C - Mathematical and Quantitative Methods - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T15:03:49+00:00How Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data
https://www.bankofcanada.ca/2012/12/discussion-paper-2012-9/
Using a unique micro-dataset containing real and financial information on Canadian households for 2000–07, the authors address two questions: (1) What is the proportion of households whose consumption displays excess sensitivity to income, and who are likely liquidity constrained?2012-12-21T08:09:48+00:00enHow Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data2012-12-21Economic modelsSectoral balance sheetDiscussion Paper 2012-09https://www.bankofcanada.ca/wp-content/uploads/2012/12/dp2012-09.pdfHow Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-DataUmar FaruquiSamah TorchaniDecember 2012CC3C35DD1D12D3D30Extracting Information from the Business Outlook Survey Using Statistical Approaches
https://www.bankofcanada.ca/2012/12/discussion-paper-2012-8/
Since the autumn of 1997, the regional offices of the Bank of Canada have conducted quarterly consultations with businesses across Canada. These consultations, summarized in the Business Outlook Survey (BOS), are structured around a survey questionnaire that covers topics of importance to the Bank, notably business activity, pressures on production capacity, prices and inflation, and credit conditions.2012-12-21T08:03:59+00:00enExtracting Information from the Business Outlook Survey Using Statistical Approaches2012-12-21Business fluctuations and cyclesRegional economic developmentsDiscussion Paper 2012-08https://www.bankofcanada.ca/wp-content/uploads/2012/12/dp2012-08.pdfExtracting Information from the Business Outlook Survey Using Statistical ApproachesLise PichetteDecember 2012CC4C43C8C82EE3E37The Effects of Oil Price Uncertainty on the Macroeconomy
https://www.bankofcanada.ca/2012/12/working-paper-2012-40/
This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.2012-12-18T11:13:54+00:00enThe Effects of Oil Price Uncertainty on the Macroeconomy2012-12-18Business fluctuations and cyclesEconometric and statistical methodsWorking Paper 2012-40https://www.bankofcanada.ca/wp-content/uploads/2012/12/wp2012-40.pdfThe Effects of Oil Price Uncertainty on the MacroeconomySoojin JoDecember 2012CC3C32EE3E32QQ4Q43The Changing Landscape for Retail Payments in Canada and the Implications for the Demand for Cash
https://www.bankofcanada.ca/wp-content/uploads/2012/11/boc-review-autumn12-arango.pdf
Over the past 20 years, there has been a major shift away from the use of paper-based retail payment instruments, such as cash and cheques, toward electronic means of payment, such as debit cards and credit cards. Recent Bank of Canada research on consumers’ choice of payment instruments indicates that cash is frequently used for transactions with low values because of its speed, ease of use and wide acceptance, while debit and credit cards are more commonly used for transactions with higher values because of perceived attributes such as safety and record keeping. While innovations in retail payments currently being introduced into the Canadian marketplace could lead to a further reduction in the use of cash over the longer term, the implications for the use of cash of some of the structural and regulatory developments under way are less clear.2012-11-15T07:40:57+00:00enThe Changing Landscape for Retail Payments in Canada and the Implications for the Demand for Cash2012-11-15The Role of Credit in International Business Cycles
https://www.bankofcanada.ca/2012/11/working-paper-2012-36/
This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.2012-11-14T15:28:29+00:00enThe Role of Credit in International Business Cycles2012-11-14Business fluctuations and cyclesCredit and credit aggregatesEconometric and statistical methodsInternational financial marketsWorking Paper 2012-36https://www.bankofcanada.ca/wp-content/uploads/2012/11/wp2012-36.pdfThe Role of Credit in International Business CyclesTengTeng XuNovember 2012CC3C32EE3E32E4E44GG2G21China’s Emergence in the World Economy and Business Cycles in Latin America
https://www.bankofcanada.ca/2012/10/working-paper-2012-32/
The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of international business cycles to Latin America.2012-10-03T11:35:27+00:00enChina’s Emergence in the World Economy and Business Cycles in Latin America2012-10-03Business fluctuations and cyclesEconometric and statistical methodsInternational topicsRecent economic and financial developmentsRegional economic developmentsWorking Paper 2012-32https://www.bankofcanada.ca/wp-content/uploads/2012/10/wp2012-32.pdfChina’s Emergence in the World Economy and Business Cycles in Latin AmericaAmbrogio Cesa-BianchiM. Hashem PesaranAlessandro RebucciTengTeng XuOctober 2012CC3C32EE3E32FF4F44OO5O54Efficiency and Bargaining Power in the Interbank Loan Market
https://www.bankofcanada.ca/2012/09/working-paper-2012-29/
Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market.2012-09-27T12:29:49+00:00enEfficiency and Bargaining Power in the Interbank Loan Market2012-09-27Financial institutionsPayment clearing and settlement systemsWorking Paper 2012-29https://www.bankofcanada.ca/wp-content/uploads/2012/09/wp2012-29.pdfEfficiency and Bargaining Power in the Interbank Loan MarketJason AllenJames ChapmanFederico EcheniqueMatthew ShumSeptember 2012CC7C71EE5E58GG2G21G28Why Do Shoppers Use Cash? Evidence from Shopping Diary Data
https://www.bankofcanada.ca/2012/07/working-paper-2012-24/
Recent studies find that cash remains a dominant payment choice for small-value transactions despite the prevalence of alternative means of payment such as debit and credit cards. For policy makers an important question is whether consumers truly prefer using cash or merchants restrict card usage.2012-07-27T12:33:18+00:00enWhy Do Shoppers Use Cash? Evidence from Shopping Diary Data2012-07-27Bank notesEconometric and statistical methodsFinancial servicesWorking Paper 2012-24https://www.bankofcanada.ca/wp-content/uploads/2012/07/wp2012-24.pdfWhy Do Shoppers Use Cash? Evidence from Shopping Diary DataNaoki WakamoriAngelika WelteJuly 2012CC2DD1GG2Unconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound
https://www.bankofcanada.ca/2012/07/working-paper-2012-21/
We explore the macroeconomic effects of a compression in the long-term bond yield spread within the context of the Great Recession of 2007-2009 via a time-varying parameter structural VAR model.2012-07-23T07:55:26+00:00enUnconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower Bound2012-07-23Econometric and statistical methodsInterest ratesMonetary policy frameworkMonetary policy transmissionWorking Paper 2012-21https://www.bankofcanada.ca/wp-content/uploads/2012/07/wp2012-21.pdfUnconventional Monetary Policy and the Great Recession: Estimating the Macroeconomic Effects of a Spread Compression at the Zero Lower BoundChristiane BaumeisterLuca BenatiJuly 2012CC1C11C3C32EE5E52E58Estimating the Demand for Settlement Balances in the Canadian Large Value Transfer System
https://www.bankofcanada.ca/2012/05/working-paper-2012-15/
This paper applies a static model of an interest rate corridor to the Canadian data, and estimates the aggregate demand for central-bank settlement balances in the Large Value Transfer System (LVTS).2012-05-28T10:57:33+00:00enEstimating the Demand for Settlement Balances in the Canadian Large Value Transfer System2012-05-28Interest ratesMonetary policy implementationPayment clearing and settlement systemsWorking Paper 2012-15https://www.bankofcanada.ca/wp-content/uploads/2012/05/wp2012-15.pdfEstimating the Demand for Settlement Balances in the Canadian Large Value Transfer SystemNellie ZhangMay 2012CC3C36EE4E40E5E50GG0G01