Climate Variability and International Trade Staff working paper 2023-8 Geoffrey R. Dunbar, Walter Steingress, Ben Tomlin This paper quantifies the impact of hurricanes on seaborne international trade to the United States. Matching the timing of hurricane–trade route intersections with monthly U.S. port-level trade data, we isolate the unanticipated effects of a hurricane hitting a trade route using two separate identification schemes: an event study and a local projection. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C2, C22, C5, F, F1, F14, F18, Q, Q5, Q54 Research Theme(s): Structural challenges, Climate change, International trade, finance and competitiveness
Risk Amplification Macro Model (RAMM) Technical report No. 123 Kerem Tuzcuoglu The Risk Amplification Macro Model (RAMM) is a new nonlinear two-country dynamic model that captures rare but severe adverse shocks. The RAMM can be used to assess the financial stability implications of both domestic and foreign-originated risk scenarios. Content Type(s): Staff research, Technical reports JEL Code(s): C, C5, C51, E, E3, E37, E4, E44, F, F4, F44 Research Theme(s): Financial system, Financial stability and systemic risk, Models and tools, Economic models, Monetary policy, Real economy and forecasting
Forecasting Banks’ Corporate Loan Losses Under Stress: A New Corporate Default Model Technical report No. 122 Gabriel Bruneau, Thibaut Duprey, Ruben Hipp We present a new corporate default model, one of the building blocks of the Bank of Canada’s bank stress-testing infrastructure. The model is used to forecast corporate loan losses of the Canadian banking sector under stress. Content Type(s): Staff research, Technical reports JEL Code(s): C, C2, C22, C5, C52, C53, G, G1, G17, G2, G21, G28 Research Theme(s): Financial system, Financial stability and systemic risk, Household and business credit, Models and tools, Economic models
Calculating Effective Degrees of Freedom for Forecast Combinations and Ensemble Models Staff discussion paper 2022-19 James Younker This paper derives a calculation for the effective degrees of freedom of a forecast combination under a set of general conditions for linear models. Computing effective degrees of freedom shows that the complexity cost of a forecast combination is driven by the parameters in the weighting scheme and the weighted average of parameters in the auxiliary models. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C0, C01, C02, C1, C13, C5, C50, C51, C52, C53 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Sectoral Uncertainty Staff working paper 2022-38 Efrem Castelnuovo, Kerem Tuzcuoglu, Luis Uzeda We propose a new empirical framework that jointly decomposes the conditional variance of economic time series into a common and a sector-specific uncertainty component. We apply our framework to a disaggregated industrial production series for the US economy. We identify unexpected changes in durable goods uncertainty as drivers of downturns, while unexpected hikes in non-durable goods uncertainty are expansionary. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, C55, E, E3, E32, E4, E44 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Comparison of Bayesian and Sample Theory Parametric and Semiparametric Binary Response Models Staff working paper 2022-31 Xiangjin Shen, Iskander Karibzhanov, Hiroki Tsurumi, Shiliang Li We use graphic processing unit computing to compare Bayesian and sample theory semiparametric binary response models. Our findings show that optimal bandwidth does not outperform regular bandwidth in binary semiparametric models. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C1, C14, C3, C35, C5, C51, C6, C63, D, D1 Research Theme(s): Financial system, Household and business credit, Models and tools, Econometric, statistical and computational methods
Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors Staff working paper 2022-22 Erhao Xie This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C57 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Economic models
Nowcasting Canadian GDP with Density Combinations Staff discussion paper 2022-12 Tony Chernis, Taylor Webley We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook. Content Type(s): Staff research, Staff discussion papers JEL Code(s): C, C5, C52, C53, E, E3, E7 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Monetary policy, Real economy and forecasting
Historical Data on Repurchase Agreements from the Canadian Depository for Securities Technical report No. 121 Maxim Ralchenko, Adrian Walton We develop an algorithm that extracts information about sale and repurchase agreements (repos) from disaggregated settlement data in order to generate a new historical dataset for research. Content Type(s): Staff research, Technical reports JEL Code(s): C, C5, C55, C8, C81, G, G1, G10 Research Theme(s): Financial markets and funds management, Market functioning, Models and tools, Econometric, statistical and computational methods
Equilibrium in Two-Sided Markets for Payments: Consumer Awareness and the Welfare Cost of the Interchange Fee Staff working paper 2022-15 Kim Huynh, Gradon Nicholls, Oleksandr Shcherbakov We construct and estimate a structural two-stage model of equilibrium in a market for payments in order to quantify the network externalities and identify the main determinants of consumer and merchant decisions. Content Type(s): Staff research, Staff working papers JEL Code(s): C, C5, C51, D, D1, D12, E, E4, E42, L, L1, L14 Research Theme(s): Models and tools, Econometric, statistical and computational methods, Money and payments, Payment and financial market infrastructures, Retail payments