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106 Results

Bootstrapping Mean Squared Errors of Robust Small-Area Estimators: Application to the Method-of-Payments Data

Staff Working Paper 2018-28 Valéry Dongmo Jiongo, Pierre Nguimkeu
This paper proposes a new bootstrap procedure for mean squared errors of robust small-area estimators. We formally prove the asymptotic validity of the proposed bootstrap method and examine its finite sample performance through Monte Carlo simulations.

On the Evolution of the United Kingdom Price Distributions

We propose a functional principal components method that accounts for stratified random sample weighting and time dependence in the observations to understand the evolution of distributions of monthly micro-level consumer prices for the United Kingdom (UK).

Noisy Monetary Policy

Staff Working Paper 2018-23 Tatjana Dahlhaus, Luca Gambetti
We introduce limited information in monetary policy. Agents receive signals from the central bank revealing new information (“news") about the future evolution of the policy rate before changes in the rate actually take place. However, the signal is disturbed by noise.

State Correlation and Forecasting: A Bayesian Approach Using Unobserved Components Models

Staff Working Paper 2018-14 Luis Uzeda
Implications for signal extraction from specifying unobserved components (UC) models with correlated or orthogonal innovations have been well investigated. In contrast, the forecasting implications of specifying UC models with different state correlation structures are less well understood.

Asymmetric Risks to the Economic Outlook Arising from Financial System Vulnerabilities

Staff Analytical Note 2018-6 Thibaut Duprey
When financial system vulnerabilities are elevated, they can give rise to asymmetric risks to the economic outlook. To illustrate this, I consider the economic outlook presented in the Bank of Canada’s October 2017 Monetary Policy Report in the context of two key financial system vulnerabilities: high levels of household indebtedness and housing market imbalances.

A Barometer of Canadian Financial System Vulnerabilities

Staff Analytical Note 2017-24 Thibaut Duprey, Tom Roberts
This note presents a composite indicator of Canadian financial system vulnerabilities—the Vulnerabilities Barometer. It aims to complement the Bank of Canada’s vulnerabilities assessment by adding a quantitative and synthesized perspective to the more granular (distributional) analysis presented in the Financial System Review.

Bitcoin Awareness and Usage in Canada

Staff Working Paper 2017-56 Christopher Henry, Kim Huynh, Gradon Nicholls
There has been tremendous discussion of Bitcoin, digital currencies and FinTech. However, there is limited empirical evidence of Bitcoin’s adoption and usage. We propose a methodology to collect a nationally representative sample using the Bitcoin Omnibus Survey (BTCOS) to track the ubiquity and usage of Bitcoin in Canada.

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

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.
November 17, 2016

Commodity Price Supercycles: What Are They and What Lies Ahead?

Because commodity prices help determine Canada’s terms of trade, employment, income and, ultimately, inflation, it is important to understand what causes them to fluctuate. Since the early 1900s, there have been four commodity price supercycles—which we define as extended periods of boom and bust that can take decades to complete. Now in its downswing phase, the current supercycle started after growth in China and other emerging-market economies in the mid-1990s resulted in an unexpected demand shock. The extent of this downswing depends on numerous factors that are presently uncertain.