C22 - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-29T08:09:20+00:00Climate Variability and International Trade
https://www.bankofcanada.ca/2023/01/staff-working-paper-2023-8/
This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection.2023-01-30T10:17:33+00:00enClimate Variability and International Trade2023-01-30Climate changeInternational topicsStaff Working Paper 2023-8https://www.bankofcanada.ca/wp-content/uploads/2023/01/swp2023-8.pdfStaff Working Paper 2023-8Geoffrey R. DunbarWalter SteingressBen TomlinJanuary 2023CC2C22C5FF1F14F18QQ5Q54Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model
https://www.bankofcanada.ca/2022/10/technical-report-122/
We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress.2022-10-03T16:29:10+00:00enForecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model2022-10-03Economic modelsFinancial institutionsFinancial stabilityFinancial system regulation and policiesTechnical Report 2022-122https://www.bankofcanada.ca/wp-content/uploads/2022/10/tr122.pdfTechnical Report 2022-122Gabriel BruneauThibaut DupreyRuben HippOctober 2022CC2C22C5C52C53GG1G17G2G21G28Weather the Storms? Hurricanes, Technology and Oil Production
https://www.bankofcanada.ca/2022/08/staff-working-paper-2022-36/
Do technological improvements mitigate the potential damages from extreme weather events? We show that hurricanes lower offshore oil production in the Gulf of Mexico and that stronger storms have larger impacts. Regulations enacted in 1980 that required improved offshore construction standards only modestly mitigated the production losses.2022-08-09T11:48:11+00:00enWeather the Storms? Hurricanes, Technology and Oil Production2022-08-09Business fluctuations and cyclesClimate changePotential outputStaff Working Paper 2022-36https://www.bankofcanada.ca/wp-content/uploads/2022/08/swp2022-36.pdfWeather the Storms? Hurricanes, Technology and Oil ProductionJohan BrannlundGeoffrey R. DunbarReinhard EllwangerMatthew KrutkiewiczAugust 2022CC2C22C23QQ4Q40Q48Q5Q54Payment Habits During COVID-19: Evidence from High-Frequency Transaction Data
https://www.bankofcanada.ca/2021/09/staff-working-paper-2021-43/
We examine how consumers have adjusted their payment habits during the COVID-19 pandemic. They seem to perform fewer transactions, spend more in each transaction, use less cash at the point of sale and withdraw cash from ATMs linked to their financial institution more often than from other ATMs.2021-09-10T09:14:25+00:00enPayment Habits During COVID-19: Evidence from High-Frequency Transaction Data2021-09-10Coronavirus disease (COVID-19)Domestic demand and componentsPayment clearing and settlement systemsRecent economic and financial developmentsStaff Working Paper 2021-43https://www.bankofcanada.ca/wp-content/uploads/2021/09/swp2021-43.pdfPayment Habits During COVID-19: Evidence from High-Frequency Transaction DataTatjana DahlhausAngelika WelteSeptember 2021CC2C22C5C55DD1D12EE2E21E4E42E5E52Estimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers
https://www.bankofcanada.ca/2021/08/staff-working-paper-2021-37/
Understanding the size of sectoral links is crucial to predicting the impact of a crisis on the whole economy. We show that statistical learning techniques substantially outperform traditional estimation techniques when measuring large networks of these links.2021-08-05T08:55:46+00:00enEstimating Large-Dimensional Connectedness Tables: The Great Moderation Through the Lens of Sectoral Spillovers2021-08-05Business fluctuations and cyclesEconometric and statistical methodsStaff Working Paper 2021-37https://www.bankofcanada.ca/wp-content/uploads/2021/08/swp2021-37.pdfStaff Working Paper 2021-37Felix BrunnerRuben HippAugust 2021CC2C22C5C52EE2E23E27Evolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data
https://www.bankofcanada.ca/2021/05/staff-working-paper-2021-22/
Are summers getting hotter? Do daily temperatures change more than they used to? Using daily Canadian temperature data from 1960 to 2020 and modern econometric methods, we provide economists and policy-makers evidence on the important climate change issue of evolving temperatures.2021-05-17T13:22:49+00:00enEvolving Temperature Dynamics in Canada: Preliminary Evidence Based on 60 Years of Data2021-05-17Climate changeEconometric and statistical methodsStaff Working Paper 2021-22https://www.bankofcanada.ca/wp-content/uploads/2021/05/swp2021-22.pdfStaff Working Paper 2021-22Robert AmanoMarc-André GosselinJulien McDonald-GuimondMay 2021CC2C22QQ5Q54How Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections
https://www.bankofcanada.ca/2019/07/staff-discussion-paper-2019-6/
We provide empirical evidence on the impact of oil supply shocks on global aggregates. To do this, we first extract structural oil supply shocks from a standard oil-price determination model found in the literature.2019-07-24T09:16:02+00:00enHow Oil Supply Shocks Affect the Global Economy: Evidence from Local Projections2019-07-24Business fluctuations and cyclesInternational topicsStaff Discussion Paper 2019-6https://www.bankofcanada.ca/wp-content/uploads/2019/07/sdp2019-6.pdfHow Oil Supply Shocks Affect the Global Economy: Evidence from Local ProjectionsOlivier GervaisJuly 2019CC2C22C5EE3E37QQ4Q43Disentangling the Factors Driving Housing Resales
https://www.bankofcanada.ca/2019/04/staff-analytical-note-2019-12/
We use a recently developed model and loan-level microdata to decompose movements in housing resales since 2015. We find that fundamental factors, namely housing affordability and full-time employment, have had offsetting effects on resales over our study period.2019-04-17T11:16:02+00:00enDisentangling the Factors Driving Housing Resales2019-04-17Fundamental Drivers of Existing Home Sales in Canada
https://www.bankofcanada.ca/2018/12/staff-discussion-paper-2018-16/
Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility.2018-12-10T12:04:49+00:00enFundamental Drivers of Existing Home Sales in Canada2018-12-10Econometric and statistical methodsEconomic modelsHousingStaff Discussion Paper 2018-16https://www.bankofcanada.ca/wp-content/uploads/2018/12/sdp2018-16.pdfFundamental Drivers of Existing Home Sales in CanadaTaylor WebleyDecember 2018CC2C22C23EE2E27RR2R21Does US or Canadian Macro News Drive Canadian Bond Yields?
https://www.bankofcanada.ca/2018/12/staff-analytical-note-2018-38/
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields.2018-12-05T12:00:24+00:00enDoes US or Canadian Macro News Drive Canadian Bond Yields?2018-12-05