C1 - Econometric and Statistical Methods and Methodology: General - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:55:09+00:00Predictive Density Combination Using a Tree-Based Synthesis Function
https://www.bankofcanada.ca/2023/12/staff-working-paper-2023-61/
This paper studies non-parametric combinations of density forecasts. We introduce a regression tree-based approach that allows combination weights to vary on the features of the densities, time-trends or economic indicators. In two empirical applications, we show the benefits of this approach in terms of improved forecast accuracy and interpretability.2023-12-28T13:20:25+00:00enPredictive Density Combination Using a Tree-Based Synthesis Function2023-12-28Econometric and statistical methodsStaff Working Paper 2023-61https://www.bankofcanada.ca/wp-content/uploads/2023/12/swp2023-61.pdfPredictive Density Combination Using a Tree-Based Synthesis FunctionTony ChernisNiko HauzenbergerFlorian HuberGary KoopJames MitchellDecember 2023CC1C11C3C32C5C53Three things we learned about the Lynx payment system
https://www.bankofcanada.ca/2023/10/staff-analytical-note-2023-14/
Canada transitioned to a new wholesale payment system, Lynx, in August 2021. Lynx is based on a real-time settlement model that eliminates credit risk in the system. This model can require more liquidity; however, Lynx’s design allows Canada’s wholesale payments to settle efficiently.2023-10-10T14:30:23+00:00enThree things we learned about the Lynx payment system2023-10-10Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis
https://www.bankofcanada.ca/2023/08/staff-working-paper-2023-45/
I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best.2023-08-21T11:45:16+00:00enCombining Large Numbers of Density Predictions with Bayesian Predictive Synthesis2023-08-21Econometric and statistical methodsStaff Working Paper 2023-45https://www.bankofcanada.ca/wp-content/uploads/2023/08/swp2023-45.pdfStaff Working Paper 2023-45Tony ChernisAugust 2023CC1C11C5C52C53EE3E37Unmet Payment Needs and a Central Bank Digital Currency
https://www.bankofcanada.ca/2023/08/staff-discussion-paper-2023-15/
We discuss the payment habits of Canadians both in the current payment environment and in a hypothetical cashless environment.2023-08-10T15:59:03+00:00enUnmet Payment Needs and a Central Bank Digital Currency2023-08-10Bank notesCentral bank researchDigital currencies and fintechFinancial servicesStaff Discussion Paper 2023-15https://www.bankofcanada.ca/wp-content/uploads/2023/08/sdp2023-15.pdfStaff Discussion Paper 2023-15Christopher HenryWalter EngertAlexandra Sutton-LalaniSebastian HernandezDarcey McVanelKim HuynhAugust 2023CC1C12C9EE4OO5O54Global Demand and Supply Sentiment: Evidence from Earnings Calls
https://www.bankofcanada.ca/2023/06/staff-working-paper-2023-37/
This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.2023-06-30T11:26:15+00:00enGlobal Demand and Supply Sentiment: Evidence from Earnings Calls2023-06-30Business fluctuations and cyclesCoronavirus disease (COVID-19)Econometric and statistical methodsInflation and pricesInternational topicsStaff Working Paper 2023-37https://www.bankofcanada.ca/wp-content/uploads/2023/06/swp2023-37.pdfGlobal Demand and Supply Sentiment: Evidence from Earnings CallsTemel TaskinFranz Ulrich RuchJune 2023CC1C11C3C32EE3E32GG1G10What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?
https://www.bankofcanada.ca/2023/06/staff-discussion-paper-2023-13/
We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time.2023-06-29T11:49:36+00:00enWhat Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?2023-06-29Central bank researchDomestic demand and componentsEconometric and statistical methodsInflation and pricesPotential outputStaff Discussion Paper 2023-13https://www.bankofcanada.ca/wp-content/uploads/2023/06/sdp2023-13.pdfWhat Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?Marc-André GosselinTemel TaskinJune 2023CC1C3EE3E5From LVTS to Lynx: Quantitative Assessment of Payment System Transition
https://www.bankofcanada.ca/2023/04/staff-working-paper-2023-24/
We quantitatively assess the changes in participants’ payment behaviour from modernizing Canada's high-value payments system to Lynx. Our analysis suggests that Lynx's liquidity-saving mechanism encourages liquidity pooling and early payments submission, resulting in improved efficiency for participants but with slightly increased payment delays.2023-04-14T13:05:23+00:00enFrom LVTS to Lynx: Quantitative Assessment of Payment System Transition2023-04-14Financial institutionsFinancial servicesFinancial system regulation and policiesPayment clearing and settlement systemsStaff Working Paper 2023-24https://www.bankofcanada.ca/wp-content/uploads/2023/04/swp2023-24.pdfStaff Working Paper 2023-24Ajit DesaiZhentong LuHiru RodrigoJacob SharplesPhoebe TianNellie ZhangApril 2023CC1C10EE4E42GG2G28Core inflation over the COVID-19 pandemic
https://www.bankofcanada.ca/2022/11/staff-analytical-note-2022-17/
We assess the usefulness of various measures of core inflation over the COVID-19 pandemic. We find that Cpi-trim and CPI-median provided the best signal of underlying inflation. The favourable performance of these measures stems from their lack of reliance on historical experience, an especially valuable feature in unprecedented times.2022-11-07T16:07:43+00:00enCore inflation over the COVID-19 pandemic2022-11-07Private Digital Cryptoassets as Investment? Bitcoin Ownership and Use in Canada, 2016-2021
https://www.bankofcanada.ca/2022/10/staff-working-paper-2022-44/
We report on the dynamics of Bitcoin awareness and ownership from 2016 to 2021, using the Bank of Canada's Bitcoin Omnibus Surveys (BTCOS). Our analysis also helps understand Bitcoin owners who adopted during the COVID-19 and how they differ from long-term owners. 2022-10-12T10:00:48+00:00enPrivate Digital Cryptoassets as Investment? Bitcoin Ownership and Use in Canada, 2016-20212022-10-12Bank notesDigital currencies and fintechEconometric and statistical methodsStaff Working Paper 2022-44https://www.bankofcanada.ca/wp-content/uploads/2022/10/swp2022-44.pdfPrivate Digital Cryptoassests as Investment? Bitcoin Ownership and Use in Canada, 2016-2021Daniela BalutelWalter EngertChristopher HenryKim HuynhMarcel VoiaOctober 2022CC1C12EE4OO5O51Five things we learned about Canadian Bitcoin owners in 2021
https://www.bankofcanada.ca/2022/10/five-things-we-learned-about-canadian-bitcoin-owners-in-2021/
We present key findings from the 2021 Bitcoin Omnibus Survey on Canadians’ awareness and ownership of Bitcoin. Most Canadians have heard of Bitcoin, which remains primarily used as an investment. Ownership jumped in 2021, reflecting increased savings during the pandemic and greater availability of user-friendly platforms to buy Bitcoin.2022-10-12T10:00:44+00:00enFive things we learned about Canadian Bitcoin owners in 20212022-10-12