C1 - Econometric and Statistical Methods and Methodology: General - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T11:00:37+00:00Understanding Trend Inflation Through the Lens of the Goods and Services Sectors
https://www.bankofcanada.ca/2020/11/staff-working-paper-2020-45/
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.2020-11-03T13:20:02+00:00enUnderstanding Trend Inflation Through the Lens of the Goods and Services Sectors2020-11-03Econometric and statistical methodsInflation and pricesMonetary policy transmissionStaff Working Paper 2020-45https://www.bankofcanada.ca/wp-content/uploads/2020/11/swp2020-45.pdfStaff Working Paper 2020-45Yunjong EoLuis UzedaBenjamin WongNovember 2020CC1C11C3C32EE3E31E5E52On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity
https://www.bankofcanada.ca/2020/10/staff-working-paper-2020-42/
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.2020-10-16T09:25:08+00:00enOn Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity2020-10-16Econometric and statistical methodsFinancial marketsFinancial stabilityStaff Working Paper 2020-42https://www.bankofcanada.ca/wp-content/uploads/2020/10/swp2020-42.pdfOn Causal Networks of Financial Firms: Structural Identification via Non-parametric HeteroskedasticityRuben HippOctober 2020CC1C3C32C5C58LL1L14The New Benchmark for Forecasts of the Real Price of Crude Oil
https://www.bankofcanada.ca/2020/09/staff-working-paper-2020-39/
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.2020-09-22T12:42:51+00:00enThe New Benchmark for Forecasts of the Real Price of Crude Oil2020-09-22Econometric and statistical methodsInternational topicsStaff Working Paper 2020-39https://www.bankofcanada.ca/wp-content/uploads/2020/09/swp2020-39.pdfStaff Working Paper 2020-39Amor Aniss BenmoussaReinhard EllwangerStephen SnuddenSeptember 2020CC1C5C53QQ4Q472019 Cash Alternative Survey Results
https://www.bankofcanada.ca/2020/08/staff-discussion-paper-2020-8/
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.2020-08-31T12:29:15+00:00en2019 Cash Alternative Survey Results2020-08-31Bank notesCentral bank researchDigital currencies and fintechEconometric and statistical methodsStaff Discussion Paper 2020-8https://www.bankofcanada.ca/wp-content/uploads/2020/08/sdp2020-8.pdf2019 Cash Alternative Survey ResultsKim HuynhGradon NichollsMitchell NicholsonAugust 2020CC1C12C9EE4OO5O51Maturity Composition and the Demand for Government Debt
https://www.bankofcanada.ca/2020/07/staff-working-paper-2020-29/
The main objectives of debt management are to raise stable and low-cost funding to meet the government’s financial needs and to maintain a well-functioning market for government securities.2020-07-08T09:46:24+00:00enMaturity Composition and the Demand for Government Debt2020-07-08Debt managementFinancial marketsStaff Working Paper 2020-29https://www.bankofcanada.ca/wp-content/uploads/2020/07/swp2020-29.pdfStaff Working Paper 2020-29Jason AllenJakub KastlMilena WittwerJuly 2020CC1C14DD4D44EE5E58GG1G12Cash and COVID-19: The impact of the pandemic on demand for and use of cash
https://www.bankofcanada.ca/2020/07/staff-discussion-paper-2020-6/
Consumer spending declined significantly during the recent COVID-19 pandemic. This negative shock likely reduced spending across all methods of payment (cash, debit, credit, etc.). The mix of payment methods consumers use could also be affected. We study how the pandemic has influenced the demand for and use of cash. We also offer insights into the use of other payment methods, such as debit and credit cards.2020-07-02T14:00:28+00:00enCash and COVID-19: The impact of the pandemic on demand for and use of cash2020-07-02Bank notesCentral bank researchCoronavirus disease (COVID-19)Digital currencies and fintechEconometric and statistical methodsHeng ChenWalter EngertKim HuynhGradon NichollsMitchell NicholsonJulia ZhuJuly 2020CC1C12C9EE4OO5O54Endogenous Time Variation in Vector Autoregressions
https://www.bankofcanada.ca/2020/05/staff-working-paper-2020-16/
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models.2020-05-07T11:18:18+00:00enEndogenous Time Variation in Vector Autoregressions2020-05-07Econometric and statistical methodsInflation and pricesMonetary policy transmissionStaff Working Paper 2020-16https://www.bankofcanada.ca/wp-content/uploads/2020/05/swp2020-16.pdfStaff Working Paper 2020-16Danilo Leiva-LeonLuis UzedaMay 2020CC1C11C3C32EE3E31E5E52Identifying Consumer-Welfare Changes when Online Search Platforms Change Their List of Search Results
https://www.bankofcanada.ca/2020/03/staff-working-paper-2020-5/
Online shopping is often guided by search platforms. Consumers type keywords into query boxes, and search platforms deliver a list of products. Consumers' attention is limited, and exhaustive searches are often impractical.2020-03-06T10:32:58+00:00enIdentifying Consumer-Welfare Changes when Online Search Platforms Change Their List of Search Results2020-03-06Econometric and statistical methodsMarket structure and pricingStaff Working Paper 2020-5https://www.bankofcanada.ca/wp-content/uploads/2020/03/swp2020-5.pdfStaff Working Paper 2020-5Ryan MartinMarch 2020CC1C14DD1D11D12D6D8D83LL4L40