Models and tools

• Assessing the US and Canadian neutral rates: 2025 update

  Staff analytical note 2025-16 Frida Adjalala, Felipe Alves, William Beaudoin, Hélène Desgagnés, Wei Dong, Ingomar Krohn, Jan David Schneider

  We assess both the US and Canadian nominal neutral rates to be in the range of 2.25% to 3.25%, unchanged from the range assessed in 2024.

  Content Type(s): Staff research, Staff analytical notes JEL Code(s): E, E4, E40, E43, E5, E50, E52, E58, F, F4, F41 Research Theme(s): Models and tools, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting, Structural challenges, Demographics and labour supply

• Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference

  Staff working paper 2025-14 Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak

  We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C11, C12, C3, C32, E, E6, E62 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting

• The Mutable Geography of Firms’ International Trade

  Staff working paper 2025-11 Lu Han

  Exporters frequently change their market destinations. This paper introduces a new approach to identifying the drivers of these decisions over time. Analysis of customs data from China and the UK shows most changes are driven by demand rather than supply-related shocks.

  Content Type(s): Staff research, Staff working papers JEL Code(s): F, F1, F12, F14, L, L1, L11 Research Theme(s): Models and tools, Economic models, Structural challenges, International trade, finance and competitiveness

• Low Response Rate from Merchants? Sample and Ask Consumers! An Application of Indirect Sampling Under a Consumer-Merchant Bipartite Network

  Technical report No. 126 Heng Chen, Joy Wu

  Under the consumer-merchant bipartite network, we apply the indirect sampling approach to estimate merchant payment acceptance through a consumer payment diary.

  Content Type(s): Staff research, Technical reports JEL Code(s): C, C8, C80, C83, E, E5 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments

• Estimating Discrete Choice Demand Models with Sparse Market-Product Shocks

  Staff working paper 2025-10 Zhentong Lu, Kenichi Shimizu

  We propose a novel approach to estimating consumer demand for differentiated products. We eliminate the need for instrumental variables by assuming demand shocks are sparse. Our empirical applications reveal strong evidence of sparsity in real-world datasets.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C3, D, D1, L, L0, L00 Research Theme(s): Financial markets and funds management, Market structure, Models and tools, Econometric, statistical and computational methods

• Canadian Bitcoin Ownership in 2023: Key Takeaways

  Staff discussion paper 2025-4 Daniela Balutel, Marie-Hélène Felt, Doina Rusu

  The Bitcoin Omnibus Survey is an important tool for monitoring Canadians’ awareness and ownership of bitcoin and other cryptoassets over time. In this paper, we present data highlights from the 2023 survey.

  Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C8, C81, E, E4, O, O5, O51 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech

• Estimating the inflation risk premium

  Staff analytical note 2025-9 Bruno Feunou, Gitanjali Kumar

  Is there a risk of de-anchoring of inflation expectations in the near term? We estimate the inflation risk premium using traditional asset pricing models to answer this question. The risk of de-anchoring is elevated compared with the period before the COVID-19 pandemic and is higher in the United States than in Canada.

  Content Type(s): Staff research, Staff analytical notes JEL Code(s): C, C2, C22, C5, C58, G, G1, G12 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Inflation dynamics and pressures

• Markups, Pass-Through, and Firm Heterogeneity with Sequentially Mixed Search

  Staff working paper 2025-7 Alex Chernoff, Allen Head, Beverly Lapham

  Market power and pass-through of cost and demand shocks are studied in a market with free entry of heterogeneous firms and consumer mixed search. Equilibrium prices and markups are driven by variation in the elasticity of demand across firms. Improved conditions for buyers can either raise or lower market power.

  Content Type(s): Staff research, Staff working papers JEL Code(s): D, D2, D21, D4, D43, E, E3, E31, L, L1, L11 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Economic models, Monetary policy, Inflation dynamics and pressures

• Quantile VARs and Macroeconomic Risk Forecasting

  Staff working paper 2025-4 Stéphane Surprenant

  This paper provides an extensive evaluation of the performance of quantile vector autoregression (QVAR) to forecast macroeconomic risk. Generally, QVAR outperforms standard benchmark models. Moreover, QVAR and QVAR augmented with factors perform equally well. Both are adequate for modeling macroeconomic risks.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C53, C55, E, E3, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting

• Differentiable, Filter Free Bayesian Estimation of DSGE Models Using Mixture Density Networks

  Staff working paper 2025-3 Chris Naubert

  I develop a method for Bayesian estimation of globally solved, non-linear macroeconomic models. The method uses a mixture density network to approximate the initial state distribution. The mixture density network results in more reliable posterior inference compared with the case when the initial states are set to their steady-state values.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, C63, E, E3, E37, E4, E47 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models