Econometric, statistical and computational methods

• Should Central Banks Worry About Nonlinearities of their Large-Scale Macroeconomic Models?

  Staff working paper 2017-21 Vadym Lepetyuk, Lilia Maliar, Serguei Maliar

  How wrong could policymakers be when using linearized solutions to their macroeconomic models instead of nonlinear global solutions?

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C6, C61, C63, C68, E, E3, E31, E5, E52 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission

• Assessing the Predictive Ability of Sovereign Default Risk on Exchange Rate Returns

  Staff working paper 2017-19 Claudia Foroni, Francesco Ravazzolo, Barbara Sadaba

  Increased sovereign credit risk is often associated with sharp currency movements. Therefore, expectations of the probability of a sovereign default event can convey important information regarding future movements of exchange rates.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C5, C52, C53, F, F3, F31 Research Theme(s): Financial markets and funds management, International markets and currencies, Models and tools, Econometric, statistical and computational methods

• Markov‐Switching Three‐Pass Regression Filter

  Staff working paper 2017-13 Pierre Guérin, Danilo Leiva-Leon, Massimiliano Marcellino

  We introduce a new approach for the estimation of high-dimensional factor models with regime-switching factor loadings by extending the linear three-pass regression filter to settings where parameters can vary according to Markov processes.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C23, C5, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting

• Assessing the Business Outlook Survey Indicator Using Real-Time Data

  Staff discussion paper 2017-5 Lise Pichette, Marie-Noëlle Robitaille

  Every quarter, the Bank of Canada conducts quarterly consultations with businesses across Canada, referred to as the Business Outlook Survey (BOS). A principal-component analysis conducted by Pichette and Rennison (2011) led to the development of the BOS indicator, which summarizes survey results and is used by the Bank as a gauge of overall business sentiment.

  Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C53, C8, C82, E, E3, E37 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting

• 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 JEL Code(s): C, C1, C12, C8, C83 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments

• 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 JEL Code(s): C, C8, C81, C83 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments

• 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 JEL Code(s): C, C8, C81, C83 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments

• 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 JEL Code(s): C, C8, C81, C83 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments

• Small‐Sample Tests for Stock Return Predictability with Possibly Non‐Stationary Regressors and GARCH‐Type Effects

  Staff working paper 2017-10 Sermin Gungor, Richard Luger

  We develop a simulation-based procedure to test for stock return predictability with multiple regressors. The process governing the regressors is left completely free and the test procedure remains valid in small samples even in the presence of non-normalities and GARCH-type effects in the stock returns.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C12, C3, C32, G, G1, G14 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods

• Adoption Costs of Financial Innovation: Evidence from Italian ATM Cards

  Staff working paper 2017-8 Kim Huynh, Philipp Schmidt-Dengler, Gregor W. Smith, Angelika Welte

  The discrete choice to adopt a financial innovation affects a household’s exposure to inflation and transactions costs. We model this adoption decision as being subject to an unobserved cost.

  Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C35, D, D1, D14, E, E4, E41 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes, Digital assets and fintech