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Money and Credit Factors

Author

Listed:
  • Paul Gilbert
  • Erik Meijer

Abstract

The authors introduce new measures of important underlying macroeconomic phenomena that affect the financial side of the economy. These measures are calculated using the time-series factor analysis (TSFA) methodology introduced in Gilbert and Meijer (2005). The measures appear to be both more interesting and more robust to the effects of financial innovations than traditional aggregates. The general ideas set out in Gilbert and Pichette (2003) are pursued, but the improved estimation methods of TSFA are used. Furthermore, four credit aggregates are added to the components of the monetary aggregates, resulting in the possibility of extracting more common factors.

Suggested Citation

  • Paul Gilbert & Erik Meijer, 2006. "Money and Credit Factors," Staff Working Papers 06-3, Bank of Canada.
    • Handle: RePEc:bca:bocawp:06-3
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    File URL: https://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-3.pdf
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    References listed on IDEAS

    as
    1. Walid Hejazi & Eric Santor, 2005. "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Staff Working Papers 05-32, Bank of Canada.
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    Cited by:

    1. Klomp, Jeroen & de Haan, Jakob, 2009. "Central bank independence and financial instability," Journal of Financial Stability, Elsevier, vol. 5(4), pages 321-338, December.

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    More about this item

    Keywords

    Credit and credit aggregates; Monetary aggregates; Econometric and statistical methods;
    All these keywords.

    JEL classification:

    • E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
    • C43 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Index Numbers and Aggregation
    • C82 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs - - - Methodology for Collecting, Estimating, and Organizing Macroeconomic Data; Data Access

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