Technical reports provide detailed descriptions of staff research project methodologies and model development.
93
result(s)
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):
Staff research,
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).
The Government of Canada Debt Securities Data Set
Technical Report No. 112
Jeffrey Gao,
Francisco Rivadeneyra,
Gabriel Rodriguez Rondon
We present the daily time series of the outstanding amounts of all Government of Canada marketable debt securities from July 2001 to June 2017.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Debt management,
Econometric and statistical methods,
Financial markets
JEL Code(s):
C,
C8,
C80,
G,
G1,
G10,
H,
H6,
H63
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):
Staff research,
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):
Staff research,
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.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Digital currencies and fintech,
Econometric and statistical methods
JEL Code(s):
C,
C8,
C81,
C83
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.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Central bank research,
Econometric and statistical methods
JEL Code(s):
C,
C8,
C81,
C83
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):
Staff research,
Technical reports
Topic(s):
Central bank research
JEL Code(s):
C,
C8,
C81,
C83
Household Risk Assessment Model
Technical Report No. 106
Brian Peterson,
Tom Roberts
Household debt can be an important source of vulnerability to the financial system. This technical report describes the Household Risk Assessment Model (HRAM) that has been developed at the Bank of Canada to stress test household balance sheets at the individual level.
Content Type(s):
Staff research,
Technical reports
Topic(s):
Financial stability,
Housing,
Sectoral balance sheet
JEL Code(s):
C,
C0,
C6,
C63,
C65,
D,
D0,
D1,
D14