C - Mathematical and Quantitative Methods

• Networking the Yield Curve: Implications for Monetary Policy

  Staff Working Paper 2021-4 Tatjana Dahlhaus, Julia Schaumburg, Tatevik Sekhposyan

  We study how different monetary policies affect the yield curve and interact. Our study highlights the importance of the spillover structure across the yield curve for policy-making.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Interest rates, Monetary policy implementation JEL Code(s): C, C1, C18, C2, C21, C5, C53, E, E4, E43, E44, E5, E52

• Chinese Monetary Policy and Text Analytics: Connecting Words and Deeds

  Staff Working Paper 2021-3 Jeannine Bailliu, Xinfen Han, Barbara Sadaba, Mark Kruger

  What are the main drivers behind the monetary policy reaction function of the People’s Bank of China?

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, International topics, Monetary policy communications, Monetary policy framework JEL Code(s): C, C6, C63, E, E5, E52, E58

• Qualitative Field Research in Monetary Policy Making

  Staff Discussion Paper 2021-1 Chris D'Souza, Jane Voll

  Central banks conduct research involving in-depth interviews with external parties—but little is known about how this information affects monetary policy. We address this gap by analyzing open-ended interviews with senior central bank economic and policy staff who work closely with policy decision-makers.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Monetary policy, Monetary policy and uncertainty JEL Code(s): C, C8, C83, E, E3, E37, E5, E52

• Using Payments Data to Nowcast Macroeconomic Variables During the Onset of COVID-19

  Staff Working Paper 2021-2 James Chapman, Ajit Desai

  We use retail payment data in conjunction with machine learning techniques to predict the effects of COVID-19 on the Canadian economy in near-real time. Our model yields a significant increase in macroeconomic prediction accuracy over a linear benchmark model.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Payment clearing and settlement systems JEL Code(s): C, C5, C53, C55, E, E3, E37, E4, E42, E5, E52

• Losing Contact: The Impact of Contactless Payments on Cash Usage

  Staff Working Paper 2020-56 Marie-Hélène Felt

  Contactless payment cards are a competitive alternative to cash. Using Canadian panel data from 2010 to 2017, this study investigates whether contactless credit cards are an important contributor to the decline in the transactional use of cash. 

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Digital currencies and fintech, Econometric and statistical methods, Financial services JEL Code(s): C, C3, C33, D, D1, D12, E, E4, E41

• A Reference Guide for the Business Outlook Survey

  Staff Discussion Paper 2020-15 David Amirault, Naveen Rai, Laurent Martin

  The Business Outlook Survey (BOS) has become an important part of monetary policy deliberations at the Bank of Canada and is also well known in Canadian policy and financial circles. This paper compiles more than 20 years of experience conducting the BOS and serves as a comprehensive reference manual.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Firm dynamics, Regional economic developments JEL Code(s): C, C8, C83, D, D2, D22, E, E3, E32

• Strategic Uncertainty in Financial Markets: Evidence from a Consensus Pricing Service

  Staff Working Paper 2020-55 Lerby Ergun, Andreas Uthemann

  We look at the informational content of consensus pricing in opaque over-the-counter markets. We show that the availability of price data informs participants mainly about other participants’ valuations, rather than about the value of a financial security.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Financial markets, Market structure and pricing JEL Code(s): C, C5, C58, D, D5, D53, D8, D83, G, G1, G12, G14

• The Determinants of Consumers’ Inflation Expectations: Evidence from the US and Canada

  Staff Working Paper 2020-52 Charles Bellemare, Rolande Kpekou Tossou, Kevin Moran

  We compare the determinants of consumer inflation expectations in the US and Canada by analyzing two current surveys. We find that Canadian consumers rely more on professional forecasts and the history of actual inflation when forming their expectations, while US consumers rely more on their own lagged expectations.

  Content Type(s): Staff research, Staff working papers Topic(s): Central bank research, Econometric and statistical methods, Inflation and prices, Inflation targets JEL Code(s): C, C3, C33, D, D8, D83, D84, E, E3, E31

• Earnings Dynamics and Intergenerational Transmission of Skill

  Staff Working Paper 2020-46 Lance Lochner, Youngmin Park

  How are your past, current and future earnings related to those of your parents? We explore this by using 37 years of Canadian tax data on two generations.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Labour markets, Potential output, Productivity JEL Code(s): C, C3, C33, J, J2, J24, J6, J62

• Understanding Trend Inflation Through the Lens of the Goods and Services Sectors

  Staff Working Paper 2020-45 Yunjong Eo, Luis Uzeda, Benjamin Wong

  The goods and services sectors have experienced considerably different dynamics over the past three decades. Our goal in this paper is to understand how such contrasting behaviors at the sectoral level affect the aggregate level of trend inflation dynamics.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods, Inflation and prices, Monetary policy transmission JEL Code(s): C, C1, C11, C3, C32, E, E3, E31, E5, E52