Technical Reports

Technical reports cover a broad range of work of significance to the Bank's functions (Monetary Policy, Financial System, Currency and Funds Management) and policy formulation.

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84 result(s)

IMPACT: The Bank of Canada’s International Model for Projecting Activity

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.

Bond Funds and Fixed-Income Market Liquidity: A Stress-Testing Approach

This report provides a detailed technical description of a stress test model for investment funds called Ceto.

2017 Methods-of-Payment Survey: Sample Calibration and Variance Estimation

Technical Report No. 114 Heng Chen, Marie-Hélène Felt, Christopher Henry
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.
Content Type(s): Technical Reports Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C81, C83

The Framework for Risk Identification and Assessment

Technical Report No. 113 Cameron MacDonald, Virginie Traclet
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).
Content Type(s): Technical Reports Topic(s): Economic models, Financial Institutions, Financial stability, Housing JEL Code(s): C, C3, C5, C6, C7, D, D1, E, E0, E00, E2, E27, E3, E37, E4, E47, G, G0, G2, G21

The Government of Canada Debt Securities Data Set

We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.

The MacroFinancial Risk Assessment Framework (MFRAF), Version 2.0

Technical Report No. 111 Jose Fique
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).
Content Type(s): Technical Reports Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28

The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Estimation of the Total Private Cost for Large Businesses

Technical Report No. 110 Valéry Dongmo Jiongo
The 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.
Content Type(s): Technical Reports Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C12, C8, C83

The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Calibration for Single-Location Retailers

Technical Report No. 109 Heng Chen, Rallye Shen
Calibrated 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.

The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Sampling

Technical Report No. 108 Angelika Welte
In 2015, the Bank of Canada undertook the large-scale Retailer Survey on the Cost of Payment Methods.

The Bank of Canada 2015 Retailer Survey on the Cost of Payment Methods: Nonresponse

Technical Report No. 107 Stan Hatko
Nonresponse is a considerable challenge in the Retailer Survey on the Cost of Payment Methods conducted by the Bank of Canada in 2015. There are two types of nonresponse in this survey: unit nonresponse, in which a business does not reply to the entire survey, and item nonresponse, in which a business does not respond to particular questions within the survey.
Content Type(s): Technical Reports Topic(s): Central bank research JEL Code(s): C, C8, C81, C83