C - Mathematical and Quantitative Methods
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Resilience of bank liquidity ratios in the presence of a central bank digital currency
Could Canadian banks continue to meet their regulatory liquidity requirements after the introduction of a cash-like retail central bank digital currency (CBDC)? We conduct a hypothetical exercise to estimate how a CBDC could affect bank liquidity by increasing the run-off rates of transactional retail deposits under four increasingly severe scenarios. -
Historical Data on Repurchase Agreements from the Canadian Depository for Securities
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. -
Bitcoin Awareness, Ownership and Use: 2016–20
In this paper, we examine trends in Canadian ownership of Bitcoin and other cryptocurrencies from 2016 to 2020 using data from surveys conducted by the Bank of Canada. -
Cash and COVID-19: What happened in 2021
Using data from the Bank Note Distribution System and consumer surveys, we find that bank notes in circulation remained high through 2021. Canadians continued to rely on electronic methods of payment, but a significant share also continued using cash for payments. -
Equilibrium in Two-Sided Markets for Payments: Consumer Awareness and the Welfare Cost of the Interchange Fee
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. -
Vertical Bargaining and Obfuscation
Is obscuring prices always bad for consumers? The answer depends on the market structure and on the negotiating power between manufacturers and retailers. -
COVID-19, Containment and Consumption
We assess the impact of COVID-19 on consumption indicators by estimating the effects of government-mandated containment measures and of the willingness of individuals to voluntarily physically distance to prevent contagion. -
Macroeconomic Predictions Using Payments Data and Machine Learning
We demonstrate the usefulness of payment systems data and machine learning models for macroeconomic predictions and provide a set of econometric tools to overcome associated challenges. -
Payment Coordination and Liquidity Efficiency in the New Canadian Wholesale Payments System
We study the impact of the Bank of Canada’s choice of settlement mechanism in Lynx on participant behaviors, liquidity usage, payment delays and the overall operational efficiency of the new system.
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