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Money and Credit Factors

Paul Gilbert and Erik Meijer ()

Staff Working Papers from Bank of Canada

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.

Keywords: Credit and credit aggregates; Monetary aggregates; Econometric and statistical methods (search for similar items in EconPapers)
JEL-codes: C43 C82 E51 (search for similar items in EconPapers)
Pages: 40 pages
Date: 2006
New Economics Papers: this item is included in nep-cba, nep-fmk, nep-mac and nep-mon
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Persistent link: https://EconPapers.repec.org/RePEc:bca:bocawp:06-3

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