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This paper uses discrete-choice models to quantify the role of consumer socioeconomic characteristics, payment instrument attributes, and transaction features on the prob[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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Building on the growing evidence on the importance of large data sets for empirical macroeconomic modeling, we use a factor-augmented VAR (FAVAR) model with more than 260[...]
2011 | Text | Staff Working Paper - Document de travail du personnel |
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Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underly[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbanc[...]
2013 | Text | Staff Working Paper - Document de travail du personnel |
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This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allo[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how c[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying paramet[...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large [...]
2012 | Text | Staff Working Paper - Document de travail du personnel |
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