C3 - Multiple or Simultaneous Equation Models; Multiple Variables - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T22:23:59+00:00Identifying the Degree of Collusion Under Proportional Reduction
https://www.bankofcanada.ca/2017/11/staff-working-paper-2017-51/
Proportional reduction is a common cartel practice in which cartel members reduce their output proportionately. We develop a method to quantify this reduction relative to a benchmark market equilibrium scenario and relate the reduction to the traditional conduct parameter.2017-11-23T11:55:01+00:00enIdentifying the Degree of Collusion Under Proportional Reduction2017-11-23Econometric and statistical methodsMarket structure and pricingStaff Working Paper 2017-51https://www.bankofcanada.ca/wp-content/uploads/2017/11/swp2017-51.pdfIdentifying the Degree of Collusion Under Proportional ReductionOleksandr ShcherbakovNaoki WakamoriNovember 2017CC3C36DD2D22LL4L41Identification of Random Resource Shares in Collective Households Without Preference Similarity Restrictions
https://www.bankofcanada.ca/2017/10/staff-working-paper-2017-45/
Resource shares, defined as the fraction of total household spending going to each person in a household, are important for assessing individual material well-being, inequality and poverty. They are difficult to identify because consumption is measured typically at the household level, and many goods are jointly consumed, so that individual-level consumption in multi-person households is not directly observed.2017-10-27T10:19:29+00:00enIdentification of Random Resource Shares in Collective Households Without Preference Similarity Restrictions2017-10-27Domestic demand and componentsEconometric and statistical methodsStaff Working Paper 2017-45https://www.bankofcanada.ca/wp-content/uploads/2017/10/swp2017-45.pdfIdentification of Random Resource Shares in Collective Households Without Preference Similarity RestrictionsGeoffrey R. DunbarArthur LewbelKrishna PendakurOctober 2017CC3C31DD1D11D12D13II3I32Adoption of a New Payment Method: Theory and Experimental Evidence
https://www.bankofcanada.ca/2017/07/staff-working-paper-2017-28/
We model the introduction of a new payment method, e.g., e-money, that competes with an existing payment method, e.g., cash. The new payment method involves relatively lower per-transaction costs for both buyers and sellers, but sellers must pay a fixed fee to accept the new payment method.2017-07-20T09:21:19+00:00enAdoption of a New Payment Method: Theory and Experimental Evidence2017-07-20Central bank researchDigital currencies and fintechStaff Working Paper 2017-28https://www.bankofcanada.ca/wp-content/uploads/2017/07/swp2017-28.pdfAdoption of a New Payment Method: Theory and Experimental EvidenceJasmina ArifovicJohn DuffyJanet Hua JiangJuly 2017CC3C35C8C83C9C92EE4E41Detecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals
https://www.bankofcanada.ca/2017/06/staff-working-paper-2017-22/
This paper presents a new testing method for the scapegoat model of exchange rates that aims to tighten the link between the theory on scapegoats and its empirical implementation. This new testing method consists of a number of steps.2017-06-19T09:10:04+00:00enDetecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic Fundamentals2017-06-19Econometric and statistical methodsExchange ratesInternational financial marketsStaff Working Paper 2017-22https://www.bankofcanada.ca/wp-content/uploads/2017/06/swp2017-22.pdfDetecting Scapegoat Effects in the Relationship Between Exchange Rates and Macroeconomic FundamentalsLorenzo PozziBarbara SadabaJune 2017CC3C32FF3F31GG1G15Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects
https://www.bankofcanada.ca/2017/03/staff-working-paper-2017-10/
We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.2017-03-10T08:29:32+00:00enSmall‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects2017-03-10Asset pricingEconometric and statistical methodsFinancial marketsStaff Working Paper 2017-10https://www.bankofcanada.ca/wp-content/uploads/2017/03/swp2017-10.pdfSmall‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type EffectsSermin GungorRichard LugerMarch 2017CC1C12C3C32GG1G14Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-8/
The discrete choice to adopt a financial innovation affects a household’s exposure to inflation and transactions costs. We model this adoption decision as being subject to an unobserved cost.2017-02-17T10:25:50+00:00enAdoption Costs of Financial Innovation: Evidence from Italian ATM Cards2017-02-17Bank notesEconometric and statistical methodsFinancial servicesStaff Working Paper 2017-8https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-8.pdfAdoption Costs of Financial Innovation: Evidence from Italian ATM CardsKim HuynhPhilipp Schmidt-DenglerGregor W. SmithAngelika WelteFebruary 2017CC3C35DD1D14EE4E41A Dynamic Factor Model for Nowcasting Canadian GDP Growth
https://www.bankofcanada.ca/2017/02/staff-working-paper-2017-2/
This paper estimates a dynamic factor model (DFM) for nowcasting Canadian gross domestic product. The model is estimated with a mix of soft and hard indicators, and it features a high share of international data.2017-02-02T13:04:19+00:00enA Dynamic Factor Model for Nowcasting Canadian GDP Growth2017-02-02Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2017-2https://www.bankofcanada.ca/wp-content/uploads/2017/02/swp2017-2.pdfA Dynamic Factor Model for Nowcasting Canadian GDP GrowthTony ChernisRodrigo SekkelFebruary 2017CC3C32C38C5C53EE3E37Terms-of-Trade and House Price Fluctuations: A Cross-Country Study
https://www.bankofcanada.ca/2017/01/staff-working-paper-2017-1/
Terms-of-trade shocks are known to be key drivers of business cycles in open economies. This paper argues that terms-of-trade shocks were also important for house price fluctuations in a panel of developed countries over the 1994–2015 period.2017-01-05T11:49:04+00:00enTerms-of-Trade and House Price Fluctuations: A Cross-Country Study2017-01-05Financial stabilityHousingInternational topicsStaff Working Paper 2017-1https://www.bankofcanada.ca/wp-content/uploads/2017/01/swp2017-1.pdfTerms-of-Trade and House Price Fluctuations: A Cross-Country StudyPaul CorriganJanuary 2017CC3C32EE3E32E5E51FF3F36F4F41