Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches (eBook, 2018) [WorldCat.org]
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Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

Author: Andrew Lee-Poy
Publisher: Ottawa, ON, CA : Bank of Canada, 2018.
Series: Staff Analytical Note/Note analytique du personnel, 2018-34.
Edition/Format:   eBook : Document : National government publication : EnglishView all editions and formats
Summary:
'In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model. Applying the two approaches to Canada yields several findings. First, the Canadian financial cycle is more than  Read more...
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Details

Genre/Form: Electronic books
Material Type: Document, Government publication, National government publication, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Andrew Lee-Poy
OCLC Number: 1060577792
Language Note: Includes abstracts in English and French.
Description: 1 online resource (21 pages).
Series Title: Staff Analytical Note/Note analytique du personnel, 2018-34.
Responsibility: Andrew Lee-Poy.
More information:

Abstract:

'In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model. Applying the two approaches to Canada yields several findings. First, the Canadian financial cycle is more than twice as long as the business cycle, with an amplitude almost four times greater. Second, the overall Canadian financial cycle is most strongly associated with household credit and house prices. Third, while Canadian house prices are mostly associated with the financial cycle, they are also significantly tied to the business cycle. Lastly, house prices are found to lead the overall financial cycle'--Abstract, p. ii.

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