Until recently, few efforts have been made to systematically measure and aggregate the nominal value of the different types of sovereign government debt in default. To help fill this gap, the Bank of Canada (BoC) developed a comprehensive database of sovereign defaults that is posted on its website and updated in partnership with the Bank of England (BoE).
We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance.
This report provides a detailed technical description of a stress test model for investment funds called Ceto.
This technical report describes sampling, weighting and variance estimation for the Bank of Canada’s 2017 Methods-of-Payment Survey. Under quota sampling, a raking ratio method is implemented to generate weights with both post-stratification and nonparametric nonresponse weight adjustments.
Risk assessment models are an important component of the Bank’s analytical tool kit for assessing the resilience of the financial system. We describe the Framework for Risk Identification and Assessment (FRIDA), a suite of models developed at the Bank of Canada to quantify the impact of financial stability risks to the broader economy and a range of financial system participants (households, businesses and banks).
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
This report provides a detailed technical description of the updated MacroFinancial Risk Assessment Framework (MFRAF), which replaces the version described in Gauthier, Souissi and Liu (2014) as the Bank of Canada’s stress-testing model for banks with a focus on domestic systemically important banks (D-SIBs).
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large BusinessesThe Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods faced low response rates and outliers in sample data for two of its retailer strata: chains and large independent businesses. This technical report investigates whether it is appropriate to combine these two strata to produce more accurate estimates of the total private cost to large businesses of the main payment methods.
The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location RetailersCalibrated weights are created to (a) reduce the nonresponse bias; (b) reduce the coverage error; and (c) make the weighted estimates from the sample consistent with the target population in terms of certain key variables.
In 2015, the Bank of Canada undertook the large-scale Retailer Survey on the Cost of Payment Methods.