Econometric and statistical methods
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The Determinants of Consumers’ Inflation Expectations: Evidence from the US and Canada
We compare the determinants of consumer inflation expectations in the US and Canada by analyzing two current surveys. We find that Canadian consumers rely more on professional forecasts and the history of actual inflation when forming their expectations, while US consumers rely more on their own lagged expectations. -
Earnings Dynamics and Intergenerational Transmission of Skill
How are your past, current and future earnings related to those of your parents? We explore this by using 37 years of Canadian tax data on two generations. -
Understanding Trend Inflation Through the Lens of the Goods and Services Sectors
The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics. -
On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity
Banks’ business interactions create a network of relationships that are hidden in the correlations of bank stock returns. But for policy interventions, we need causality to understand how the network changes. Thus, this paper looks for the causal network anticipated by investors. -
The New Benchmark for Forecasts of the Real Price of Crude Oil
How can we assess the quality of a forecast? We propose a new benchmark to evaluate forecasts of temporally aggregated series and show that the real price of oil is more difficult to predict than we thought. -
Cyclicality of Schooling: New Evidence from Unobserved Components Models
What is the time-varying impact of economic cycles on decisions to invest in human capital? -
2019 Cash Alternative Survey Results
The role of cash in Canadians’ lives has been evolving, as innovations in digital payments have become more widely adopted over the past decade. We contribute to the Bank of Canada’s research on central bank digital currency by monitoring Canadians’ use of cash and their adoption of digital payment methods. -
Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning
Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash. -
Sample Calibration of the Online CFM Survey
The Canadian Financial Monitor (CFM) survey uses non-probability sampling for data collection, so selection bias is likely. We outline methods for obtaining survey weights and discuss the conditions necessary for these weights to eliminate selection bias. We obtain calibration weights for the 2018 and 2019 online CFM samples.