Dynamic Consumer Cash Inventory Model Staff Working Paper 2025-22 Kim Huynh, Oleksandr Shcherbakov, André Stenzel We study consumer cash inventory behavior by developing a dynamic model of forward-looking consumers and estimating structural parameters of the model using detailed consumer survey data. Consumers facing holding and withdrawal costs solve a discrete-time continuous-control dynamic programming problem to optimally use cash at the point of sale. 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): D, D1, D12, D14, E, E4, E41, E42, G, G2, G21
The Dynamic Canadian Debt Strategy Model Technical Report No. 127 Nicolas Audet, Joe Ning, Adam Epp, Jeffrey Gao We present a dynamic debt strategy model framework designed to assist sovereign debt portfolio managers in choosing an optimal debt issuance strategy. The main innovation of this framework is the introduction of dynamic issuance strategies, which allow issuance decisions to vary over time based on the model’s simulated state variables. Content Type(s): Staff research, Technical reports Research Topic(s): Debt management, Econometric and statistical methods, Financial markets, Fiscal policy JEL Code(s): C, C6, C61, G, G1, G11, G17, H, H6, H63, H68
The impact of trading flows on Government of Canada bond prices Staff Analytical Note 2025-20 Andreas Uthemann, Rishi Vala, Jun Yang Trading flows affect Government of Canada bond prices. Our estimates suggest a sale of 1% of the available supply of bonds typically lowers bond prices by 0.2%. From 2000 to 2025, demand from institutional investors, such as Canadian pension funds and foreign investors, explains 69% of quarterly price variation, with the remainder explained by changes in the supply of bonds. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Asset pricing, Debt management, Econometric and statistical methods, Financial institutions, Financial markets, Financial stability, Market structure and pricing, Sectoral balance sheet JEL Code(s): C, C0, C01, C3, C36, C5, C58, D, D5, D53, E, E6, E62, G, G1, G11, G12, G2, G23
Examining the Links Between Firm Performance and Insolvency Staff Discussion Paper 2025-10 Dylan Hogg, Hossein Hosseini Jebeli Assessing insolvency dynamics is essential for evaluating the financial health of non-financial corporations and mitigating macroeconomic and financial stability risks. This study leverages a newly created Statistics Canada dataset linking insolvency records with firm-level financial data to develop a robust framework for monitoring insolvency risk Content Type(s): Staff research, Staff discussion papers Research Topic(s): Credit and credit aggregates, Econometric and statistical methods, Financial stability, Firm dynamics JEL Code(s): D, D2, D22, G, G3, G33, L, L2, L20
Correcting Selection Bias in a Non-Probability Two-Phase Payment Survey Staff Working Paper 2025-17 Heng Chen, John Tsang We develop statistical inferences for a non-probability two-phase survey sample when relevant auxiliary information is available from a probability survey sample. The proposed method is assessed by simulation studies and used to analyze a non-probability two phase payment survey. Content Type(s): Staff research, Staff working papers Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C8, C83
Benchmarks for assessing labour market health: 2025 update Staff Analytical Note 2025-17 Fares Bounajm, Tessa Devakos We provide an update on the state of the labour market, which has moved into modest excess supply. We also explore why wage growth measures remain elevated and how US trade policy could affect different parts of the labour market. We update the range of benchmarks in our dashboard of indicators. Content Type(s): Staff research, Staff analytical notes Research Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Labour markets, Monetary policy JEL Code(s): E, E2, J, J2, J3, J6
Partial Identification of Heteroskedastic Structural Vector Autoregressions: Theory and Bayesian Inference Staff Working Paper 2025-14 Helmut Lütkepohl, Fei Shang, Luis Uzeda, Tomasz Woźniak We consider structural vector autoregressions that are identified through stochastic volatility. Our analysis focuses on whether a particular structural shock can be identified through heteroskedasticity without imposing any sign or exclusion restrictions. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Fiscal policy JEL Code(s): C, C1, C11, C12, C3, C32, E, E6, E62
Low Response Rate from Merchants? Sample and Ask Consumers! An Application of Indirect Sampling Under a Consumer-Merchant Bipartite Network Technical Report No. 126 Heng Chen, Joy Wu Under the consumer-merchant bipartite network, we apply the indirect sampling approach to estimate merchant payment acceptance through a consumer payment diary. Content Type(s): Staff research, Technical reports Research Topic(s): Bank notes, Econometric and statistical methods JEL Code(s): C, C8, C80, C83, E, E5
Estimating Discrete Choice Demand Models with Sparse Market-Product Shocks Staff Working Paper 2025-10 Zhentong Lu, Kenichi Shimizu We propose a novel approach to estimating consumer demand for differentiated products. We eliminate the need for instrumental variables by assuming demand shocks are sparse. Our empirical applications reveal strong evidence of sparsity in real-world datasets. Content Type(s): Staff research, Staff working papers Research Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C1, C3, D, D1, L, L0, L00
Canadian Bitcoin Ownership in 2023: Key Takeaways Staff Discussion Paper 2025-4 Daniela Balutel, Marie-Hélène Felt, Doina Rusu The Bitcoin Omnibus Survey is an important tool for monitoring Canadians’ awareness and ownership of bitcoin and other cryptoassets over time. In this paper, we present data highlights from the 2023 survey. Content Type(s): Staff research, Staff discussion papers Research Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C8, C81, E, E4, O, O5, O51