand: The Value of Card Data in the Game of Nowcasting," Working Papers 2023/14, Czech National Bank.
    19. James Chapman & Ajit Desai, 2021. "Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19," Staff Working Papers 21-2, Bank of Canada.
    20. Zheng, Tingguo & Fan, Xinyue & Jin, Wei & Fang, Kuangnan, 2024. "Words or numbers? Macroeconomic nowcasting with textual and macroeconomic data," International Journal of Forecasting, Elsevier, vol. 40(2), pages 746-761.
    21. Ferrara, Laurent & Sheng, Xuguang Simon, 2022. "Guest editorial: Economic forecasting in times of COVID-19," International Journal of Forecasting, Elsevier, vol. 38(2), pages 527-528.
    22. Julian Ashwin & Eleni Kalamara & Lorena Saiz, 2024. "Nowcasting Euro area GDP with news sentiment: A tale of two crises," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(5), pages 887-905, August.
    23. Simone Emiliozzi & Concetta Rondinelli & Stefania Villa, 2023. "Consumption during the Covid-19 pandemic: evidence from Italian credit cards," Questioni di Economia e Finanza (Occasional Papers) 769, Bank of Italy, Economic Research and International Relations Area.
    24. Paulick, Jan, 2022. "Financial market infrastructures : Essays on liquidity, participant behaviour and information extraction," Other publications TiSEM 004942ed-f68d-40cc-a830-b, Tilburg University, School of Economics and Management.
    25. David Bounie & Youssouf Camara & John Galbraith, 2020. "Online Commerce, Inter-Regional Retail Trade, and the Evolution of Gravity Effects: Evidence from 20 Billion Transactions," Working Papers hal-02864695, HAL.
    26. Valentina Aprigliano & Guerino Ardizzi & Alessia Cassetta & Alessandro Cavallero & Simone Emiliozzi & Alessandro Gambini & Nazzareno Renzi & Roberta Zizza, 2021. "Exploiting payments to track Italian economic activity: the experience at Banca d’Italia," Questioni di Economia e Finanza (Occasional Papers) 609, Bank of Italy, Economic Research and International Relations Area.
    27. Kohei Matsumura & Yusuke Oh & Tomohiro Sugo & Koji Takahashi, "undated". "Nowcasting Economic Activity with Mobility Data," Bank of Japan Working Paper Series 21-E-2, Bank of Japan.

  2. Orla A. Murphy & Ping Wang & Sunny X. Wang & Greg Tkacz, 2013. "An economic efficiency study on different regions of Ghana via Slack-based data envelopment analysis and regression analysis," Applied Economics, Taylor & Francis Journals, vol. 45(34), pages 4773-4780, December.

    Cited by:

    1. Han, Yongming & Cao, Lian & Guo, Qing & Geng, Zhiqiang & Yang, Weiyang & Fan, Jinzhen & Liu, Min, 2024. "Economy and carbon dioxide emissions effects of energy structures in China: Evidence based on a novel AHP-SBMDEA model," Energy, Elsevier, vol. 290(C).
    2. Camanho, Ana Santos & Silva, Maria Conceicao & Piran, Fabio Sartori & Lacerda, Daniel Pacheco, 2024. "A literature review of economic efficiency assessments using Data Envelopment Analysis," European Journal of Operational Research, Elsevier, vol. 315(1), pages 1-18.
    3. Victoria Wojcik & Harald Dyckhoff & Marcel Clermont, 2019. "Is data envelopment analysis a suitable tool for performance measurement and benchmarking in non-production contexts?," Business Research, Springer;German Academic Association for Business Research, vol. 12(2), pages 559-595, December.
    4. Oliviero A. Carboni & Paolo Russu, 2018. "Measuring and forecasting regional environmental and economic efficiency in Italy," Applied Economics, Taylor & Francis Journals, vol. 50(4), pages 335-353, January.

  3. Greg Tkacz, 2013. "Predicting Recessions in Real-Time: Mining Google Trends and Electronic Payments Data for Clues," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 387, September.

    Cited by:

    1. Pete Richardson, 2018. "Nowcasting and the Use of Big Data in Short-Term Macroeconomic Forecasting: A Critical Review," Economie et Statistique / Economics and Statistics, Institut National de la Statistique et des Etudes Economiques (INSEE), issue 505-506, pages 65-87.
    2. Tihana Škrinjarić, 2019. "Time Varying Spillovers between the Online Search Volume and Stock Returns: Case of CESEE Markets," IJFS, MDPI, vol. 7(4), pages 1-30, October.
    3. Enrique López Enciso, 2019. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Tiempo y Economía, Universidad de Bogotá Jorge Tadeo Lozano, vol. 6(1), pages 77-142, February.
    4. Jianchun Fang & Wanshan Wu & Zhou Lu & Eunho Cho, 2019. "Using Baidu Index To Nowcast Mobile Phone Sales In China," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 64(01), pages 83-96, March.
    5. Chauvet, Marcelle & Gabriel, Stuart & Lutz, Chandler, 2016. "Mortgage default risk: New evidence from internet search queries," Journal of Urban Economics, Elsevier, vol. 96(C), pages 91-111.
    6. Shafiullah Qureshi & Ba Chu & Fanny S. Demers, 2021. "Forecasting Canadian GDP Growth with Machine Learning," Carleton Economic Papers 21-05, Carleton University, Department of Economics.
    7. Enrique A. López-Enciso, 2017. "Dos tradiciones en la medición del ciclo: historia general y desarrollos en Colombia," Borradores de Economia 986, Banco de la Republica de Colombia.

