C - Mathematical and Quantitative Methods
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Firm-level Investment Under Imperfect Capital Markets in Ukraine
This paper develops and estimates a model of firm-level fixed capital investment when firms face borrowing constraints. -
The Trend Unemployment Rate in Canada: Searching for the Unobservable
In this paper, we assess several methods that have been used to measure the Canadian trend unemployment rate (TUR). We also consider improvements and extensions to some existing methods. -
Inflation Targeting and Liquidity Traps Under Endogenous Credibility
Policy implications are derived for an inflation-targeting central bank, whose credibility is endogenous and depends on its past ability to achieve its targets. This is done in a New Keynesian framework with heterogeneous and boundedly rational expectations. -
Inference in Games Without Nash Equilibrium: An Application to Restaurants’ Competition in Opening Hours
This paper relaxes the Bayesian Nash equilibrium (BNE) assumption commonly imposed in empirical discrete choice games with incomplete information. Instead of assuming that players have unbiased/correct expectations, my model treats a player’s belief about the behavior of other players as an unrestricted unknown function. I study the joint identification of belief and payoff functions. -
2017 Methods-of-Payment Survey: Sample Calibration and Variance Estimation
This technical report describes sampling, weighting and variance estimation for the Bank of Canada’s 2017 Methods-of-Payment Survey. Under quota sampling, a raking ratio method is implemented to generate weights with both post-stratification and nonparametric nonresponse weight adjustments. -
Fundamental Drivers of Existing Home Sales in Canada
Existing home sales’ share of Canada’s economic pie has been rising in recent years, and variation around this trend has resulted in outsized contributions to changes in real gross domestic product (GDP). In this context, we use a cointegration framework to estimate the level of resale activity across the Canadian provinces that is supported by fundamentals—namely, full-time employment, housing affordability and migration flows—to help look through the volatility. -
GDP by Industry in Real Time: Are Revisions Well Behaved?
The monthly data for real gross domestic product (GDP) by industry are used extensively in real time both to ground the Bank of Canada’s monitoring of economic activity and in the Bank’s nowcasting tools, making these data one of the most important high-frequency time series for Canadian nowcasting. -
Does US or Canadian Macro News Drive Canadian Bond Yields?
We show that a large share of low-frequency (quarterly) movements in Canadian government bond yields can be explained by macroeconomic news, even though high-frequency (daily) changes are driven by other shocks. Furthermore, we show that US macro news—not domestic news— explains most of the quarterly variation in Canadian bond yields. -
An Alternative Estimate of Canadian Potential Output: The Multivariate State-Space Framework
In this paper, we extend the state-space methodology proposed by Blagrave et al. (2015) and decompose Canadian potential output into trend labour productivity and trend labour input. As in Blagrave et al. (2015), we include output growth and inflation expectations from consensus forecasts to help refine our estimates.