Money and Credit Factors
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.
|Date of creation:||2006|
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- Walid Hejazi & Eric Santor, 2005. "Degree of Internationalization and Performance: An Analysis of Canadian Banks," Staff Working Papers 05-32, Bank of Canada.
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