  4. John W. Galbraith & Greg Tkacz, 2013. "Analyzing Economic Effects of September 11 and Other Extreme Events Using Debit and Payments System Data," Canadian Public Policy, University of Toronto Press, vol. 39(1), pages 119-134, March.

    Cited by:

    1. John Bagnall & David Bounie & Kim P. Huynh & Anneke Kosse & Tobias Schmidt & Scott Schuh, 2016. "Consumer Cash Usage: A Cross-Country Comparison with Payment Diary Survey Data," International Journal of Central Banking, International Journal of Central Banking, vol. 12(4), pages 1-61, December.
    2. Galbraith, John W. & Tkacz, Greg, 2018. "Nowcasting with payments system data," International Journal of Forecasting, Elsevier, vol. 34(2), pages 366-376.
    3. Eunae Jung & Hyungun Sung, 2017. "The Influence of the Middle East Respiratory Syndrome Outbreak on Online and Offline Markets for Retail Sales," Sustainability, MDPI, vol. 9(3), pages 1-23, March.
    4. David Bounie & Youssouf Camara & John W. Galbraith, 2020. "Consumers’ Mobility, Expenditure and Online-Offline Substitution Response to COVID-19: Evidence from French Transaction Data," CIRANO Working Papers 2020s-28, CIRANO.
    5. Bounie, David & Camara, Youssouf & Galbraith, John W., 2023. "Consumer mobility and expenditure during the COVID-19 containments: Evidence from French transaction data," European Economic Review, Elsevier, vol. 151(C).
    6. Jie Xu & Ming Gao & Yina Zhang, 2021. "The variations in individual consumption change and the substitution effect under the shock of COVID‐19: Evidence from payment system data in China," Growth and Change, Wiley Blackwell, vol. 52(2), pages 990-1010, June.
    7. John W. Galbraith & Greg Tkacz, 2013. "Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases," CIRANO Working Papers 2013s-25, CIRANO.
    8. Leonard Sabetti & David Jacho-Chávez & Robert Petrunia & Marcel Voia, 2018. "Tail Risk in a Retail Payments System," Post-Print hal-03573058, HAL.
    9. Tatjana Dahlhaus & Angelika Welte, 2021. "Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data," Staff Working Papers 21-43, Bank of Canada.
    10. Duarte, Cláudia & Rodrigues, Paulo M.M. & Rua, António, 2017. "A mixed frequency approach to the forecasting of private consumption with ATM/POS data," International Journal of Forecasting, Elsevier, vol. 33(1), pages 61-75.
    11. David Bounie & Youssouf Camara & John W. Galbraith, 2021. "Consumer Mobility, Online and On-site Commerce and the Geographic Concentration of Economic Activity: Evidence from 20 Billion Transactions," CIRANO Working Papers 2021s-17, CIRANO.
    12. David Bounie & Youssouf Camara & John Galbraith, 2020. "Online Commerce, Inter-Regional Retail Trade, and the Evolution of Gravity Effects: Evidence from 20 Billion Transactions," Working Papers hal-02864695, HAL.
    13. Hojin Jung & Minjae Park & Kihoon Hong & Eunjung Hyun, 2016. "The Impact of an Epidemic Outbreak on Consumer Expenditures:An Empirical Assessment for MERS Korea," Sustainability, MDPI, vol. 8(5), pages 1-15, May.

  5. Fuchun Li & Greg Tkacz, 2011. "A Consistent Test for Multivariate Conditional Distributions," Econometric Reviews, Taylor & Francis Journals, vol. 30(3), pages 251-273.
    See citations under working paper version above.
  6. Greg Tkacz, 2010. "An Uncertain Past: Data Revisions and Monetary Policy in Canada," Bank of Canada Review, Bank of Canada, vol. 2010(Spring), pages 41-51.

