High-Frequency Cross-Sectional Identification of Military News Shocks Staff working paper 2025-27 Francesco Amodeo, Edoardo Briganti We identify and quantify fiscal news shocks, compiling events (2001–2023) that altered the expected path of U.S. defense expenditure. For each event, we estimate market-implied shifts in expected spending. A shift-share analysis yields a two-year, metropolitan statistical area–level GDP multiplier of approximately 1 for U.S. military build-ups. Content Type(s): Staff research, Staff working papers JEL Code(s): E, E2, E20, E3, E30, E32, E6, E60, E62, E65 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Monetary policy framework and transmission, Real economy and forecasting
Financial Shocks and the Output Growth Distribution Staff working paper 2025-25 Francois-Michel Boire, Thibaut Duprey, Alexander Ueberfeldt This paper studies how financial shocks shape the distribution of output growth by introducing a quantile-augmented vector autoregression (QAVAR), which integrates quantile regressions into a structural VAR framework. The QAVAR preserves standard shock identification while delivering flexible, nonparametric forecasts of conditional moments and tail risk measures for gross domestic product. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C3, C32, C5, C53, E, E3, E32, E4, E44, G, G0, G01 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
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 JEL Code(s): D, D1, D12, D14, E, E4, E41, E42, G, G2, G21 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Cash and bank notes
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 JEL Code(s): C, C6, C61, G, G1, G11, G17, H, H6, H63, H68 Research Theme(s): Financial markets and funds management, Funds management, Models and tools, Econometric, statistical and computational methods
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 JEL Code(s): D, D2, D22, G, G3, G33, L, L2, L20 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Econometric, statistical and computational methods
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 JEL Code(s): C, C8, C83 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments
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 JEL Code(s): C, C1, C11, C12, C3, C32, E, E6, E62 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models, Monetary policy, Real economy and forecasting
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 JEL Code(s): C, C8, C80, C83, E, E5 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Retail payments
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 JEL Code(s): C, C1, C3, D, D1, L, L0, L00 Research Theme(s): Financial markets and funds management, Market structure, Models and tools, Econometric, statistical and computational methods
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 JEL Code(s): C, C8, C81, E, E4, O, O5, O51 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Digital assets and fintech