C3 - Multiple or Simultaneous Equation Models; Multiple Variables

• The Role of Card Acceptance in the Transaction Demand for Money

  Staff Working Paper 2014-44 Kim Huynh, Philipp Schmidt-Dengler, Helmut Stix

  The use of payment cards, either debit or credit, is becoming more and more widespread in developed economies. Nevertheless, the use of cash remains significant.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, C8, C83, E, E4, E41

• International Transmission Channels of U.S. Quantitative Easing: Evidence from Canada

  Staff Working Paper 2014-43 Tatjana Dahlhaus, Abeer Reza, Kristina Hess

  The U.S. Federal Reserve responded to the great recession by reducing policy rates to the effective lower bound. In order to provide further monetary stimulus, they subsequently conducted large-scale asset purchases, quadrupling their balance sheet in the process.

  Content Type(s): Staff research, Staff working papers Research Topic(s): International topics, Monetary policy framework, Monetary policy transmission JEL Code(s): C, C3, C32, E, E5, E52, E58, F, F4, F42, F44

• Real-Time Nowcasting of Nominal GDP Under Structural Breaks

  Staff Working Paper 2014-39 William A. Barnett, Marcelle Chauvet, Danilo Leiva-Leon

  This paper provides a framework for the early assessment of current U.S. nominal GDP growth, which has been considered a potential new monetary policy target. The nowcasts are computed using the exact amount of information that policy-makers have available at the time predictions are made. However, real-time information arrives at different frequencies and asynchronously, which poses challenges of mixed frequencies, missing data and ragged edges.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Inflation and prices JEL Code(s): C, C3, C32, E, E2, E27, E3, E31, E32

• A New Approach to Infer Changes in the Synchronization of Business Cycle Phases

  Staff Working Paper 2014-38 Danilo Leiva-Leon

  This paper proposes a Markov-switching framework to endogenously identify the following: (1) regimes where economies synchronously enter recessionary and expansionary phases; and (2) regimes where economies are unsynchronized, essentially following independent business cycles.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Regional economic developments JEL Code(s): C, C3, C32, C4, C45, E, E3, E32

• Retail Payment Innovations and Cash Usage: Accounting for Attrition Using Refreshment Samples

  Staff Working Paper 2014-27 Heng Chen, Marie-Hélène Felt, Kim Huynh

  We exploit the panel dimension of the Canadian Financial Monitor (CFM) data to estimate the impact of retail payment innovations on cash usage. We estimate a semiparametric panel data model that accounts for unobserved heterogeneity and allows for general forms of non-random attrition.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C35, E, E4, E41

• Improving Overnight Loan Identification in Payments Systems

  Staff Working Paper 2014-25 Mark Rempel

  Information on the allocation and pricing of over-the-counter (OTC) markets is scarce. Furfine (1999) pioneered an algorithm that provides transaction-level data on the OTC interbank lending market.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Interest rates, Payment clearing and settlement systems JEL Code(s): C, C3, C38, C5, C53, E, E4, E42, E44, G, G1, G10

• Monetary Policy Transmission during Financial Crises: An Empirical Analysis

  Staff Working Paper 2014-21 Tatjana Dahlhaus

  This paper studies the effects of a monetary policy expansion in the United States during times of high financial stress. The analysis is carried out by introducing a smooth transition factor model where the transition between states (“normal” and high financial stress) depends on a financial conditions index.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Financial markets, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E32, E4, E44, G, G0, G01

• Heterogeneous Returns to U.S. College Selectivity and the Value of Graduate Degree Attainment

  Staff Working Paper 2013-46 Mai Seki

  Existing studies on the returns to college selectivity have mixed results, mainly due to the difficulty of controlling for selection into more-selective colleges based on unobserved ability.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Labour markets JEL Code(s): C, C3, C30, I, I2, I21

• High-Frequency Real Economic Activity Indicator for Canada

  Staff Working Paper 2013-42 Gitanjali Kumar

  I construct a weekly measure of real economic activity in Canada. Based on the work of Aruoba et al. (2009), the indicator is extracted as an unobserved component underlying the co-movement of four monthly observed real macroeconomic variables - employment, manufacturing sales, retail sales and GDP.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C38, E, E3, E32

• Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances

  Staff Working Paper 2013-16 Sermin Gungor, Richard Luger

  We develop a finite-sample procedure to test for mean-variance efficiency and spanning without imposing any parametric assumptions on the distribution of model disturbances.

  Content Type(s): Staff research, Staff working papers Research Topic(s): Asset pricing, Econometric and statistical methods, Financial markets JEL Code(s): C, C1, C12, C15, C3, C33, G, G1, G11, G12