    Cited by:

    1. Greg Tkacz, 2013. "Predicting Recessions in Real-Time: Mining Google Trends and Electronic Payments Data for Clues," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 387, September.
    2. John W. Galbraith & Greg Tkacz, 2013. "Nowcasting GDP: Electronic Payments, Data Vintages and the Timing of Data Releases," CIRANO Working Papers 2013s-25, CIRANO.
    3. Xueting Yu & Yuhan Zhu & Guangming Lv, 2020. "Analysis of the Impact of China’s GDP Data Revision on Monetary Policy from the Perspective of Uncertainty," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 56(6), pages 1251-1274, May.
    4. Gino Cateau & Malik Shukayev, 2018. "Limited Commitment, Endogenous Credibility and the Challenges of Price-level Targeting," Staff Working Papers 18-61, Bank of Canada.
    5. Guido Traficante, 2017. "Uncertain Potential Output and Simple Rules in Small Open Economy," Computational Economics, Springer;Society for Computational Economics, vol. 50(3), pages 517-531, October.
    6. Sharon Kozicki & Jill Vardy, 2017. "Communicating Uncertainty in Monetary Policy," Discussion Papers 17-14, Bank of Canada.
    7. Matteo Cacciatore & Dmitry Matveev & Rodrigo Sekkel, 2022. "Uncertainty and Monetary Policy Experimentation: Empirical Challenges and Insights from Academic Literature," Discussion Papers 2022-9, Bank of Canada.
    8. Smith Paul, 2016. "Nowcasting UK GDP during the depression," Working Papers 1606, University of Strathclyde Business School, Department of Economics.
    9. Galbraith, John W. & Tkacz, Greg, 2015. "Nowcasting GDP with electronic payments data," Statistics Paper Series 10, European Central Bank.

  7. Miroslav Misina & Greg Tkacz, 2009. "Credit, Asset Prices, and Financial Stress," International Journal of Central Banking, International Journal of Central Banking, vol. 5(4), pages 95-122, December.

    Cited by:

    1. Pierre-Richard Agénor & Koray Alper & Luiz A. Pereira da Silva, 2011. "Capital Regulation, Monetary Policy and Financial Stability," Working Papers Series 237, Central Bank of Brazil, Research Department.
    2. Hyeongwoo Kim & Wen Shi & Hyun Hak Kim, 2020. "Forecasting financial stress indices in Korea: a factor model approach," Empirical Economics, Springer, vol. 59(6), pages 2859-2898, December.
    3. Park, Cyn-Young & Mercado, Jr., Rogelio V., 2013. "Determinants of Financial Stress in Emerging Market Economies," ADB Economics Working Paper Series 356, Asian Development Bank.
    4. Maciej Krzak & Grzegorz Poniatowski & Katarzyna Wasik, 2014. "Measuring financial stress and economic sensitivity in CEE countries," CASE Network Reports 0117, CASE-Center for Social and Economic Research.
    5. Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager, 2016. "Systemic early warning systems for EU15 based on the 2008 crisis," Working Papers 202, Bank of Greece.
    6. Andrea Mazzocchetti & Eliana Lauretta & Marco Raberto & Andrea Teglio & Silvano Cincotti, 2020. "Systemic financial risk indicators and securitised assets: an agent-based framework," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 9-47, January.
    7. Armida Alisjahbana & Viktor Pirmana, 2015. "Assessing Indonesia’s Long Run Growth: The Role of Total Factor Productivity and Human Capital," Working Papers in Economics and Development Studies (WoPEDS) 201503, Department of Economics, Padjadjaran University, revised Oct 2015.
    8. Tom Roberts, 2017. "A Counterfactual Valuation of the Stock Index as a Predictor of Crashes," Staff Working Papers 17-38, Bank of Canada.
    9. Kremer, Manfred & Lo Duca, Marco & Holló, Dániel, 2012. "CISS - a composite indicator of systemic stress in the financial system," Working Paper Series 1426, European Central Bank.
    10. Ian Christensen & Fuchun Li, 2013. "A Semiparametric Early Warning Model of Financial Stress Events," Staff Working Papers 13-13, Bank of Canada.
    11. Tang, Pan & Tang, Tiantian & Lu, Chennuo, 2024. "Predicting systemic financial risk with interpretable machine learning," The North American Journal of Economics and Finance, Elsevier, vol. 71(C).
    12. Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager & Etti Baranoff, 2017. "A ternary-state early warning system for the European Union," Working Papers 222, Bank of Greece.
    13. Robert Vermeulen & Marco Hoeberichts & Bořek Vašíček & Diana Žigraiová & Kateřina Šmídková & Jakob Haan, 2015. "Financial Stress Indices and Financial Crises," Open Economies Review, Springer, vol. 26(3), pages 383-406, July.
    14. Begüm Yurteri Kösedağlı & A. Özlem Önder, 2021. "Determinants of financial stress in emerging market economies: Are spatial effects important?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(3), pages 4653-4669, July.
    15. Vašíček, Bořek & Žigraiová, Diana & Hoeberichts, Marco & Vermeulen, Robert & Šmídková, Kateřina & de Haan, Jakob, 2017. "Leading indicators of financial stress: New evidence," Journal of Financial Stability, Elsevier, vol. 28(C), pages 240-257.
    16. Maria Teresa Medeiros Garcia & Simão Rodrigues Abreu, 2024. "Banking stability determinants: evidence from Portugal," Journal of Banking Regulation, Palgrave Macmillan, vol. 25(2), pages 160-178, June.
    17. Hyeongwoo Kim & Wen Shi, 2020. "Forecasting Financial Vulnerability in the US: A Factor Model Approach," Auburn Economics Working Paper Series auwp2020-04, Department of Economics, Auburn University.
    18. DRAGHIA, Andreea & STEFONI, Sorina Emanuela, 2020. "A Financial Systemic Stress Index For Romania," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 24(3), pages 41-50, September.
    19. Nadežda Sinenko & Deniss Titarenko & Mikus Arinš, 2013. "The Latvian financial stress index as an important element of the financial system stability monitoring framework," Baltic Journal of Economics, Baltic International Centre for Economic Policy Studies, vol. 13(2), pages 85-110, December.
    20. Dovern, Jonas & van Roye, Björn, 2013. "International transmission of financial stress: Evidence from a GVAR," Kiel Working Papers 1844, Kiel Institute for the World Economy (IfW Kiel).
    21. Fuchun Li & Hongyu Xiao, 2016. "Early Warning of Financial Stress Events: A Credit-Regime-Switching Approach," Staff Working Papers 16-21, Bank of Canada.
    22. Cevik, Emrah Ismail & Dibooglu, Sel & Kutan, Ali M., 2013. "Measuring financial stress in transition economies," Journal of Financial Stability, Elsevier, vol. 9(4), pages 597-611.
    23. Christensen, Ian & Li, Fuchun, 2014. "Predicting financial stress events: A signal extraction approach," Journal of Financial Stability, Elsevier, vol. 14(C), pages 54-65.
    24. Apostolakis, George N. & Floros, Christos & Gkillas, Konstantinos & Wohar, Mark, 2021. "Financial stress, economic policy uncertainty, and oil price uncertainty," Energy Economics, Elsevier, vol. 104(C).
    25. Gunther Tichy, 2020. "Zur Prognostizierbarkeit von Krisen," WIFO Monatsberichte (monthly reports), WIFO, vol. 93(3), pages 193-206, March.
    26. Dovern, Jonas & van Roye, Björn, 2014. "International transmission and business-cycle effects of financial stress," Journal of Financial Stability, Elsevier, vol. 13(C), pages 1-17.
    27. Marco Lo Duca & Tuomas Peltonen, 2011. "Macrofinancial vulnerabilities and future financial stress: assessing systemic risks and predicting systemic events," BIS Papers chapters, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 82-88, Bank for International Settlements.
    28. Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung & Conseil d'Analyse Écon (ed.), 2010. "Monitoring economic performance, quality of life and sustainability. Joint report as requested by the Franco-German Ministerial Council," Occasional Reports / Expertisen, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, number 75366.
    29. Savas Papadopoulos & Pantelis Stavroulias & Thomas Sager, 2019. "Systemic early warning systems for EU14 based on the 2008 crisis: proposed estimation and model assessment for classification forecasting," Journal of Banking Regulation, Palgrave Macmillan, vol. 20(3), pages 226-244, September.
    30. Tihana Skrinjaric, 2023. "Leading indicators of financial stress in Croatia: a regime switching approach," Public Sector Economics, Institute of Public Finance, vol. 47(2), pages 205-232.
    31. TRIANDAFIL, Cristina Maria, 2013. "Sustainability of convergence in the context of macro-prudential policies in the European Union," Working Papers of National Institute for Economic Research 130618, Institutul National de Cercetari Economice (INCE).

