C1 - Econometric and Statistical Methods and Methodology: General

• Three things we learned about the Lynx payment system

  Staff Analytical Note 2023-14 Nikil Chande, Zhentong Lu, Hiru Rodrigo, Phoebe Tian

  Canada transitioned to a new wholesale payment system, Lynx, in August 2021. Lynx is based on a real-time settlement model that eliminates credit risk in the system. This model can require more liquidity; however, Lynx’s design allows Canada’s wholesale payments to settle efficiently.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C1, C10, E, E4, E42, G, G2, G28

• Combining Large Numbers of Density Predictions with Bayesian Predictive Synthesis

  Staff Working Paper 2023-45 Tony Chernis

  I show how to combine large numbers of forecasts using several approaches within the framework of a Bayesian predictive synthesis. I find techniques that choose and combine a handful of forecasts, known as global-local shrinkage priors, perform best.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C11, C5, C52, C53, E, E3, E37

• Unmet Payment Needs and a Central Bank Digital Currency

  Staff Discussion Paper 2023-15 Christopher Henry, Walter Engert, Alexandra Sutton-Lalani, Sebastian Hernandez, Darcey McVanel, Kim Huynh

  We discuss the payment habits of Canadians both in the current payment environment and in a hypothetical cashless environment.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Bank notes, Central bank research, Digital currencies and fintech, Financial services JEL Code(s): C, C1, C12, C9, E, E4, O, O5, O54

• Global Demand and Supply Sentiment: Evidence from Earnings Calls

  Staff Working Paper 2023-37 Temel Taskin, Franz Ulrich Ruch

  This paper quantifies global demand, supply and uncertainty shocks and compares two major global recessions: the 2008–09 Great Recession and the COVID-19 pandemic. We use two alternate approaches to decompose economic shocks: text mining techniques on earnings calls transcripts and a structural Bayesian vector autoregression model.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Coronavirus disease (COVID-19), Econometric and statistical methods, Inflation and prices, International topics JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, G, G1, G10

• What Can Earnings Calls Tell Us About the Output Gap and Inflation in Canada?

  Staff Discussion Paper 2023-13 Marc-André Gosselin, Temel Taskin

  We construct new indicators of demand and supply for the Canadian economy by using natural language processing techniques to analyze earnings calls of publicly listed firms. Our results indicate that the new indicators could help central banks identify inflationary pressures in real time.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Central bank research, Domestic demand and components, Econometric and statistical methods, Inflation and prices, Potential output JEL Code(s): C, C1, C3, E, E3, E5

• From LVTS to Lynx: Quantitative Assessment of Payment System Transition

  Staff Working Paper 2023-24 Ajit Desai, Zhentong Lu, Hiru Rodrigo, Jacob Sharples, Phoebe Tian, Nellie Zhang

  We quantitatively assess the changes in participants’ payment behaviour from modernizing Canada's high-value payments system to Lynx. Our analysis suggests that Lynx's liquidity-saving mechanism encourages liquidity pooling and early payments submission, resulting in improved efficiency for participants but with slightly increased payment delays.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial services, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C1, C10, E, E4, E42, G, G2, G28

• Core inflation over the COVID-19 pandemic

  Staff Analytical Note 2022-17 Mikael Khan, Elyse Sullivan

  We assess the usefulness of various measures of core inflation over the COVID-19 pandemic. We find that Cpi-trim and CPI-median provided the best signal of underlying inflation. The favourable performance of these measures stems from their lack of reliance on historical experience, an especially valuable feature in unprecedented times.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy JEL Code(s): C, C1, C18, E, E3, E31

• Private Digital Cryptoassets as Investment? Bitcoin Ownership and Use in Canada, 2016-2021

  Staff Working Paper 2022-44 Daniela Balutel, Walter Engert, Christopher Henry, Kim Huynh, Marcel Voia

  We report on the dynamics of Bitcoin awareness and ownership from 2016 to 2021, using the Bank of Canada's Bitcoin Omnibus Surveys (BTCOS). Our analysis also helps understand Bitcoin owners who adopted during the COVID-19 and how they differ from long-term owners. 

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4, O, O5, O51
• October 12, 2022

  Five things we learned about Canadian Bitcoin owners in 2021

  Daniela Balutel, Walter Engert, Christopher Henry, Kim Huynh, Marcel Voia

  We present key findings from the 2021 Bitcoin Omnibus Survey on Canadians’ awareness and ownership of Bitcoin. Most Canadians have heard of Bitcoin, which remains primarily used as an investment. Ownership jumped in 2021, reflecting increased savings during the pandemic and greater availability of user-friendly platforms to buy Bitcoin.

  Content Type(s): Publications, Financial System Hub articles JEL Code(s): C, C1, C12, E, E4, O, O5, O51

• Examining recent revisions to CPI-common

  Staff Analytical Note 2022-15 Elyse Sullivan

  Unusually large revisions to CPI-common in recent months stem from increased common movements across consumer price index components amid broad inflationary pressures. With recent revisions, CPI-common is more closely aligned with the Bank of Canada’s other two preferred measures of core inflation. However, caution is necessary when interpreting real-time estimates of CPI-common in the current environment.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Econometric and statistical methods, Inflation and prices JEL Code(s): C, C1, C13, C18, E, E3, E31