Econometric and statistical methods
-
-
Survival Analysis of Bank Note Circulation: Fitness, Network Structure and Machine Learning
Using the Bank of Canada's Currency Information Management Strategy, we analyze the network structure traced by a bank note’s travel in circulation and find that the denomination of the bank note is important in our potential understanding of the demand and use of cash. -
Sample Calibration of the Online CFM Survey
The Canadian Financial Monitor (CFM) survey uses non-probability sampling for data collection, so selection bias is likely. We outline methods for obtaining survey weights and discuss the conditions necessary for these weights to eliminate selection bias. We obtain calibration weights for the 2018 and 2019 online CFM samples. -
Cash and COVID-19: The impact of the pandemic on demand for and use of cash
Consumer spending declined significantly during the recent COVID-19 pandemic. This negative shock likely reduced spending across all methods of payment (cash, debit, credit, etc.). The mix of payment methods consumers use could also be affected. We study how the pandemic has influenced the demand for and use of cash. We also offer insights into the use of other payment methods, such as debit and credit cards. -
The Term Structures of Loss and Gain Uncertainty
We investigate the uncertainty around stock returns at different investment horizons. Since a return is either a loss or a gain, we categorize return uncertainty into two components—loss uncertainty and gain uncertainty. We then use these components to evaluate investment. -
Household indebtedness risks in the wake of COVID‑19
COVID-19 presents challenges for indebted households. We assess these by drawing parallels between pandemics and natural disasters. Taking into account the financial health of the household sector when the pandemic began, we run model simulations to illustrate how payment deferrals and the labour market recovery will affect mortgage defaults. -
Endogenous Time Variation in Vector Autoregressions
We introduce a new class of time-varying parameter vector autoregressions (TVP-VARs) where the identified structural innovations are allowed to influence — contemporaneously and with a lag — the dynamics of the intercept and autoregressive coefficients in these models. -
Welfare Analysis of Equilibria With and Without Early Termination Fees in the US Wireless Industry
The elimination of long-term contracts and early termination fees (ETFs) in the US wireless industry at the end of 2015 increased monthly service fees by 2 to 5 percent. Nevertheless, consumers are clearly better off without ETFs. While firms’ revenues from ETFs vanish, their profits from monthly fees increase. As a result, the overall effect on producer profits is less clear. -
IMPACT: The Bank of Canada’s International Model for Projecting Activity
We present the structure and features of the International Model for Projecting Activity (IMPACT), a global semi-structural model used to conduct projections and policy analysis at the Bank of Canada. Major blocks of the model are developed based on the rational error correction framework of Kozicki and Tinsley (1999), which allows the model to strike a balance between theoretical structure and empirical performance. -
Identifying Consumer-Welfare Changes when Online Search Platforms Change Their List of Search Results
Online shopping is often guided by search platforms. Consumers type keywords into query boxes, and search platforms deliver a list of products. Consumers' attention is limited, and exhaustive searches are often impractical.