  8. Greg Tkacz & Carolyn Wilkins, 2008. "Linear and threshold forecasts of output and inflation using stock and housing prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 131-151.

    Cited by:

    1. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    2. Elano Ferreira Arruda & Roberto Tatiwa Ferreira & Ivan Castelar, 2008. "Modelos lineares e não lineares da curva de Phillips para previsão da taxa de Inflação no Brasil," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807211607140, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    3. MeiChi Huang, 2020. "A threshold unobserved components model of housing bubbles: timings and effectiveness of monetary policies," Empirical Economics, Springer, vol. 59(2), pages 887-908, August.
    4. Costantini, Mauro & Kunst, Robert M., 2021. "On using predictive-ability tests in the selection of time-series prediction models: A Monte Carlo evaluation," International Journal of Forecasting, Elsevier, vol. 37(2), pages 445-460.
    5. MeiChi Huang, 2017. "Vulnerabilities to housing bubbles: Evidence from linkages between housing prices and income fundamentals," International Finance, Wiley Blackwell, vol. 20(1), pages 64-91, March.
    6. Huang, MeiChi & Chiang, Hsiu-Hsuan, 2017. "An early alarm system for housing bubbles," The Quarterly Review of Economics and Finance, Elsevier, vol. 63(C), pages 34-49.

  9. John W. Galbraith & Greg Tkacz, 2007. "Forecast content and content horizons for some important macroeconomic time series," Canadian Journal of Economics, Canadian Economics Association, vol. 40(3), pages 935-953, August.
    See citations under working paper version above.
  10. Li, Fuchun & Tkacz, Greg, 2006. "A consistent bootstrap test for conditional density functions with time-series data," Journal of Econometrics, Elsevier, vol. 133(2), pages 863-886, August.

