C - Mathematical and Quantitative Methods

• 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 Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C8, C80, C83, E, E5

• 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 Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C3, D, D1, L, L0, L00

• 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 Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C8, C81, E, E4, O, O5, O51

• 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 Research Topic(s): Asset pricing, Econometric and statistical methods JEL Code(s): C, C2, C22, C5, C58, G, G1, G12

• Crisis facilities as a source of public information

  Staff Analytical Note 2025-7 Lerby Ergun

  During the COVID-19 financial market crisis, central banks introduced programs to support liquidity in important core funding markets. As well as acting as a backstop to market prices, these programs produce useful trading data on prevailing market conditions. When summary information from this data is shared publicly, it can help market participants understand current conditions and aid the recovery of market functioning.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): C, C5, C58, D, D5, D53, D8, D83, G, G1, G12, G14

• Estimating the impacts on GDP of natural disasters in Canada

  Staff Analytical Note 2025-5 Tatjana Dahlhaus, Thibaut Duprey, Craig Johnston

  Extreme weather events contribute to increased volatility in both economic activity and prices, interfering with the assessment of the true underlying trends of the economy. With this in mind, we conduct a timely assessment of the impact of natural disasters on Canadian gross domestic product (GDP).

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Climate change, Domestic demand and components, Econometric and statistical methods, Fiscal policy, Regional economic developments JEL Code(s): B, B2, B23, C, C1, C13, C2, C23, E, E1, E17, E3, E37, E6, E62, H, H6

• Exploring the drivers of the real term premium in Canada

  Staff Analytical Note 2025-3 Zabi Tarshi, Gitanjali Kumar

  Changes in the term premium can reflect uncertainty about inflation, growth and monetary policy. Understanding the key factors that influence the term premium is important when central banks make decisions about monetary policy. In this paper, we derive the real term premium from the nominal term premium in Canada.

  Content Type(s): Staff research, Staff analytical notes Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates, Monetary policy and uncertainty JEL Code(s): C, C5, C58, E, E4, E43, E47, G, G1, G12

• 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 Research Topic(s): Business fluctuations and cycles JEL Code(s): C, C5, C53, C55, E, E3, E37

• Tech Reluctance: Fostering Empathy for Canadians Facing Challenges with Digital Systems

  Staff Discussion Paper 2025-2 Sebastian Hernandez, Helena Wang, Badr Omrane, Vera Roberts, David Pereyra

  We find that individuals who require help performing banking tasks or who are reluctant to adopt technology avoid digital payment systems they expect to lack usability. Addressing these issues through standard accessibility practices, live assistance and thoughtful interface design can enhance user interaction and trust.

  Content Type(s): Staff research, Staff discussion papers Research Topic(s): Accessibility, Bank notes, Central bank research, Digital currencies and fintech, Digitalization, Financial services JEL Code(s): A, A1, A14, C, C9, C90, D, D8, D83, O, O3, O33, Y, Y8, Y80

• 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 Research Topic(s): Business fluctuations and cycles, Economic models JEL Code(s): C, C6, C61, C63, E, E3, E37, E4, E47