C - Mathematical and Quantitative Methods
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May 11, 2017
Why Is Global Business Investment So Weak? Some Insights from Advanced Economies
Various drivers of business investment can be used to explain the underwhelming performance of investment in advanced economies since the global financial crisis, particularly since 2014. The slow growth in aggregate demand cannot by itself explain the full extent of the recent weakness in investment, which appears to be linked primarily to the collapse of global commodity prices and a rise in economic uncertainty. Looking ahead, business investment growth is likely to remain slower than in the pre-crisis period, largely because of structural factors such as population aging. -
Markov‐Switching Three‐Pass Regression Filter
We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes. -
Assessing the Business Outlook Survey Indicator Using Real-Time Data
Every quarter, the Bank of Canada conducts quarterly consultations with businesses across Canada, referred to as the Business Outlook Survey (BOS). A principal-component analysis conducted by Pichette and Rennison (2011) led to the development of the BOS indicator, which summarizes survey results and is used by the Bank as a gauge of overall business sentiment. -
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large Businesses
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods faced low response rates and outliers in sample data for two of its retailer strata: chains and large independent businesses. This technical report investigates whether it is appropriate to combine these two strata to produce more accurate estimates of the total private cost to large businesses of the main payment methods. -
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location Retailers
Calibrated weights are created to (a) reduce the nonresponse bias; (b) reduce the coverage error; and (c) make the weighted estimates from the sample consistent with the target population in terms of certain key variables. -
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Sampling
In 2015, the Bank of Canada undertook the large-scale Retailer Survey on the Cost of Payment Methods. -
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Nonresponse
Nonresponse is a considerable challenge in the Retailer Survey on the Cost of Payment Methods conducted by the Bank of Canada in 2015. There are two types of nonresponse in this survey: unit nonresponse, in which a business does not reply to the entire survey, and item nonresponse, in which a business does not respond to particular questions within the survey. -
Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects
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. -
Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards
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.
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