    Cited by:

    1. Raffaella Giacomini & Dimitris N. Politis & Halbert White, 2012. "A warp-speed method for conducting Monte Carlo experiments involving bootstrap estimators," CeMMAP working papers CWP11/12, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    2. Kristensen, Dennis, 2011. "Semi-nonparametric estimation and misspecification testing of diffusion models," Journal of Econometrics, Elsevier, vol. 164(2), pages 382-403, October.
    3. Aït-Sahalia, Yacine & Fan, Jianqing & Peng, Heng, 2009. "Nonparametric Transition-Based Tests for Jump Diffusions," Journal of the American Statistical Association, American Statistical Association, vol. 104(487), pages 1102-1116.
    4. Zhang, Shulin & Song, Peter X.-K. & Shi, Daimin & Zhou, Qian M., 2012. "Information ratio test for model misspecification on parametric structures in stochastic diffusion models," Computational Statistics & Data Analysis, Elsevier, vol. 56(12), pages 3975-3987.
    5. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2008. "Partial Likelihood-Based Scoring Rules for Evaluating Density Forecasts in Tails," Discussion Papers 2008-10, School of Economics, The University of New South Wales.
    6. Hall, Stephen G. & Mitchell, James, 2007. "Combining density forecasts," International Journal of Forecasting, Elsevier, vol. 23(1), pages 1-13.
    7. Herman J. Bierens & Li Wang, 2017. "Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes," Econometric Reviews, Taylor & Francis Journals, vol. 36(1-3), pages 103-135, March.
    8. Qi Li & Jeffrey Scott Racine, 2006. "Nonparametric Econometrics: Theory and Practice," Economics Books, Princeton University Press, edition 1, volume 1, number 8355.
    9. Cees Diks & Valentyn Panchenko & Dick van Dijk, 2011. "Likelihood-based scoring rules for comparing density forecasts in tails," Post-Print hal-00834423, HAL.
    10. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    11. Valentina Corradi & Norman R. Swanson, 2003. "A Test for Comparing Multiple Misspecified Conditional Distributions," Departmental Working Papers 200314, Rutgers University, Department of Economics.
    12. Chen, Bin & Hong, Yongmiao, 2014. "A unified approach to validating univariate and multivariate conditional distribution models in time series," Journal of Econometrics, Elsevier, vol. 178(P1), pages 22-44.
    13. Li, Fuchun, 2007. "Testing The Parametric Specification Of The Diffusion Function In A Diffusion Process," Econometric Theory, Cambridge University Press, vol. 23(2), pages 221-250, April.
    14. Corradi, Valentina & Swanson, Norman R., 2006. "Bootstrap conditional distribution tests in the presence of dynamic misspecification," Journal of Econometrics, Elsevier, vol. 133(2), pages 779-806, August.
    15. Christian Kascha & Francesco Ravazzolo, 2008. "Combining inflation density forecasts," Working Paper 2008/22, Norges Bank.
    16. Aït-Sahalia, Yacine & Park, Joon Y., 2012. "Stationarity-based specification tests for diffusions when the process is nonstationary," Journal of Econometrics, Elsevier, vol. 169(2), pages 279-292.
    17. Hwang, Eunju & Shin, Dong Wan, 2012. "Stationary bootstrap for kernel density estimators under ψ-weak dependence," Computational Statistics & Data Analysis, Elsevier, vol. 56(6), pages 1581-1593.

  11. Li Fuchun & Tkacz Greg, 2004. "Combining Forecasts with Nonparametric Kernel Regressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 8(4), pages 1-18, December.

    Cited by:

    1. Ke Yang & Langnan Chen & Fengping Tian, 2015. "Realized Volatility Forecast of Stock Index Under Structural Breaks," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(1), pages 57-82, January.
    2. John W. Galbraith & Greg Tkacz, 2007. "Forecast Content And Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2007-01, McGill University, Department of Economics.
    3. David Bolder & Yuliya Romanyuk, 2008. "Combining Canadian Interest-Rate Forecasts," Staff Working Papers 08-34, Bank of Canada.
    4. Mohammad Mahbobi & Rashmit Singh G. Sukhmani, 2017. "Likelihood of financial distress in Canadian oil and gas market: An optimized hybrid forecasting approach," Journal of Economic and Financial Studies (JEFS), LAR Center Press, vol. 5(3), pages 12-25, June.
    5. John G. Galbraith & Greg Tkacz, 2006. "How Far Can We Forecast? Forecast Content Horizons For Some Important Macroeconomic Time Series," Departmental Working Papers 2006-13, McGill University, Department of Economics.
    6. Huiyu Huang & Tae-Hwy Lee, 2010. "To Combine Forecasts or to Combine Information?," Econometric Reviews, Taylor & Francis Journals, vol. 29(5-6), pages 534-570.
    7. Chen Zhuo & Yang Yuhong, 2007. "Time Series Models for Forecasting: Testing or Combining?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 11(1), pages 1-37, March.

