Econometric and statistical methods

• Inference in Games Without Nash Equilibrium: An Application to Restaurants’ Competition in Opening Hours

  Staff Working Paper 2018-60 Erhao Xie

  This paper relaxes the Bayesian Nash equilibrium (BNE) assumption commonly imposed in empirical discrete choice games with incomplete information. Instead of assuming that players have unbiased/correct expectations, my model treats a player’s belief about the behavior of other players as an unrestricted unknown function. I study the joint identification of belief and payoff functions.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Market structure and pricing JEL Code(s): C, C5, C57, L, L1, L13, L8, L85

• 2017 Methods-of-Payment Survey: Sample Calibration and Variance Estimation

  Technical Report No. 114 Heng Chen, Marie-Hélène Felt, Christopher Henry

  This technical report describes sampling, weighting and variance estimation for the Bank of Canada’s 2017 Methods-of-Payment Survey. Under quota sampling, a raking ratio method is implemented to generate weights with both post-stratification and nonparametric nonresponse weight adjustments.

  Content Type(s): Technical Reports Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C81, C83

• Fundamental Drivers of Existing Home Sales in Canada

  Staff Discussion Paper 2018-16 Taylor Webley

  Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Econometric and statistical methods, Economic models, Housing JEL Code(s): C, C2, C22, C23, E, E2, E27, R, R2, R21

• GDP by Industry in Real Time: Are Revisions Well Behaved?

  Staff Analytical Note 2018-40 Patrick Rizzetto

  The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Business fluctuations and cycles, Central bank research, Econometric and statistical methods JEL Code(s): C, C5, C53, C8, C82, E, E0, E01

• The Propagation of Regional Shocks in Housing Markets: Evidence from Oil Price Shocks in Canada

  Staff Working Paper 2018-56 Lutz Kilian, Xiaoqing Zhou

  Shocks to the demand for housing that originate in one region may seem important only for that regional housing market. We provide evidence that such shocks can also affect housing markets in other regions. Our analysis focuses on the response of Canadian housing markets to oil price shocks.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Housing, International topics, Labour markets, Regional economic developments JEL Code(s): F, F4, F43, Q, Q3, Q33, Q4, Q43, R, R1, R12, R3, R31

• Evaluating the Bank of Canada Staff Economic Projections Using a New Database of Real-Time Data and Forecasts

  Staff Working Paper 2018-52 Julien Champagne, Guillaume Poulin-Bellisle, Rodrigo Sekkel

  We present a novel database of real-time data and forecasts from the Bank of Canada’s staff economic projections. We then provide a forecast evaluation for GDP growth and CPI inflation since 1982: we compare the staff forecasts with those from commonly used time-series models estimated with real-time data and with forecasts from other professional forecasters and provide standard bias tests.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Econometric and statistical methods, Economic models, Inflation targets, Monetary Policy JEL Code(s): C, C3, C32, E, E1, E17, E3, E37

• Characterizing the Canadian Financial Cycle with Frequency Filtering Approaches

  Staff Analytical Note 2018-34 Andrew Lee-Poy

  In this note, I use two multivariate frequency filtering approaches to characterize the Canadian financial cycle by capturing fluctuations in the underlying variables with respect to a long-term trend. The first approach is a dynamically weighted composite, and the second is a stochastic cycle model.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Financial stability, Monetary and financial indicators, Recent economic and financial developments JEL Code(s): C, C0, C01, C1, C13, C14, C18, C3, C32, C5, C51, C52, E, E3, E32, E6, E66, G, G0, G01, G1, G18

• The Size and Destination of China’s Portfolio Outflows

  Staff Discussion Paper 2018-11 Rose Cunningham, Eden Hatzvi, Kun Mo

  The size of China’s financial system raises the possibility that the liberalization of its capital account could have a large effect on the global financial system. This paper provides a counterfactual scenario analysis that estimates what the size and direction of China’s overseas portfolio investments would have been in 2015 if China had had no restrictions on these outflows.

  Content Type(s): Staff Research, Staff Discussion Papers Topic(s): Balance of payments and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C23, F, F2, F21, F3, F32, G, G1, G15

• Disaggregating Household Sensitivity to Monetary Policy by Expenditure Category

  Staff Analytical Note 2018-32 Tony Chernis, Corinne Luu

  Because the Bank of Canada has started withdrawing monetary stimulus, monitoring the transmission of these changes to monetary policy will be important. Subcomponents of consumption and housing will likely respond differently to a monetary policy tightening, both in terms of the aggregate effect and timing.

  Content Type(s): Staff Research, Staff Analytical Notes Topic(s): Business fluctuations and cycles, Domestic demand and components, Econometric and statistical methods, Housing, Interest rates, Recent economic and financial developments, Transmission of monetary policy JEL Code(s): C, C3, C32, E, E2, E21, E22, E4, E43, E47, E5, E52

• Monetary Policy Uncertainty: A Tale of Two Tails

  Staff Working Paper 2018-50 Tatjana Dahlhaus, Tatevik Sekhposyan

  We document a strong asymmetry in the evolution of federal funds rate expectations and map this observed asymmetry into measures of monetary policy uncertainty. We show that periods of monetary policy tightening and easing are distinctly related to downside (policy rate is higher than expected) and upside (policy rate is lower than expected) uncertainty.

  Content Type(s): Staff Research, Staff Working Papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, Monetary policy communications, Transmission of monetary policy, Uncertainty and monetary policy JEL Code(s): C, C1, C18, C3, C32, E, E0, E02, E4, E43, E5, E52