We propose a new test for a multivariate parametric conditional distribution of a vector of variables yt given a conditional vector xt. The proposed test is shown to have[...]

Historical narratives typically associate financial crises with credit expansions and asset price misalignments. The question is whether some combination of measures of c[...]

For stationary transformations of variables, there exists a maximum horizon beyond which forecasts can provide no more information about the variable than is present in t[...]

Using data for 14 countries over the 1994 to 2005 period, we assess the leading indicator properties of gold at horizons ranging from 6 to 24 months. We find that gold co[...]

Since the advent of standard national accounts data over 60 years ago, economists have traditionally relied on monthly or quarterly data supplied by central statistical a[...]

The authors examine whether simple measures of Canadian equity and housing price misalignments contain leading information about output growth and inflation. Previous aut[...]

The authors document the research output of 34 central banks from 1990 to 2003, and use proxies of research inputs to measure the research productivity of central banks o[...]

In an era when the primary policy instrument is the level of the short-term interest rate, a comparison of that rate with some equilibrium rate can be a useful guide for [...]

Using interest rate yield spreads to explain changes in inflation, we investigate whether such relationships can be modelled using two-regime threshold models. Implementi[...]

This paper evaluates linear and non-linear forecast-combination methods. Among the non-linear methods, we propose a nonparametric kernel-regression weighting approach tha[...]