  12. Tkacz, Greg, 2004. "Inflation changes, yield spreads, and threshold effects," International Review of Economics & Finance, Elsevier, vol. 13(2), pages 187-199.
    See citations under working paper version above.
  13. Jean-Paul Lam & Greg Tkacz, 2004. "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General Equilibrium Framework," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(I), pages 89-126, March.
    See citations under working paper version above.
  14. Tkacz, Greg, 2001. "Neural network forecasting of Canadian GDP growth," International Journal of Forecasting, Elsevier, vol. 17(1), pages 57-69.

    Cited by:

    1. Constantina Kopitsa & Ioannis G. Tsoulos & Vasileios Charilogis & Athanassios Stavrakoudis, 2024. "Predicting the Duration of Forest Fires Using Machine Learning Methods," Future Internet, MDPI, vol. 16(11), pages 1-19, October.
    2. Fildes, Robert & Stekler, Herman, 2002. "The state of macroeconomic forecasting," Journal of Macroeconomics, Elsevier, vol. 24(4), pages 435-468, December.
    3. Nahapetyan Yervand, 2019. "The benefits of the Velvet Revolution in Armenia: Estimation of the short-term economic gains using deep neural networks," Central European Economic Journal, Sciendo, vol. 6(53), pages 286-303, January.
    4. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production with Automated Procedures," Econometric Society 2004 Latin American Meetings 177, Econometric Society.
    5. Fildes, Robert & Bretschneider, Stuart & Collopy, Fred & Lawrence, Michael & Stewart, Doug & Winklhofer, Heidi & Mentzer, John T. & Moon, Mark A., 2003. "Researching Sales Forecasting Practice: Commentaries and authors' response on "Conducting a Sales Forecasting Audit" by M.A. Moon, J.T. Mentzer & C.D. Smith," International Journal of Forecasting, Elsevier, vol. 19(1), pages 27-42.
    6. Ofori, Isaac K, 2021. "Catching The Drivers of Inclusive Growth In Sub-Saharan Africa: An Application of Machine Learning," MPRA Paper 108622, University Library of Munich, Germany.
    7. Romulo A. Chumacero, 2004. "Forecasting Chilean Industrial Production and Sales with Automated Procedures," Computing in Economics and Finance 2004 112, Society for Computational Economics.
    8. Muellbauer, John & Aron, Janine, 2002. "Interest Rate Effects on Output: Evidence from a GDP Forecasting Model for South Africa," CEPR Discussion Papers 3595, C.E.P.R. Discussion Papers.
    9. Raquel M. Gaspar & Sara D. Lopes & Bernardo Sequeira, 2020. "Neural Network Pricing of American Put Options," Risks, MDPI, vol. 8(3), pages 1-24, July.
    10. KANAZAWA, Nobuyuki & 金澤, 伸幸, 2018. "Radial Basis Functions Neural Networks for Nonlinear Time Series Analysis and Time-Varying Effects of Supply Shocks," Discussion paper series HIAS-E-64, Hitotsubashi Institute for Advanced Study, Hitotsubashi University.
    11. Jena, Pradyot Ranjan & Majhi, Ritanjali & Kalli, Rajesh & Managi, Shunsuke & Majhi, Babita, 2021. "Impact of COVID-19 on GDP of major economies: Application of the artificial neural network forecaster," Economic Analysis and Policy, Elsevier, vol. 69(C), pages 324-339.
    12. Isaac K. Ofori & Camara K. Obeng & Simplice A. Asongu, 2022. "What Really Drives Economic Growth in Sub-Saharan Africa? Evidence from The Lasso Regularization and Inferential Techniques," Working Papers 22/061, European Xtramile Centre of African Studies (EXCAS).
    13. Jahn, Malte, 2018. "Artificial neural network regression models: Predicting GDP growth," HWWI Research Papers 185, Hamburg Institute of International Economics (HWWI).
    14. Terasvirta, Timo & van Dijk, Dick & Medeiros, Marcelo C., 2005. "Linear models, smooth transition autoregressions, and neural networks for forecasting macroeconomic time series: A re-examination," International Journal of Forecasting, Elsevier, vol. 21(4), pages 755-774.
    15. Goutam Dutta & Pankaj Jha & Arnab Kumar Laha & Neeraj Mohan, 2006. "Artificial Neural Network Models for Forecasting Stock Price Index in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 283-295, December.
    16. Timotej Jagric, 2003. "Forecasting with leading economic indicators - a non-linear approach," Prague Economic Papers, Prague University of Economics and Business, vol. 2003(1), pages 68-83.
    17. Jane Binner & Rakesh Bissoondeeal & Thomas Elger & Alicia Gazely & Andrew Mullineux, 2005. "A comparison of linear forecasting models and neural networks: an application to Euro inflation and Euro Divisia," Applied Economics, Taylor & Francis Journals, vol. 37(6), pages 665-680.
    18. Jean-Paul Lam & Greg Tkacz, 2004. "Estimating Policy-Neutral Interest Rates for Canada Using a Dynamic Stochastic General Equilibrium Framework," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 140(I), pages 89-126, March.
    19. Ibarra-Ramírez Raúl, 2021. "The Yield Curve as a Predictor of Economic Activity in Mexico: The Role of the Term Premium," Working Papers 2021-07, Banco de México.
    20. Olson, Dennis & Mossman, Charles, 2003. "Neural network forecasts of Canadian stock returns using accounting ratios," International Journal of Forecasting, Elsevier, vol. 19(3), pages 453-465.
    21. Heravi, Saeed & Osborn, Denise R. & Birchenhall, C. R., 2004. "Linear versus neural network forecasts for European industrial production series," International Journal of Forecasting, Elsevier, vol. 20(3), pages 435-446.
    22. Qi, Min & Yang, Sha, 2003. "Forecasting consumer credit card adoption: what can we learn about the utility function?," International Journal of Forecasting, Elsevier, vol. 19(1), pages 71-85.
    23. Ricardo P. Masini & Marcelo C. Medeiros & Eduardo F. Mendes, 2023. "Machine learning advances for time series forecasting," Journal of Economic Surveys, Wiley Blackwell, vol. 37(1), pages 76-111, February.
