Staff research

• Nonparametric Identification of Incomplete Information Discrete Games with Non-equilibrium Behaviors

  Staff Working Paper 2022-22 Erhao Xie

  This paper jointly relaxes two assumptions in the literature that estimates games. These two assumptions are the parametric restriction on the model primitives and the restriction of equilibrium behaviors. Without imposing the above two assumptions, this paper identifies the primitives of the game.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C57

• Expectation-Driven Term Structure of Equity and Bond Yields

  Staff Working Paper 2022-21 Ming Zeng, Guihai Zhao

  Recent findings on the term structure of equity and bond yields pose serious challenges to existing models of equilibrium asset pricing. This paper presents a new equilibrium model of subjective expectations to explain the joint historical dynamics of equity and bond yields (and their yield spreads).

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Financial markets, Interest rates JEL Code(s): E, E4, E43, G, G0, G00, G1, G12

• Nowcasting Canadian GDP with Density Combinations

  Staff Discussion Paper 2022-12 Tony Chernis, Taylor Webley

  We present a tool for creating density nowcasts for Canadian real GDP growth. We demonstrate that the combined densities are a reliable and accurate tool for assessing the state of the economy and risks to the outlook.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods JEL Code(s): C, C5, C52, C53, E, E3, E7

• Resilience of bank liquidity ratios in the presence of a central bank digital currency

  Staff Analytical Note 2022-5 Alissa Gorelova, Bena Lands, Maria teNyenhuis

  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.

  Content Type(s): Staff research, Staff analytical notes Topic(s): Central bank research, Digital currencies and fintech, Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, E, E4, G, G2, G21, O, O3, O33

• More Than Words: Fed Chairs’ Communication During Congressional Testimonies

  Staff Working Paper 2022-20 Michelle Alexopoulos, Xinfen Han, Oleksiy Kryvtsov, Xu Zhang

  We measure soft information contained in the congressional testimonies of U.S. Federal Reserve Chairs and analyze its effect on financial markets. Increases in the Chair’s text-, voice-, or face-emotion indices during these testimonies generally raise stock prices and lower their volatility.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Financial markets, Monetary policy communications JEL Code(s): E, E5, E52, E58, E7, E71

• Identifying Financially Remote First Nations Reserves

  Staff Discussion Paper 2022-11 Heng Chen, Walter Engert, Kim Huynh, Daneal O’Habib

  Chen et al. (2021) show that almost one-third of First Nations band offices in Canada are within 1 kilometre (km) of an automated banking machine (ABM) or financial institution (FI) branch and more than half are within 5 km.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Bank notes, Digital currencies and fintech, Financial institutions, Financial services, Payment clearing and settlement systems JEL Code(s): E, E4, E41, E42, E5, G, G2, G21

• Historical Data on Repurchase Agreements from the Canadian Depository for Securities

  Technical Report No. 121 Maxim Ralchenko, Adrian Walton

  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.

  Content Type(s): Staff research, Technical reports Topic(s): Econometric and statistical methods, Financial markets JEL Code(s): C, C5, C55, C8, C81, G, G1, G10

• Asymmetric Systemic Risk

  Staff Working Paper 2022-19 Radoslav Raykov, Consuelo Silva-Buston

  Bank regulation presumes risks spill over more easily from large banks to the banking system than vice versa. Interestingly, we observe this is not the case. We find that the capacity to transmit risk is larger in the system-to-bank direction, leading to an increased default risk.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial stability, Financial system regulation and policies JEL Code(s): G, G1, G10, G2, G20
• April 30, 2022

  Research Update - April 2022

  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

• Bitcoin Awareness, Ownership and Use: 2016–20

  Staff Discussion Paper 2022-10 Daniela Balutel, Marie-Hélène Felt, Gradon Nicholls, Marcel Voia

  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.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods JEL Code(s): C, C1, C12, E, E4, O, O5, O51