C - Mathematical and Quantitative Methods

• Debt Overhang and Deleveraging in the US Household Sector: Gauging the Impact on Consumption

  Staff Working Paper 2015-47 Bruno Albuquerque, Georgi Krustev

  Using a novel dataset for the US states, this paper examines whether household debt and the protracted debt deleveraging help explain the dismal performance of US consumption since 2007, in the aftermath of the housing bubble.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Econometric and statistical methods, International topics JEL Code(s): C, C1, C13, C2, C23, C5, C52, D, D1, D12, H, H3, H31

• Speculators, Prices and Market Volatility

  Staff Working Paper 2015-42 Celso Brunetti, Bahattin Buyuksahin, Jeffrey H. Harris

  We analyze data from 2005 through 2009 that uniquely identify categories of traders to assess how speculators such as hedge funds and swap dealers relate to volatility and price changes. Examining various subperiods where price trends are strong, we find little evidence that speculators destabilize financial markets.

  Content Type(s): Staff research, Staff working papers Topic(s): International topics, Recent economic and financial developments JEL Code(s): C, C3, G, G1

• Nowcasting BRIC+M in Real Time

  Staff Working Paper 2015-38 Tatjana Dahlhaus, Justin-Damien Guénette, Garima Vasishtha

  Emerging-market economies have become increasingly important in driving global GDP growth over the past 10 to 15 years. This has made timely and accurate assessment of current and future economic activity in emerging markets important for policy-makers not only in these countries but also in advanced economies.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics JEL Code(s): C, C3, C33, C5, C53, E, E3, E37

• Heterogeneity in the Dynamic Effects of Uncertainty on Investment

  Staff Working Paper 2015-34 Sungje Byun, Soojin Jo

  How does aggregate profit uncertainty influence investment activity at the firm level? We propose a parsimonious adaptation of a factor-autoregressive conditional heteroscedasticity model to exploit information in a subindustry sales panel for an efficient and tractable estimation of aggregate volatility.

  Content Type(s): Staff research, Staff working papers Topic(s): Domestic demand and components, Econometric and statistical methods, International topics JEL Code(s): C, C2, C22, C23, D, D8, D80, E, E2, E22

• Quantifying Contagion Risk in Funding Markets: A Model-Based Stress-Testing Approach

  Staff Working Paper 2015-32 Kartik Anand, Céline Gauthier, Moez Souissi

  We propose a tractable, model-based stress-testing framework where the solvency risks, funding liquidity risks and market risks of banks are intertwined.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial stability, Financial system regulation and policies JEL Code(s): C, C7, C72, E, E5, E58, G, G0, G01, G2, G21, G28

• Model Averaging in Markov-Switching Models: Predicting National Recessions with Regional Data

  Staff Working Paper 2015-24 Pierre Guérin, Danilo Leiva-Leon

  This paper introduces new weighting schemes for model averaging when one is interested in combining discrete forecasts from competing Markov-switching models. In particular, we extend two existing classes of combination schemes – Bayesian (static) model averaging and dynamic model averaging – so as to explicitly reflect the objective of forecasting a discrete outcome.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C5, C53, E, E3, E32, E37

• Testing for the Diffusion Matrix in a Continuous-Time Markov Process Model with Applications to the Term Structure of Interest Rates

  Staff Working Paper 2015-17 Fuchun Li

  The author proposes a test for the parametric specification of each component in the diffusion matrix of a d-dimensional diffusion process. Overall, d (d-1)/2 test statistics are constructed for the off-diagonal components, while d test statistics are constructed for the main diagonal components.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C12, C14, E, E1, E17, E4, E43, G, G1, G12, G2, G20
• May 14, 2015

  The Use of Cash in Canada

  Bank of Canada Review - Spring 2015 Ben Fung, Kim Huynh, Gerald Stuber

  The Bank of Canada’s 2013 Methods-of-Payment Survey indicates that the share of cash in the overall number of retail transactions has continued to decrease, mainly because of increased use of contactless credit cards. The share of cash in the total value of retail transactions was virtually unchanged from 2009 to 2013. In particular, the value share of cash transactions above $50 increased. Automated banking machines (ABMs), still the major source of cash for Canadians, were used less often in 2013 than in 2009. Cash use in Canada is broadly similar to that in Australia and the United States.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C8, C83, E, E4, E42, G, G2, G21, L, L8, L81

• Variance Estimation for Survey-Weighted Data Using Bootstrap Resampling Methods: 2013 Methods-of-Payment Survey Questionnaire

  Technical Report No. 104 Heng Chen, Rallye Shen

  Sampling units for the 2013 Methods-of-Payment Survey were selected through an approximate stratified random sampling design. To compensate for non-response and non-coverage, the observations are weighted through a raking procedure.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods JEL Code(s): C, C8, C83

• 2013 Methods-of-Payment Survey: Sample Calibration Analysis

  Technical Report No. 103 Kyle Vincent

  Sample calibration is a procedure that utilizes sample and national-level demographic distribution information to weight survey participants. The objective of calibration is to weight the sample so that it is demographically representative of the target population.

  Content Type(s): Staff research, Technical reports Topic(s): Central bank research JEL Code(s): C, C8, C81, C83