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Money and Credit Factors

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Author Info

  • Paul D. 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.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/02/wp06-3.pdf
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Bibliographic Info

Paper provided by Bank of Canada in its series Working Papers with number 06-3.

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Length: 40 pages
Date of creation: 2006
Date of revision:
Handle: RePEc:bca:bocawp:06-3

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Related research

Keywords: Credit and credit aggregates; Monetary aggregates; Econometric and statistical methods;

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References

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  1. Walid Hejazi & Eric Santor, 2005. "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Working Papers, Bank of Canada 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, Elsevier, vol. 5(4), pages 321-338, December.

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