    24. Alexandra Bozhechkova & Urmat Dzhunkeev, 2024. "CLARA and CARLSON: Combination of Ensemble and Neural Network Machine Learning Methods for GDP Forecasting," Russian Journal of Money and Finance, Bank of Russia, vol. 83(3), pages 45-69, September.
    25. Shafiullah Qureshi & Ba Chu & Fanny S. Demers, 2021. "Forecasting Canadian GDP Growth with Machine Learning," Carleton Economic Papers 21-05, Carleton University, Department of Economics.
    26. Emil Kraft & Dogan Keles & Wolf Fichtner, 2020. "Modeling of frequency containment reserve prices with econometrics and artificial intelligence," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(8), pages 1179-1197, December.
    27. Jan G. de Gooijer & Rob J. Hyndman, 2005. "25 Years of IIF Time Series Forecasting: A Selective Review," Tinbergen Institute Discussion Papers 05-068/4, Tinbergen Institute.
    28. Eugenia I. Toki & Giorgos Tatsis & Vasileios A. Tatsis & Konstantinos Plachouras & Jenny Pange & Ioannis G. Tsoulos, 2023. "Applying Neural Networks on Biometric Datasets for Screening Speech and Language Deficiencies in Child Communication," Mathematics, MDPI, vol. 11(7), pages 1-15, March.
    29. Aldona Migala-Warchol & Agata Surowka, 2022. "Forecasting Macroeconomic Indicators for Selected European Union Countries," European Research Studies Journal, European Research Studies Journal, vol. 0(2), pages 420-431.
    30. Firdous Ahmad Shah & Lokenath Debnath, 2017. "Wavelet Neural Network Model for Yield Spread Forecasting," Mathematics, MDPI, vol. 5(4), pages 1-15, November.
    31. Saman, Corina, 2011. "Scenarios of the Romanian GDP Evolution With Neural Models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 129-140, December.
    32. Qing Cao & Mark Parry & Karyl Leggio, 2011. "The three-factor model and artificial neural networks: predicting stock price movement in China," Annals of Operations Research, Springer, vol. 185(1), pages 25-44, May.
    33. Malik, Farooq & Nasereddin, Mahdi, 2006. "Forecasting output using oil prices: A cascaded artificial neural network approach," Journal of Economics and Business, Elsevier, vol. 58(2), pages 168-180.
    34. Corcoran, Jonathan J. & Wilson, Ian D. & Ware, J. Andrew, 2003. "Predicting the geo-temporal variations of crime and disorder," International Journal of Forecasting, Elsevier, vol. 19(4), pages 623-634.
    35. Duarte, Agustin & Venetis, Ioannis A. & Paya, Ivan, 2005. "Predicting real growth and the probability of recession in the Euro area using the yield spread," International Journal of Forecasting, Elsevier, vol. 21(2), pages 261-277.
    36. Seulki Chung, 2023. "Inside the black box: Neural network-based real-time prediction of US recessions," Papers 2310.17571, arXiv.org, revised May 2024.
    37. Jahn, Malte, 2020. "Artificial neural network regression models in a panel setting: Predicting economic growth," Economic Modelling, Elsevier, vol. 91(C), pages 148-154.
    38. Krist'of N'emeth & D'aniel Hadh'azi, 2023. "GDP nowcasting with artificial neural networks: How much does long-term memory matter?," Papers 2304.05805, arXiv.org, revised Feb 2024.
    39. De Gooijer, Jan G. & Hyndman, Rob J., 2006. "25 years of time series forecasting," International Journal of Forecasting, Elsevier, vol. 22(3), pages 443-473.
    40. Farzan Aminian & E. Suarez & Mehran Aminian & Daniel Walz, 2006. "Forecasting Economic Data with Neural Networks," Computational Economics, Springer;Society for Computational Economics, vol. 28(1), pages 71-88, August.
    41. Loermann, Julius & Maas, Benedikt, 2019. "Nowcasting US GDP with artificial neural networks," MPRA Paper 95459, University Library of Munich, Germany.
    42. Venetis, Ioannis A. & Paya, Ivan & Peel, David A., 2003. "Re-examination of the predictability of economic activity using the yield spread: a nonlinear approach," International Review of Economics & Finance, Elsevier, vol. 12(2), pages 187-206.
    43. Greg Tkacz & Carolyn Wilkins, 2008. "Linear and threshold forecasts of output and inflation using stock and housing prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(2), pages 131-151.
    44. Marc-André Gosselin & Greg Tkacz, 2001. "Evaluating Factor Models: An Application to Forecasting Inflation in Canada," Staff Working Papers 01-18, Bank of Canada.
    45. Ivan Paya & David A. Peel & Ioannis A. Venetis, 2004. "Asymmetry In The Link Between The Yield Spread And Industrial Production. Threshold Effects And Forecasting," Working Papers. Serie AD 2004-41, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    46. David C. Wheelock & Mark E. Wohar, 2009. "Can the term spread predict output growth and recessions? a survey of the literature," Review, Federal Reserve Bank of St. Louis, vol. 91(Sep), pages 419-440.
    47. Dalu Zhang & Peter Moffatt, 2013. "Time series non-linearity in the real growth / recession-term spread relationship," University of East Anglia Applied and Financial Economics Working Paper Series 047, School of Economics, University of East Anglia, Norwich, UK..
    48. Greg Tkacz & Carolyn A. Wilkins, 2006. "Linear and Threshold Forecasts of Output and Inflation with Stock and Housing Prices," Staff Working Papers 06-25, Bank of Canada.
    49. Omay, Tolga, 2008. "The Term Structure of Interest Rate as a Predictor of Inflation and Real Economic Activity: Nonlinear Evidence from Turkey," MPRA Paper 28572, University Library of Munich, Germany.
    50. Malte Jahn, 2023. "Artificial neural networks and time series of counts: A class of nonlinear INGARCH models," Papers 2304.01025, arXiv.org.
    51. Tea Šestanović & Josip Arnerić, 2021. "Neural network structure identification in inflation forecasting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 62-79, January.

