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  <title>EconStor Collection:</title>
  <link rel="alternate" href="https://hdl.handle.net/10419/53155" />
  <subtitle />
  <id>https://hdl.handle.net/10419/53155</id>
  <updated>2026-04-28T11:20:37Z</updated>
  <dc:date>2026-04-28T11:20:37Z</dc:date>
  <entry>
    <title>Quantile VARs and macroeconomic risk forecasting</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/311806" />
    <author>
      <name>Surprenant, Stéphane</name>
    </author>
    <id>https://hdl.handle.net/10419/311806</id>
    <updated>2025-02-22T02:09:20Z</updated>
    <published>2025-01-01T00:00:00Z</published>
    <summary type="text">Title: Quantile VARs and macroeconomic risk forecasting
Authors: Surprenant, Stéphane
Abstract: Recent rises in macroeconomic volatility have prompted the introduction of quantile vector autoregression (QVAR) models to forecast macroeconomic risk. This paper provides an extensive evaluation of the predictive performance of QVAR models in a pseudo-out-of-sample experiment spanning 112 monthly US variables over 40 years, with horizons of 1 to 12 months. We compare QVAR with three parametric benchmarks: a Gaussian VAR, a generalized autoregressive conditional heteroskedasticity VAR and a VAR with stochastic volatility. QVAR frequently, significantly and quantitatively improves upon the benchmarks and almost never performs significantly worse. Forecasting improvements are concentrated in the labour market and interest and exchange rates. Augmenting the QVAR model with factors estimated by principal components or quantile factors significantly enhances macroeconomic risk forecasting in some cases, mostly in the labour market. Generally, QVAR and the augmented models perform equally well. We conclude that both are adequate tools for modeling macroeconomic risks.</summary>
    <dc:date>2025-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>Differentiable, filter free Bayesian estimation of DSGE models using mixture density networks</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/311805" />
    <author>
      <name>Naubert, Christopher</name>
    </author>
    <id>https://hdl.handle.net/10419/311805</id>
    <updated>2025-02-22T02:13:41Z</updated>
    <published>2025-01-01T00:00:00Z</published>
    <summary type="text">Title: Differentiable, filter free Bayesian estimation of DSGE models using mixture density networks
Authors: Naubert, Christopher
Abstract: I develop a methodology for Bayesian estimation of globally solved, non-linear macroeconomic models. A novel feature of my method is the use of a mixture density network to approximate the distribution of initial states. I use the methodology to estimate a medium-scale, two-agent New Keynesian model with irreversible investment and a zero lower bound on nominal interest rates. Using simulated data, I show that the method is able to recover the "true" parameters when using the mixture density network approximation of the initial state distribution. This contrasts with the case when the initial states are set to their steady-state values.</summary>
    <dc:date>2025-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>The international exposure of the Canadian banking system</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/311803" />
    <author>
      <name>Friedrich, Christian</name>
    </author>
    <author>
      <name>Friedrich, Hanno</name>
    </author>
    <author>
      <name>Lawrence, Nick</name>
    </author>
    <author>
      <name>Cortes Orihuela, Javier</name>
    </author>
    <author>
      <name>Tian, Phoebe</name>
    </author>
    <id>https://hdl.handle.net/10419/311803</id>
    <updated>2025-02-22T02:01:33Z</updated>
    <published>2025-01-01T00:00:00Z</published>
    <summary type="text">Title: The international exposure of the Canadian banking system
Authors: Friedrich, Christian; Friedrich, Hanno; Lawrence, Nick; Cortes Orihuela, Javier; Tian, Phoebe
Abstract: Over the past decade, the six largest Canadian banks held an increasingly greater share of their assets and liabilities abroad, linking the Canadian banking system more closely to economic and financial developments elsewhere in the world. In 2023, the share of Canadian banks' foreign assets and liabilities amounted to around 50%, with foreign exposures even exceeding domestic ones for some balance sheet items and calculations. Using a combination of regulatory and commercial data sources, we document Canadian banks' foreign activities and provide an overview of potential vulnerabilities that may be associated with them. The following facts emerge: First, Canadian banks' foreign activities differ considerably from their domestic ones. While Canadian banks engage domestically mostly with real sector entities, such as households and non-financial corporations, their most common counterparties abroad are non-bank financial institutions (NBFIs). To the extent that NBFIs or their behaviours might be less known to Canadian banks-for example, because of information asymmetries- a considerable exposure to such entities could constitute a potential vulnerability. Second, Canadian banks have sizable foreign currency and foreign country exposure to the US dollar and the United States, but also notable exposures to other currencies and countries. Third, we document the presence of an indirect foreign exposure channel for Canadian banks through lending to internationally exposed firms, even if these firms are domiciled in Canada and borrow in Canadian dollars. Lastly, we present a case study highlighting how Canadian banks have expanded internationally at times when banks of many other countries retreated.</summary>
    <dc:date>2025-01-01T00:00:00Z</dc:date>
  </entry>
  <entry>
    <title>Non-bank dealing and liquidity bifurcation in fixed-income markets</title>
    <link rel="alternate" href="https://hdl.handle.net/10419/311804" />
    <author>
      <name>Brolley, Michael</name>
    </author>
    <author>
      <name>Cimon, David A.</name>
    </author>
    <id>https://hdl.handle.net/10419/311804</id>
    <updated>2025-02-22T02:10:42Z</updated>
    <published>2025-01-01T00:00:00Z</published>
    <summary type="text">Title: Non-bank dealing and liquidity bifurcation in fixed-income markets
Authors: Brolley, Michael; Cimon, David A.
Abstract: Non-bank financial institutions, such as principal-trading firms and hedge funds, increasingly compete with bank-owned dealers in fixed-income markets. Some market participants worry that if non-bank financial institutions push out established bank dealers, liquidity will become unreliable during times of stress. We model non-bank entry and state-dependent liquidity provision. Non-bank participants improve liquidity more during normal times than in stress, leading to a bifurcation of liquidity. In the cross-section, their entry improves liquidity for large and previously unserved small clients; however, banks may no longer provide reliable liquidity to marginal clients. Central bank lending may limit harmful bifurcation during times of stress if that lending is predictable and at sufficiently favourable terms.</summary>
    <dc:date>2025-01-01T00:00:00Z</dc:date>
  </entry>
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