Staff research

• May 31, 2015

  Research Update - May 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• Exploring Differences in Household Debt Across Euro Area Countries and the United States

  Staff Working Paper 2015-16 Dimitris Christelis, Michael Ehrmann, Dimitris Georgarakos

  We use internationally comparable household-level data for ten euro area economies and the United States to investigate cross-country differences in debt holdings and the potential of debt overhang.

  Content Type(s): Staff research, Staff working papers Topic(s): Credit and credit aggregates, Econometric and statistical methods, International topics JEL Code(s): D, D1, D12, E, E2, E21, G, G1, G11

• 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

• Household Stockholding Behavior During the Great Financial Crisis

  Staff Working Paper 2015-15 Jie Zhou

  Using the Panel Study of Income Dynamics, this paper studies household stock market participation and trading behavior in 2007–09, a period that saw a major stock market downswing. The stock market participation rate fell after the market crash.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets JEL Code(s): G, G0, G01, G1, G11
• April 30, 2015

  Research Update - April 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters

• 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

• A Wake-Up-Call Theory of Contagion

  Staff Working Paper 2015-14 Christoph Bertsch, Toni Ahnert

  We propose a novel theory of financial contagion. We study global coordination games of regime change in two regions with an initially uncertain correlation of regional fundamentals.

  Content Type(s): Staff research, Staff working papers Topic(s): Exchange rates, Financial stability, International financial markets JEL Code(s): D, D8, D82, F, F3, G, G0, G01

• Euro Area Government Bonds—Integration and Fragmentation During the Sovereign Debt Crisis

  Staff Working Paper 2015-13 Michael Ehrmann, Marcel Fratzscher

  The paper analyzes the integration of euro area sovereign bond markets during the European sovereign debt crisis. It tests for contagion (i.e., an intensification in the transmission of shocks across countries), fragmentation (a reduction in spillovers) and flight-to-quality patterns, exploiting the heteroskedasticity of intraday changes in bond yields for identification.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates, International financial markets JEL Code(s): E, E5, F, F3, G, G1, G15

• 2013 Methods-of-Payment Survey Results

  Staff Discussion Paper 2015-4 Christopher Henry, Kim Huynh, Rallye Shen

  As the sole issuer of bank notes, the Bank of Canada conducts methods-of-payment (MOP) surveys to obtain a detailed and representative snapshot of Canadian payment choices, with a focus on cash usage.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Bank notes, Digital currencies and fintech JEL Code(s): E, E4
• March 31, 2015

  Research Update - March 2015

  This monthly newsletter features the latest research publications by Bank of Canada economists including external publications and working papers published on the Bank of Canada’s website.

  Content Type(s): Staff research, Research newsletters