  15. Tkacz, Greg, 2001. "Endogenous thresholds and tests for asymmetry in US prime rate movements," Economics Letters, Elsevier, vol. 73(2), pages 207-211, November.

    Cited by:

    1. Mark A. Thompson, 2006. "Asymmetric adjustment in the prime lending–deposit rate spread," Review of Financial Economics, John Wiley & Sons, vol. 15(4), pages 323-329.
    2. Johann Burgstaller, 2005. "Interest rate pass-through estimates from vector autoregressive models," Economics working papers 2005-10, Department of Economics, Johannes Kepler University Linz, Austria.
    3. Chu V. Nguyen, & Muhammad Mahboob Ali, & Alexandru Mircea Nedelea, 2017. "The Behaviors Of Lending, Deposit Rates And Intermediation Premium Of Pakistani Banks With Different Types Of Ownership Structures," EcoForum, "Stefan cel Mare" University of Suceava, Romania, Faculty of Economics and Public Administration - Economy, Business Administration and Tourism Department., vol. 6(1), pages 1-49, January.
    4. Paraschiv, Florentina, 2012. "Adjustment Policy of Deposit Rates in the Case of Swiss non-Maturing Savings Accounts," Working Papers on Finance 1219, University of St. Gallen, School of Finance.
    5. Chu V. Nguyen & David McMillan, 2015. "The Vietnamese lending rate, policy-related rate, and monetary policy post-1997 Asian financial crisis," Cogent Economics & Finance, Taylor & Francis Journals, vol. 3(1), pages 1007808-100, December.
    6. James Payne & George Waters, 2008. "Interest rate pass through and asymmetric adjustment: evidence from the federal funds rate operating target period," Applied Economics, Taylor & Francis Journals, vol. 40(11), pages 1355-1362.
    7. Michael Fung, 2014. "Ocean Carriers’ Collusion Under Antitrust Immunity: Evidence of Asymmetric Pass-Through," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 45(1), pages 59-77, August.
    8. Thompson, Mark A., 2006. "Asymmetric adjustment in the prime lending-deposit rate spread," Review of Financial Economics, Elsevier, vol. 15(4), pages 323-329.

  16. Tkacz Greg, 2001. "Estimating the Fractional Order of Integration of Interest Rates Using a Wavelet OLS Estimator," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 5(1), pages 1-15, April.
    See citations under working paper version above.
  17. Galbraith, John W. & Tkacz, Greg, 2000. "Testing for asymmetry in the link between the yield spread and output in the G-7 countries," Journal of International Money and Finance, Elsevier, vol. 19(5), pages 657-672, October.
    See citations under working paper version above.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.