C - Mathematical and Quantitative Methods

• A New Linear Estimator for Gaussian Dynamic Term Structure Models

  Staff Working Paper 2013-10 Antonio Diez de los Rios

  This paper proposes a novel regression-based approach to the estimation of Gaussian dynamic term structure models that avoids numerical optimization.

  Content Type(s): Staff research, Staff working papers Topic(s): Asset pricing, Econometric and statistical methods, Interest rates JEL Code(s): C, C1, C13, E, E4, E43, G, G1, G12

• Méthodologie de construction de séries de taux de défaut pour l’industrie canadienne

  Staff Discussion Paper 2013-2 Ramdane Djoudad, Étienne Bordeleau

  Default rates are series commonly used in stress testing. In Canada, as in many other countries, there are no historical series available for sectoral default rates on bank loans to firms.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Econometric and statistical methods, Financial institutions, Financial stability JEL Code(s): C, C1, C13, C18, G, G2, G21, G3, G33

• How Important Are Liquidity Constraints for Canadian Households? Evidence from Micro-Data

  Staff Discussion Paper 2012-9 Umar Faruqui, Samah Torchani

  Using a unique micro-dataset containing real and financial information on Canadian households for 2000–07, the authors address two questions: (1) What is the proportion of households whose consumption displays excess sensitivity to income, and who are likely liquidity constrained?

  Content Type(s): Staff research, Staff discussion papers Topic(s): Economic models, Sectoral balance sheet JEL Code(s): C, C3, C35, D, D1, D12, D3, D30

• Extracting Information from the Business Outlook Survey Using Statistical Approaches

  Staff Discussion Paper 2012-8 Lise Pichette

  Since the autumn of 1997, the regional offices of the Bank of Canada have conducted quarterly consultations with businesses across Canada. These consultations, summarized in the Business Outlook Survey (BOS), are structured around a survey questionnaire that covers topics of importance to the Bank, notably business activity, pressures on production capacity, prices and inflation, and credit conditions.

  Content Type(s): Staff research, Staff discussion papers Topic(s): Business fluctuations and cycles, Regional economic developments JEL Code(s): C, C4, C43, C8, C82, E, E3, E37

• The Effects of Oil Price Uncertainty on the Macroeconomy

  Staff Working Paper 2012-40 Soojin Jo

  This paper investigates the effect of oil price uncertainty on real economic activity using a quarterly VAR with stochastic volatility in mean. Stochastic volatility allows oil price uncertainty to vary separately from changes in the level of oil prices, and thus the impact of oil price uncertainty can be examined in a more flexible yet tractable way.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods JEL Code(s): C, C3, C32, E, E3, E32, Q, Q4, Q43
• November 15, 2012

  The Changing Landscape for Retail Payments in Canada and the Implications for the Demand for Cash

  Bank of Canada Review - Autumn 2012 Carlos Arango, Kim Huynh, Ben Fung, Gerald Stuber

  Over the past 20 years, there has been a major shift away from the use of paper-based retail payment instruments, such as cash and cheques, toward electronic means of payment, such as debit cards and credit cards. Recent Bank of Canada research on consumers’ choice of payment instruments indicates that cash is frequently used for transactions with low values because of its speed, ease of use and wide acceptance, while debit and credit cards are more commonly used for transactions with higher values because of perceived attributes such as safety and record keeping. While innovations in retail payments currently being introduced into the Canadian marketplace could lead to a further reduction in the use of cash over the longer term, the implications for the use of cash of some of the structural and regulatory developments under way are less clear.

  Content Type(s): Publications, Bank of Canada Review articles Topic(s): Bank notes, Econometric and statistical methods, Financial system regulation and policies, Payment clearing and settlement systems JEL Code(s): C, C8, C83, E, E4, E42, G, G2, G28

• The Role of Credit in International Business Cycles

  Staff Working Paper 2012-36 TengTeng Xu

  This paper examines the role of bank credit in modeling and forecasting business cycle fluctuations, and investigates the international transmission of US credit shocks, using a global vector autoregressive (GVAR) framework and associated country-specific error correction models.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Credit and credit aggregates, Econometric and statistical methods, International financial markets JEL Code(s): C, C3, C32, E, E3, E32, E4, E44, G, G2, G21

• China’s Emergence in the World Economy and Business Cycles in Latin America

  Staff Working Paper 2012-32 Ambrogio Cesa-Bianchi, M. Hashem Pesaran, Alessandro Rebucci, TengTeng Xu

  The international business cycle is very important for Latin America’s economic performance as the recent global crisis vividly illustrated. This paper investigates how changes in trade linkages between China, Latin America, and the rest of the world have altered the transmission mechanism of international business cycles to Latin America.

  Content Type(s): Staff research, Staff working papers Topic(s): Business fluctuations and cycles, Econometric and statistical methods, International topics, Recent economic and financial developments, Regional economic developments JEL Code(s): C, C3, C32, E, E3, E32, F, F4, F44, O, O5, O54

• Efficiency and Bargaining Power in the Interbank Loan Market

  Staff Working Paper 2012-29 Jason Allen, James Chapman, Federico Echenique, Matthew Shum

  Using detailed loan transactions-level data we examine the efficiency of an overnight interbank lending market, and the bargaining power of its participants. Our analysis relies on the equilibrium concept of the core, which imposes a set of no-arbitrage conditions on trades in the market.

  Content Type(s): Staff research, Staff working papers Topic(s): Financial institutions, Payment clearing and settlement systems JEL Code(s): C, C7, C71, E, E5, E58, G, G2, G21, G28

• Why Do Shoppers Use Cash? Evidence from Shopping Diary Data

  Staff Working Paper 2012-24 Naoki Wakamori, Angelika Welte

  Recent studies find that cash remains a dominant payment choice for small-value transactions despite the prevalence of alternative means of payment such as debit and credit cards. For policy makers an important question is whether consumers truly prefer using cash or merchants restrict card usage.

  Content Type(s): Staff research, Staff working papers Topic(s): Bank notes, Econometric and statistical methods, Financial services JEL Code(s): C, C2, D, D1, G, G2